Anglehall

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.

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.

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.

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");