dbntina

Also, I have no problems if someone else who has the pvp, vwap and sd bands wants to take the code and post it themselves here and offer support for it. I had some help from blowfish and I would just like the code be free for anyone who wants it. If anyone wants to add to it spruce it up feel free. It is completely open code. dbntina

Jerry, I am enjoying the threads, thank you for sharing your ideas. I need to find a concrete example for you on the difference between PVP on a tick by tick and the PVP on a 2 minute chart with equalized volume over the bar tomorrow while I am watching it. I wrote the code for the 2 minute and compared it to the tick by tick PVP and I want to say it was off by at least 2 points or more (ES). It happens when there is a higher peak above then another peak several points below it and because of the way the volume is portioned out the PVP can stay higher/lower for a while even though the PVP on a tick by tick has already moved. Then in general it will be a couple ticks off also. I will wait for a concrete example and take a screenshot of both, one calculated the ensign method on a 2 minute and one calculated tick by tick and post it if I get an example tomorrow for you. dbntina

Everyone, I have the two eld's complete that will plot the tick by tick pvp on a minute based chart using ADE (Kudos to BAMBOO..Thanks in Tradestation and it is integrated so that you can see the VWAP and SD bands with the tick by tick PVP all on one chart. I do not want to post indicators here because I just don't want to be that formal and try and support a bunch of questions, etc. It works fine for stock indexes but for some reason different computers with different versions have to make slight modifications to a section of the code dealing with the minmove keyword. The code is set up for price increments less than a point. It would be easy to modify the code for other prices...but I am not trying to create professional level software for all situations right now. Just creating accurate code for following JPERL's threads currently in ES and NQ. So I don't feel comfortable posting the code for all futures...stocks etc. But if you are a tradestation user and you would like the code...email me here and I will send it to you. The code is keeping track of volume at every price on a tick by tick basis so would not be hard to plot trendlines as a histogram so eventually I will go there but I don't know how soon I will get to it. Cheers Hope it helps, dbntina

Jerry, I really like the concept of risk tolerance over using stops and quickly moving your stop to breakeven because of constant bleeding of account and getting stopped quickly before catching a good move. That is what attracted me so much to this method. I like the concept of scaling in at 1st SD and VWAP with stop at PVP or opposite 1 SD. Most of the time the market may have a general drift bias but the way it moves is back and forth, back and forth rotating between levels with a slight bias. Trying the trade the conventional way for me has been an exercise in futility and constant stopouts and breakeven trades with an occasional runner that you hope compensates you for the stopouts. It seems that the breakout trade goes against the risk tolerance, give the market room situation that you described earlier in your posts. It seems like you would have a lot of breakeven or stopout trades that would not be made up by taking the trade off at the next standard deviation. Anyway, with the introduction of the shapiro effect, if you had a skew to the downside and the market retraced up to the lower 1SD and gave a valid shapiro signal and you went short, would you put a stop at the high bar or if it comes all the way up to the VWAP scale in short again on another shapiro signal if you get it? It seems that if I start using these close stops again...I am in the same boat I was in before? I was under the impression that was what you were cautioning against using these close stops all the time (which I can definitely resonate with). I understand some may be more comfortable with tight stops but were you just showing others how they could use the tools with tight stops, but you still use the risk tolerance scale in method? Just want to make sure I understand correctly. Also, Howard said that as far as Ensign computing the volume distribution bars they are taking the price if it trades over three price levels and the volume is 3000, then the volume is 1000 at each price level. When I compare the PVP based off tick by tick to the 2 minute coded PVP on my charts there are times when they are considerably different. Thanks, dbntina

Nick, We will see how it works next week. Also, tried to run the VWAP and SD bands on a tick by tick basis and it won't run...way too memory intensive. There is no way around that I am pretty sure. To get tick by tick accuracy you have to go through every tick every time there is a new tick to check the difference between the new vwap and the price at every tick and then perform all of the calcs...just not going to work. Code is easy but my computer with 4 gigs of ram just won't run it... later, dbntina

Good point Nick...yes that volume is included in the price...if it doesn't keep track of all of the volume at every price it wouldn't be accurate...good point. We don't check to see if its the PVP until after we have stored the current volume at this tick at the appropriate array. It's as accurate as you can get...no approximations here....it is adding up tick volume at every price...so as long as the tick volume is accurate the PVP is accurate. My code was checking every single volume at every price in the array...after every tick...no need to do that...you simply check the current tick volume at the current price against the current pvp, if it is greater its the new pvp, if not then keep the old pvp...simple but effective. Hope this helps you understand what the code is doing. Good job Blowfish, dbntina

