lj2500

Look back a few posts. I posted the vwap and sd code for esignal.

I found this post on "Re: VWAP Indicator with 1SD and 2SD bands" interesting and have nominated it accordingly for "Topic Of The Month August, 2009"

I found this post on "Re: VWAP Indicator with 1SD and 2SD bands" interesting and have nominated it accordingly for "Topic Of The Month June, 2009"

VWAP for esignal...You can get it here: http://share.esignal.com/groupcontents.jsp?folder=Formulas-EFS2&groupid=10 look for AMVWAP2...(here it is attached)..you also need the amstudies function library found here: http://share.esignal.com/groupcontents.jsp?folder=Formulas-Libraries&groupid=10 remember to copy the AMSTUDIES.efslib to C:\Program Files\eSignal\FunctionLibrary\* thats it. amvwap.zip

Hey MetalHead, what chartingprogram are you using? Tradestation? If so, where did u get the VWAP and PVP code (I have vwap code already, looking for pvp) Thanks.

Hmm...now I'm confused. Ensign has a check box for the FORMULA used for 3 types (on the volume histogram properties window) : volume, price, candles. I always thought it was VOLUME you were using in your videos. Please correct me if I am wrong. Thanks.

One other question, for volume histogram FORMULA, are you using the VOLUME setting or the PRICE setting. I am 99% sure it is the volume setting in ensign. I don't think we want price but just want to make sure before I start training myself on these indicators.

JPERL, for the trading with statistics videos, when you are using the volume by price, do you just use the default settings for it? For futures, it seems to me the volume is calculated from the globex open at 4:15. From you videos, it looks like you start to calc your vwap (your version) at 9:30 open or so...so is your volume by price based on this starting time as well?

jperl, thank you for taking some time to give us your response and comparison of your vwap+sd and ensign's (confirming what I thought - that the ts vwap/sd code posted here and yours seems correct and ensign's seems off). I have also emailed ensign with the info that has been posted here, showing the discrepency between theirs and the posted vwap code. Maybe they will be able to shed some light on the differences.

I haven't tried the VWAP from the link trunner supplied (yet). That one is a design your own study. Ensign has added vwap as a standard study now, so there should no longer be a need to use the dyo. Although, I will try it over the weekend. I would have thought the ensign designers would have compared the two. As for jperl's version. I have asked him he said there are minor differences between his version and the built in vwap study in ensign (I took this as he developed his own study by coding it himself). I don't know if his JAN 10 chart looks like mine. JPERL, if you are reading...do you mind making a comment? It looks like we don't know what the "real" one should look like (I guess the institutional traders' version)...how are we going to figure this out? I guess we can compare all of ours together...can others post their vwap FOR JAN-10? With the start time being the globex open of 4:30pm on Jan9?

Below see VWAP indicators for ES H08 for JAN 10. ONe is from the build in vwap function in Ensign...the other is from the VWAP indicator posted here. You will notice that the Ensign one seems wrong as it has gone way past the 3rd std deviation. I am not 100% sure though...here they are and here are my settings. They all have their start time at 4:30 globex open on Jan9. Does any match other peoples trading software? Here is the TS code...(was posted on the TS forum).. I modified the original to do (open+high+low+close)/4 ------------------------------------------------------------------- [LegacyColorValue = true]; {*********************************************************************************************** Coded by dbntina/boxmeister 8/2/2007 Used the VWAP_H code provided by Tradestation on 02/07/2003 Topic ID = 6735 Thanks Guys! Added the computation for variance and the Standard Deviation to combine into one indicator plot and this indicator plots the VWAP, SD1 bands, SD2 bands ----------------------------------------------------------------------------------------------- Applicable now for Globex charts, made code a little bit faster, added SD3 band and formated. Changings by swisstrader 08/14/2007 ***********************************************************************************************} vars: currSess(0), currVol(0), avPrice(0), oneThird( Reciprocal(3) ), PriceW(0), VolumW(0), barCount(0), ii(0), wgtVol(0), diffPc(0), sqrPrc(0), indivVariance(0), sumIndivVarnc(0), VariancePop(0), VolWAPValue(0), VolWAPVariance(0), VolWAPSD(0), uppSD1(0), lowSD1(0), uppSD2(0), lowSD2(0), uppSD3(0), lowSD3(0); if BarType < 2 then {Session change} currSess = CurrentSession(0); {used Volume} currVol = Ticks; {Price input series} avPrice = (Open+High+Low+Close)/4; {resets at SessionChange} if currSess <> currSess[1] then begin PriceW = 0; VolumW = 0; barCount = -1; VolWAPValue = 0; end; PriceW = PriceW + currVol*avPrice; VolumW = VolumW + currVol ; barCount = barCount + 1; if VolumW > 0 then VolWAPValue = PriceW / VolumW; {Calculate the individual variance terms for each intraday bar starting with the current bar and looping back through each bar to the start bar. The terms are each normalized according to the Variance formula for each level of volume at each price bar } sumIndivVarnc = 0; for ii = 0 to barCount begin wgtVol = currVol[ii]/VolumW; diffPc = avPrice[ii]-VolWAPValue; sqrPrc = Square(diffPc); indivVariance = wgtVol * sqrPrc; sumIndivVarnc = sumIndivVarnc + indivVariance; end; {hand-over summary of individual variance and calculate StdDev} VolWAPVariance = sumIndivVarnc; VolWAPSD = SquareRoot(VolWAPVariance); {calculation of StdDevBands} uppSD1 = VolWAPValue + VolWAPSD; lowSD1 = VolWAPValue - VolWAPSD; uppSD2 = uppSD1 + VolWAPSD; lowSD2 = lowSD1 - VolWAPSD; uppSD3 = uppSD2 + VolWAPSD; lowSD3 = lowSD2 - VolWAPSD; {plot} Plot1(VolWAPValue, "VWAP"); Plot2(uppSD1, "VWAP_SD1_Up"); Plot3(lowSD1, "VWAP_SD1_Dn"); Plot4(uppSD2, "VWAP_SD2_Up"); Plot5(lowSD2, "VWAP_SD2_Dn"); Plot6(uppSD3, "VWAP_SD3_Up"); Plot7(lowSD3, "VWAP_SD3_Dn");

I thought it would make a difference depending on the start point...so the BIG question is, what is the best start point? 12am? 8am? Since I am a newbie trader, any one want to suggest what they are using? Thanks TRunner for the other version of vwap...i'll take a look at it over multiple days...from your post, it doesn't look like it means much...at least for the past few weeks.

Thanks for the VWAP indicator for TS guys. I've been looking for this for a while and stumbled on this great thread. I have some issues though.... I have used the TS VWAP indicator posted here and I have seem some descrepencies between it and the VWAP indicator for Ensign (build in 03-Jan-08 version). Namely, they don't seem to match. See the attached images for trading TODAY (Jan-04). Ensign has most of todays trading at -2std, while TS has it at -1std. Also, the TS indicator does not seem to work for intervals other intraday. I tried to recreate someone else's chart for daily's on and it seemed to fail.

Thanks for the great indicator! I tried it with the daily charts it it looks very weird and does not appear to work. Can someone try it and see if they get this problem as well? Also, it looks a bit different from the Ensign data that I got for today's trading (JAN 4 - 08) Namely, Ensign hung around VWAP -std2, but with TS it hung around -std1 and it never touched std2.