Trading With Market Statistics.II The Volume Weighted Average Price (VWAP).

[jperl 11]

  unicorn said:

Hi Jerry;

I am going through your threads for the second time to absorb the nuances of your method.

I have not found the topic that refers to "Old POC's or PVP's do get touched. "

I suppose that the HUP in section XI, is the proper location, but I find that the information presented there is limited.

I would appreciate your advise with respect to this topic.

 

Thank you.

Unicorn.

I didn't have much discussion about trading at Old PVP's except for the post in the HUP thread. There is a complete discussion of PVP trading at the[thread=2232] "Trading with Market Statistics VII: Breakout Trades at the PVP" [/thread]thread. In that discussion and in the HUP post, I point out that entering trades at the PVP is not a good idea. It doesn't matter whether the PVP is old or new, touched or untouched. The basic point is that if the skew is large, ANY PVP represents a dividing line between the high volume area and the low volume area. If you take a trade at the PVP in the direction of the high volume area and it turns out to be wrong, you can be wrong big time with a large breakout into the low volume area against your entry. If the skew is small (VWAP~= PVP), the volume is the same on both sides of the PVP. Then you might as well flip a coin. Bottom line, don't enter trades at the PVP, new or old. (This is in sharp contrast to the Enthios style of trading).

[Anonymous 11]

Jperl;

 

That is indeed in direct contrast to the Universal method used by Enthios. What do you think about the NTR then? NTR: Natural Trading Range

[Râlex 10]

Hi traders,

 

if I can afford, you should not try to predict (as NTR) but to succeed in following tendency (as the skew and price).

 

Too, i agree with Jerry and i understand the difficulty of trades at the pvp or hvl.

 

The NTR as the Vpoc are speculations and a VSA trader should not take into account NTR, no ?

 

Cause, where the smart money goes, i will follow it !:o

[jperl 11]

  PivotProfiler said:

Jperl;

 

That is indeed in direct contrast to the Universal method used by Enthios. What do you think about the NTR then? NTR: Natural Trading Range

 

The NTR is Enthios' estimate of today's trading range based on previous untouched POC's. I have looked at this concept but I have not found it of value.

[unicorn 10]

  jperl said:

I didn't have much discussion about trading at Old PVP's except for the post in the HUP thread. There is a complete discussion of PVP trading at the[thread=2232] "Trading with Market Statistics VII: Breakout Trades at the PVP" [/thread]thread. In that discussion and in the HUP post, I point out that entering trades at the PVP is not a good idea. It doesn't matter whether the PVP is old or new, touched or untouched. The basic point is that if the skew is large, ANY PVP represents a dividing line between the high volume area and the low volume area. If you take a trade at the PVP in the direction of the high volume area and it turns out to be wrong, you can be wrong big time with a large breakout into the low volume area against your entry. If the skew is small (VWAP~= PVP), the volume is the same on both sides of the PVP. Then you might as well flip a coin. Bottom line, don't enter trades at the PVP, new or old. (This is in sharp contrast to the Enthios style of trading).

 

Thank you Jerry.

 

I do have another question, that due to its relevance is posted at the Position Trading thread - section X.

 

cheers.

Unicorn

[btfox 10]

From what I have read so far it seems that too much emphasis is placed on POC, which in MP is not the main reference point (at least for trading purposes), rather the rotation and the distribution above and below it. Also, please note that according to MP authorities, like Don Jones of Cisco-Futures and others with a long time acquaintance with MP, distribution does not have to be in 30 minute increments. It can be daily, 10 or 20 days, monthly, etc.. The MP distribution is:

-more significant over longer time frames (say 3 days or more) and many software packages offer merging and splitting tools.

-the IB or initial balance varies from one market to another...but those time periods have always been important to traders. If you are on the floor you can hear the horn and look for some increased activity (a number of trades have been developed off these time periods). I've heard that institutions generally trade at certain times of the day; some of it may be adjust their positions, or it will sometimes be reacting to news.

- more significant are the times when MP moves or rotates and establishes a new balance area, hence the larger moves.

-granted there a subtleties throughout the day, and traders have been trying to optimize them to that end.

-but in general it is the reaction to extremes that gives us trades; the POC can be an unhappy place

 

It has taken some time to decipher the original MP studies and for traders to use of them, but we can thank those who have spent time doing so. And thanks to whomever started this thread. I think it looks promising.

[raikkonen1986 10]

Hi, where can I find the vwap indicator?

 

Thank you.

[BlowFish 10]

Trading Indicators - Traders Laboratory

 

Though it depends on what charts you use.

[Tams 20]

  raikkonen1986 said:

Hi, where can I find the vwap indicator?

Thank you.

 

 

at the top right corner of this page...

 

 

[raikkonen1986 10]

Ok, thank you for the answer, great thread.

[abacus 10]

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).

[abacus 10]

However, betting on a skew reversal is not unsound (particularly if some measure of the kurtosis is taken into consideration).

[BlowFish 10]

scew = mean-mode/sd (Pearsons approximation) --- so VWAP-PVP determines sign/direction

 

if VWAP is greater (above) PVP it is positive (up)

 

if the VWAP is less than (below) the PVP then it is negative (down)

[malverd 10]

Hi,

 

I am running the Thinkorswim platform. Their VWAP has a setting that allows for time frame. Daily, Weekly, Monthly.

 

If I set it for daily I set the chart to 1 minute daily and then 1 minute weekly then the PVP is the same. But all of the other values, SD and VWAP are different. Why is this and what would be the better timeframe to use?

 

It seems using weekly would allow to hold trades after hours. Because on the daily, when the new time period begins, the standard deviations reset & are really small compared to the prior session.

[BlowFish 10]

malverd at this stage of the threads things are about the current days sample. (later Jerry Introduces some other concepts with larger samples). I don't know TorS but I'd try daily with 2 minute bars to try and get similar charts to Jerrys. Follow through carefully and later he talks about different settings for scalping and longer trades.

[danhoyda 10]

hey Jperl, what does the spread between the VWAP and the PVP tell you, If the spread is higher is it more likely to succeed?

[uriyanko 10]

new DataSeries(this, "Vwap", new ChartStyle(SeriesChartType.Line,System.Drawing.Color.Blue,1,DashStyle.Solid)),

new DataSeries(this, "Vwap", new ChartStyle(SeriesChartType.Line,System.Drawing.Color.Blue,1,DashStyle.Solid)),

new DataSeries(this, "Vwap", new ChartStyle(SeriesChartType.Line,System.Drawing.Color.Blue,1,DashStyle.Solid)),

Edited November 12, 2014 by uriyanko

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