Cooter I am not following what you are saying... Here is what the indicator does. It takes the volume at every price and keeps a cumulative running total of volume. It plots the price that has the most volume, the pvp. As far as being accurate...I don't think it can get any more accurate then tick by tick...unless the tick volume is not correct. It will be as accurate as the accuracy of the tick volume I guess. I don't understand what you mean by zero volume tick. dbntina

Walter, No problem...the code plotting the actual tick by tick pvp is finished and plots on a minute chart with the VWAP and SD bands like the chart I posted earlier for example. Blowfish and a few others are testing it out. Blowfish even made some changes to the code that will allow it to run even faster. He made it so it only checks the current tick for a change rather than running through all the arrays every tick...good thinking on his part. Should be very efficient now. I will forward to you Monday morning unless I head into work this weekend. The code is for TS however, I think Blowfish altered the code to work on Multicharts also. Cheers, dbntina

Thanks Cooter and Blowfish for your help...finally got ADE working and I can see the PVP on my minute charts with the VWAP and SD bands...appreciate the knowledge on this board! Testing it out now for a few days. dbntina

Thanks JPERL makes alot of sense...Shapiro effect combined with the knowledge of when to look for breakouts and avoid what happened today should be very helpful...thanks for the reply! Dogpile good info as well...you make a good point gaps fill more than they don't and large gaps and large volatility is another cause for caution...good points. These are wonderful threads Jerry and I am learning alot of good guidelines...thanks for sharing your market wisdom and everyone's comments. dbntina

Jerry, Looking forward to that as I think that will be very enlightening. Today I saw the first short with the skew on the NQ would have worked. As it came back up a short at the 1SD and then the VWAP would have been stopped. Then the skew still existed and if you took 2 new shorts...probably would not have worked out for you...then the rest of the day PVP and VWAP pretty close. Very interested in knowing how to tell when to abandon trades with the skew and favor trades against skew (breakout)...chart included. Looking forward to the next thread...Jerry, Great information, dbntina

No problem Blu-Ray...will send it tomorrow morning...would like to get some people to test it out...and I can make changes if we need to and get it documented and once we get the bugs out I will post for everyone here...next version I will get the histogram put on and then we are in business...then the following version will have an option to combine multiple days of data as an option...then I am through with this.... dbntina

Ok here a pic of today's action on 2min of NQ...I think at the end of day it should have moved lower like I was talking about and losing data twice. dbntina

Alright TS users (blowfish do you have TS and you were just banned from forums??) Anyway...Here is where we are: I do have code that will calculate PVP on 1 tick chart. Btw I have 4 megs of ram and I can't run the code that will calculate VWAP and SD's on a 1 tick chart...way too memory intensive..computer keeps locking...so I will have to settle for being a tick or two off during the day with current eld I posted here. I was able to get the ADE working and I now can see the PVP updating realtime with the VWAP and SD bands. To get my setup at a minimum you will need to: 1) Keep a 1 tick chart running with the first PVP.eld indicator on it. 2) Then you can have your higher timeframe chart (2min) open with the updated VWAPSD indicator on it and it will plot the PVP from the 1T chart and the VWAP and SD bands..... However...to those who are familiar with programming, posting indicators and working with ADE and eld's I need some guidance. For people who don't have the ADE library, ELCollections and ZeroSynch library are they able to still use the indicators? Or do they have to install that first....My gut feeling tells me that the indicators that they need will get installed with the eld (I hope). Also, I would like to send the eld's to someone first who knows more about this stuff to troubleshoot and figure out what is needed to post for everyone's use and to help me with it. Test and see basically if you only need the 2 eld's to work. One more thing (sorry to hijack the thread jperl), I don't know if the ticks go back historically because throughout the day the PVP updated well...looking at the matrix and comparing...however towards the end of the day 1973 and 1971.50 or so lower were different in volume by 200 or so and it didn't move lower...however I lost the data feed twice during the day and I don't know if that is the reason why it was a little off....so caution with that. Let me know if anyone can help me out. I tell you what, the code is currently keeping track of all the volume at every price tick...to plot the volume histogram would be very easy using trendlines...I just need to add that into the code...should not be hard at all...then we got everything we need! If anyone feels like running with it let me know. Thanks, dbntina

