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Thanks BlowFish; I have a slightly related question regarding NinjaTrader. If I want to generate MP charts(TPOs and Volume Profiles) using NinjaTrader and the FinAlg add-on, do I only pay the one time FinAlg fee (plus data fees) if I'm running it on the free NinjaTrader downloaded program? Are there any other fees from NinjaTrader to do this? It's not clear to me from the NinjaTrader website. Thanks for your help. Bill

Hi BlowFish; Funny you should mention NinjaTrader. I just downloaded it last night and I'm going to start playing with the charts. 20 days of hourly data might work but I'll take a look at it over the next few days. Thanks for the suggestion. Bill

Hi BlowFish; Thanks for the information. I agree that the 20 day sampling is inadequate. There are large vacant areas on the volume histogram. I'm going to continue looking at the feasibility of using this on a larger time frame, e.g. daily I'll also re-read the threads on the weighted SD. Thanks again for your help. Bill

Hi BlowFish; Thanks for your answers. Regarding the once a day sampling rate,lumping all the volume in for the closing price-yes I am a little concerned about that as it isn't very "granular". Yet, the underlying theory is the same as with two minute bars,if I understand it correctly. With two minute bars, all the volume is attributed to the close of that interval. With daily bars, it's the same underlying concept. I could do an average price for the day which might be more reflective of the days volatility. Actually, what I am more concerned with is the statistics of the standard deviation. Why do I need a weighted SD. If I am trying to determine the SD for the VWAP, that series of numbers(the VWAP) is already weighted. I'm just trying to determine the SD of a series of numbers. Why does the SD need to be weighted as well? Thanks for your help. Bill

Hi Everyone; This is my first post here. I have been reading Jerry's threads on Trading with Market Statistics with great interest. I have a few questions: I am considering using market statistics yet using it for End of Day trading. I remember reading somewhere within the discussions that Jerry felt that this methodology would work on any time frame. I would be using a 20 day time period and closing prices. The 20 day period is somewhat arbitrary yet it is one month of trading days. My questions pertain to using Excel to generate the relevant data points.I am no expert in Excel and usually rely on my children to walk me thru the formulae, but once done it's pretty straight froward. Will Excel give me the correct data points, especially the SD of the VWAP ? The PVP, and VWAP calculations are straight forward. But after all the lengthy discussion about variance and calculating the standard deviation of the VWAP, I want to make sure that what Excel says is the SD is valid.I would use the 20 days of VWAP to calculate the SD. I'm not a statistician/mathematician nor an Excel expert. I'm just trying to understand any limitations of the statistical tools that Excel uses. Thanks in advance for your help. Bill