I am trying to test adding the vwap to my charts. I daytrade mostly CL and TF. My main trading chart is a 3 tick renko chart with wicks. My question, if I add the VWAP to my chart what session time should I have my chart set to. It seems to make a big difference. Any recommendations you can give would be much appreciated.
It depends what type of VWAP do you want see.
e.g. i use a 1 minute cash session for major futures with vwap , volume value lines , TPO lines OR ecc., and after with study overlay i put them on another charts like renko charts which time is divided in cash and evening session.
The VWAP (volume-weighted average price) depends on the start time that you select. Natural choices for selecting the start time to collect the trade data for the VWAP would be
- the contractual start time of the trading day (full session VWAP)
- or the contractual start time of the regular session (regular session VWAP)
I personally prefer the full session VWAP, because it already has some stability when the regular session trading starts. Please consider the VWAP as a bag of trades that is empty at the beginning and full at the end of the session. In the beginning this bag moves quite a lot when you add a few trades, in the end when the bag is already filled, it does not move any more, if you add a few trades.
Here are the contractual trading times that you can use
full session VWAP CL: start time 6:00 PM EST
regular session VWAP CL: start time 9:00 AM EST
full session VWAP TF: start time 6:00 PM EST (Sunday only), 8:00 PM EST (other days of the week)
regular session VWAP TF: start time 9:30 AM EST
The end times do not matter.
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hello @Fat Tails....i am using one of your CurrentDayVWAP Indicators....and the Selection for Sessions are:
First, Second, Third, Auto....which one of these choices are for the Full Session starting 6:00 pm ?
Last edited by sandptrader; November 8th, 2014 at 11:25 AM.
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