Blowfish, Nice job...I am guessing that is not tradestation? I am wishing upon a star...he he. Blowfish...correct I was iterating each bar but I realize that is going to take up more resources then just doing an array and adding the volume one time on each successive tick...oh well. I can do it through an array...in fact doing it right now. The problem I am going to have is getting the data from the tick to a 2minute chart using ADE. Great tool but not a lot of documentation. The syntax is not hard but understanding the logic and transferring the code to a higher timeframe is not as common apparently as people using it from a higher timeframe to plot on smaller timeframe. Once I get the logic on the tick timeframe...I might need help from others on using ADE to get it to the higher tf and then altering the code on the higher tf. Thanks, dbntina

Jerry, Thanks for the info Jerry, right now the SD bands and VWAP are calculating correctly then based on how you do it so that's good. However, I am assuming for the PVP you get that calculated on a Tick by Tick basis is that correct? Or do you also just do it on a 2 minute bar chart for example and take the price as o+h+l+c/4 and volume of that bar? It seems that it would be more of a problem estimating as far as the PVP is concerned. I wrote the code for PVP on a 1 Tick chart and I am not even using arrays, just simple code keeping track of the highest volume at price traded and it is taking forever.... Thanks, dbntina

Jerry, Clarifying question, when calculating your: VWAP PVP SD bands Are you only going down to a 2minute chart for accuracy? I mean are you computing the variance, SD and VWAP and PVP using 2min data knowing that it is off a bit. Or are you using 2m of VWAP and SD and then using 1 tick data for volume at every price for the PVP only....Or all of them using tick data but displaying on a 2m chart? This is important as I would like to code exactly what you are doing so that TS users can follow along exactly with what you are doing. Also, nice job dogpile, that is an excellent setup until we get this thing programmed. Thanks Jerry, dbntina

Darthtrader...I was LMAO at your comment. I remember reading Dogpile's post and thinking "I used to think I was semi-intelligent but know I realize I can't even follow/understand this line of thinking". I guess it's probably because my trading iq on trader's laboratory is only like 5% so I will have to hang around until I catch on. Anyway...that was funny. Luis thanks for the info, I will check out ADE and see if I can't get that to work, then I will post the code...actually I will probably send it to Nick and a few others to check it out before posting to make sure it is accurate. dbntina

Soultrader, I still can't find how to edit my original post...having said that... I have coded the VWAP, SD bands and PVP on a tick by tick basis on a 1 Tick chart. I was thinking I could simply hide the 1 tick chart and plot the indicators on a 2 minute chart and everything would be cool...problem is that it gives me an error "Tick and Volume intervals cannot be used in a mult-symbol chart". Does anyone know of a way around this to plot the data gathered from the 1Tick to plot on a minute chart? There has to be a way around this. Maybe creating a function and access...I don't know just thinking out loud...like I said I am new to the functionality of TS and need help. I will post for all TS users for free if we can get this thing figured out. Any help is appreciated. This should be the fix that NICK was pointing out for accuracy in the indicator thread. dbntina

Sorry this isn't directly on topic but for Tradestation users who are trying to follow Jerry's methodology I have a question. I have coded the VWAP, SD bands and PVP on a tick by tick basis on a 1 Tick chart. I was thinking I could simply hide the 1 tick chart and plot the indicators on a 2 minute chart and everything would be cool...problem is that it gives me an error "Tick and Volume intervals cannot be used in a mult-symbol chart". Does anyone know of a way around this to plot the data gathered from the 1Tick to plot on a minute chart? There has to be a way around this. Maybe creating a function and access...I don't know just thinking out loud...like I said I am new to the functionality of TS and need help. I will post for all TS users for free if we can get this thing figured out. Thanks...and sorry to but in on the thread but though this could help TS users follow along. Any help is appreciated. This should be the fix that NICK was pointing out for accuracy in the indicator thread. dbntina

