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abacus
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Everything posted by abacus
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Trading With Market Statistics.II The Volume Weighted Average Price (VWAP).
abacus replied to jperl's topic in Market Profile
However, betting on a skew reversal is not unsound (particularly if some measure of the kurtosis is taken into consideration). -
Trading With Market Statistics.II The Volume Weighted Average Price (VWAP).
abacus replied to jperl's topic in Market Profile
The whole premise of the PVP-VWAP relationship for determining the skew is faulty. A positive skew on the vertical y-axis would be when the PVP is ABOVE the VWAP (vice versa for negative skewness).