I've always thought of VWAP as being peculiar to a day session as brokers use the term in that way and algorithmically it's an anchored MA (like MIDAS) rather than a fixed-period MA so a rolling VWAP is a contradiction in terms. You use a VWMA.
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They will yield the same ending value. But a moving average will always cut off prior data (before X+1 periods) vs a VWAP, which can usually be set in the software to start on a certain date and compute until an ending date or the present, requiring no modification to keep it over the same period.
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This isn't really a vendor thread - it's more about different ways of using profile concepts. Each have their use and each their deficiencies. e.g. a day profile makes sense because the trading day - pit session - has a definite beginning and end. To a lesser degree, a week, month and quarter are too.
But, there are deficiencies with a static profile and not just in the case of a trend day rendering the VA useless because there was no value. Think about a double distribution day. The VA on this day type is even more useless as it will include the trend phase between the two distributions. This type of day should really be split in 3: balance - imbalance - balance with a separate profile for each of the 2 periods of balance.
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Cool, I like your concepts( I checked out your website), however I also like that the original Market profile is based around a constant( time), which regulates your point of reference. If you start a profile when the market "defines a balance", then you still have to be basing that balance off a previous reference/ anchor point, x amount of bars prior. So i'd describe that as more of a "variable profile", and wouldn't call it dynamic, because it's not defined by a "constant", but by a variable. Not using a constant means your making MP more open to interpretation.
From your website- "Until the balance breaks – when the general perceptions of the future change and one side gains strength at the expense of the other – the market tends to oscillate from one side of the balance to the other in order to test that the extreme high and low prices are still considered to be unfair."
When i'm applying a DMP i'm using it as more of an oscillator, and i'm looking for a divergence between value area extremes. I'm not looking to define "areas" of support/ resistance or "areas" to buy/ sell, but "exact" entry points( off small time frames) that have good trade location and are supported by 30min TPO's.
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That's the weak point of drawing custom profiles each time you see an area of balance, sometimes it's subjective. When do you start drawing a new area of balance and which bar defines a break of balance, and on which timeframe do you make this decision? If you use a daily or weekly profile then there is no subjectivity no matter the timeframe.
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If you have a trend day, a double-distribution day and a normal day, do you use and interpret the reference prices from the profile in the same way? If not, then the subjectivity you have is in parsing the profile for the correct interpretation. If you do interpret and use the reference prices identically in the three different scenarios (I don't think you do) then I think this would be taking a simplistic and dogmatic (and probably unprofitable) approach to MP.
I prefer to parse the market action to create the profile rather than creating the profile and then having more difficult and time-consuming work unpacking it again in order to understand what it means.
Regardless of what we want, there will always be subjectivity in analyzing the market's actions.
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