Kojak

That is a an interesting line. There is enough evidence to show that in some markets -especially the newer emerging markets like the one you trade in the underlying cash markets actually lags the derivatives market. See this study:An econometric analysis of the lead-lag relationship between India's NSE Nifty and its derivative contracts So looking at the market action in the derivatives markets are probably the best form of market internals. I would look at volumes and open interest in the ATM options and see how they are doing. What is your opinion? The other approach I would look at seriously would be to look at forecasting volatility. Volatility forms predictable trends and if we are able to forecast volatility reliably it is a very good input for trading. Volatility is far more predictable than prices. Jose

Wouldn't volatility be a factor to consider? During periods of high volatility a higher time frame would make for more reliable breakout indicators for one. Jose

That is an excellent idea Soultrader. I use eSignal and they have a panel of dedicated programmers both in-house and independent and they do excellent stuff. But one notices that there are many gaps and unfilled requests. This happens primarily because the established panel of programmers are reluctant to take on tiny projects and quite inflexible on their rates Another model that is very interesting is the eLance. The way I see it there could be a) individual requests b) common requirements for which the costs could be shared. Jose

If it is the risk that you are trying to manage then by going long and short you have hedged away the exposure and the risk to the extent that they are correlated. So if the scrips have a correlation of 95% by hedging your next exposure has reduced to 5%. Hedging is a strategy of portfolio managers - not speculators. But if you are a speculator and leveraging one position taking directional bets across different time frames then these positions are in reality not correlated. Your exposure and risk is twofold as you could profit / lose on both legs. Jose

Hello lj2500, The links that you posted at http://www.traderslaboratory.com/forums/46/vwap-indicator-1sd-2sd-bands-2175-10.html#post59876 contain files that have have eSignal's VWAP indicators. Not the SDs on VWAP. But I do remember a patch code written by Alex Monetenegro in a eSignal forum. I am yet to locate a downloadable EFS with the 1,2 and 3 SDs on the VWAP. Would be a great help if it exists.http://www.traderslaboratory.com/forums/images/FH_Sahm/smilies/custom2/crap.gif Jose

That is the Fibonacci bands on the VWAP not the Standard Deviation bands on the VWAP. Its really strange that eSignal does not have SD bands on VWAP as yet. Jose

Thanks Shrike, I did have a look at those efs scrips by Texas Trader before making my post but it does not seem to have trading bands based on one and two standard around the VWAP. Trader333: I was just trying to probe you on the concept of JPerl's Market Statistics approach to market structure. I had seen your postings on that thread and stunning as that discourse and discussions around the topic , I was surprised to see no further discussions around on Market Statistics on Trader's Laboratory or else where (or is there ?). In Esignal there were quite a few requests for SD bands around VWAP and apart from a kind of a patch by Alex Montenegro there was nothing else.

Is there a ESignal version of the VWAP indicator with 2 sd bands?

Thanks for the help Paul and grateful if you could get directly implementable code. You seem to have reservations though. Is it about the implementation or the concept itself. I was quite impressed with JPerl's 'Market Statistics" on this site. Kojak

Is there an eSignal efs program that draws the 1 and 2 standard deviation bands on the VWAP. I have looked at Chris Kryza's Volume Profiles but does not seem to have this feature. Alex Montenegro the eSignal moderator has discussed this implementation and discussed the coding for this -but that needs some efs coding experience which I do not have. Is there such code that can be implemented straight away on my charts?