I will reply while I have a minute: 50K Account 2% risk = 1k 1K = 10pts 4 contracts commission = .2 pts Point risk = 10-.2 = 9.8 1) Let x = value of SD in ticks Loss at 1sd below VWAP for long: 9.8 points = 1 * 3x + 1 * 2x + 2*x ANSWER to #1 x = 1.4pts or $140 risk/contract/SD 2) Exit at breakeven + 1 tick What is total loss at VWAP? 2nd SD entry = -2x = -2.8pts 1st SD entry = -1x = -1.4pts VWAP = 2(0) = 0 pts down Now you have 4 contracts and you are down 4.2pts add in .2pts for commission to get be pt total = 4.4pts Let x = the number of pts you need to get to b/e 4x = 4.4 x = 1.1points above VWAP to b/e on 4 contracts An exit 1 tick above b/e would give you .1 pts on all 4 so .4 points = $40 Hopefully that is correct, so it needed to move less than 1 SD for you to b/e. SD is 1.4 pts and b/e + 1 was 1.2 points. Jerry, I really am learning alot. Totally different from all the books courses, systems and everything I have been taught. Very interesting. Although I am still in a quandry as I realize now that I can't follow along without having PVP on my charts. On that side it is a little discouraging as I am really short on time to develop a volume distribution indicator at this time. One thing I like...it allows you to profit in 2 out of 3 scenarios: 1) The market moves your direction right away Dont make as much money as you have 25% of a position on relative to a loss where you have 4 contracts on 2) The market moves against you (1 or 2 SD's) You make money and you could have 50% to 100% of position on 3) The market moves to opposite side of SD and you get stopped And it really hurts because you lose on average alot more than you make when you are correct I love your ideas you are presenting but it seems the risk reward in my terms that I am used to thinking about will really hurt when you do get stopped out. Thanks for sharing a new way to approach the markets, dbntina

Soultrader, I have the screenshot. Can you point me to the instructions on how to add the image to the eld? Thanks, dbntina

Nick, I hope I didn't mislead anyone. I should have been more clear. The indicator I posted does not give the exact VWAP or SD bands. It most definitely is an approximation. I am only trying to create the identical indicator Jerry uses on his 2min charts for TS users. It should be the exact way that Jerry told us to caculate it. That is all I am trying to accomplish. He said to take the open/hi/low/close and divide by 4, for the price bar...that in itself already throws some level of accuracy out the window. However I am normalizing the volume according to the way he said to do it I think. I would like people to check the code for accuracy according to the way Jerry does it...not for exact accuracy of VWAP and SD bands...I already know it is not to that level of accuracy. Hopefully everyone is clear on what the indicator is doing now. But I agree with you it is not accurate the way you are talking about...that was not my intention. My intention was to create Jerry's indicator for TS users. Hope that clears it up, Thanks, dbntina

Nick, You are exactly correct...I know what you are getting at for sure. Blowfish is exactly right...the code I wrote on a 10M bar will do what you are getting at but only at 10M increments. A 5M bar will be more accurate...then a 3M bar will be even more accurate...then a 2M bar will be even more accurate...etc. Jerry is content using a 2M bar. Technically you would have to run it how you are describing to get it exact but I am not sure that it is necessary according Jerry he thinks running it on a 2M bar is close enough. I understand though what you are saying because if I remember my match classes correctly it is a continuous function not a discrete function? I am approximating (so is Jerry I believe) using calculations at every 2 minutes (discrete) when the true value would be evaluated constantly like a continuous function. We will get more and more accurate as will decrease our bar interval. But knowing that the bands are truly at .38 on the S&P as oppossed to having our numbers 1 to 2 ticks off (I don't know if this is the case but I am just giving an example) I think it is close enough on a 2M according to Jerry. Let me know if I am misunderstanding what you are getting at...the important thing is that the code is doing the same thing as Jerry's code on a 2 minute chart...that was all I was trying to accomplish so I could follow Jerry's logic and trade management. dbntina

Blowfish, Yes I am thinking about writing some simple code for the PVP and POC intraday and maybe including that in the VWAP, SD bands code so that it will all be in one place. The challenge is going to be when JPERL starts looking at the weeks PVP/POC with the weeks VWAP and SD bands and using that as a framework in framing the days statistics and taking trades that way. Because I will have to figure out how to do that in code for TS as well...man this coding stuff gets tiring after a while. I don't know for sure but I have a feeling JPERL is heading that direction. Also the POC is simply where the most 30M TPO's occur horizontally correct...this is not the same where the most volume traded at price correct? (PVP) Just want to make sure I have it correct before trying to code it. Cheers, dbntina