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Anglehall

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    TradersLaboratory.com
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  1. After further review for the more robust statistical approach, I believe that the individual elements should be weighted by the bar that is being evaluated total volume and not the accumulated volume of the population.
  2. This: /ShareW was This: /ShareW[Value1] I don't believe the original formula attributed variance to the individual independent elements as a 'whole'. If you use /ShareW you are not evaluating an individual independent element. You are evaluating a summation of the individual independent element. NOTE: I forgot to mention that I'm using the CLOSE and not the avgPrice.
  3. Roughly NQ offers 2X the loss rate compared to the ES. Begin with the NQ. If you have a lot of money and after you master NQ, then TF the best to trade.
  4. Shouldn't the cumulative volume be relevant to the volume total? Original: Value2 = ((UpTicks[Value1] + DownTicks[Value1])/ShareW) * (Square(AvgPrice[Value1]-VolWAPValue)) ; Modified: Value2 = ((UpTicks[Value1] + DownTicks[Value1])/ShareW[Value1]) * (Square(AvgPrice[Value1]-VolWAPValue)) ; vars: PriceW ( 0 ), ShareW ( 0 ), Count ( 0 ), VolWAPValue ( 0 ), VolWAPVariance ( 0 ), VolWAPSD ( 0 ), Class ("PVP"), MyPVP ( 0 ) ; if date > date[1] then begin PriceW = 0 ; ShareW = 0; Count = -1 ; Value1 = 0 ; Value2 = 0 ; VolWAPValue = 0 ; end; PriceW = PriceW + (close {AvgPrice} * (UpTicks+DownTicks)) ; ShareW = ShareW + (UpTicks+DownTicks) ; Count = Count + 1 ; Value3 = 0 ; if ShareW > 0 then VolWAPValue = PriceW / ShareW ; For Value1 = 0 To Count Begin if 0 < ShareW[Value1] then Value2 = ((UpTicks[Value1] + DownTicks[Value1])/ShareW[Value1]) * (Square(AvgPrice[Value1]-VolWAPValue)) ; Value3 = Value3 + Value2 ; End; VolWAPVariance = Value3 ; VolWAPSD = round2fraction(SquareRoot(VolWAPVariance)) ; Plot1(VolWAPValue, "VWAP"); Plot2(VolWAPValue + VolWAPSD, "1Up"); Plot3(VolWAPValue - VolWAPSD, "1 Dn"); Plot4(VolWAPValue + (2*VolWAPSD), "2Up"); Plot5(VolWAPValue - (2*VolWAPSD), "2Dn"); Plot6(VolWAPValue + (1.5*VolWAPSD), "1.5 Up"); Plot7(VolWAPValue - (1.5*VolWAPSD), "1.5 Dn"); Plot8(VolWAPValue + (.5*VolWAPSD), ".5 Up"); Plot9(VolWAPValue - (.5*VolWAPSD), ".5 Dn");
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