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johnbain
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Since VWAP starts at 0 at the start of each day, your issue is with the price part of VWAP and therefore the gap difference between SPY and ES. Wouldn't being zero'd out at the start of the day mean that terms like "higher" and "lower" are relevant only within that day and not across days?
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I have looked at NinjaTrader and it looks ok, but in order to get an indicator or strategy onto it that isn't included in the software, you have to 1) Pay someone to code it/buy it 2) Become a C programmer yourself and learn the methods used in NT to code what you want to see. The Help tutorial is ok, but a lot of the links to the Microsoft site are broken, and since I'm not a C programmer anyway, it just makes it more confusing. If they could make experimenting with your own indicators (programming) easier in it for non-programmers I think it would be a killer-app.
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Trading with Market Statistics VII. Breakout Trades at the PVP
johnbain replied to jperl's topic in Market Profile
Just found this thread. Fascinating stuff - kudos to jperl for the clear and cogent lessons!