Trading with Market Statistics. IV Standard Deviation

[amca 10]

working on my EasyLanguage VWAP Std Dev code (Tradestation)... gotta figure out the trick to how you do summation of all prices since the opening bar. if someone knows how to do this, please help out. here is what my ES chart looks like today: good

[BlowFish 10]

You might want to look at dbntinas code for inspiration. I think it has been published here somwhere.

[Guest Tresor]

Would it not make more sense to convert the VWAP bands into an oscillator. Here is essentially what it would look like:

 

http://www.charthub.com/images/2007/11/09/VWAP_Oscillator.png

 

This way, you have one histogram, instead of 5, 7, 9 lines overlaying your candles. The histogram tells you how many standard deviations price is above or below the VWAP. I'll add this oscillator option to our next release (I/RT 9.0).

 

Hello LS_Chad,

 

Could you please post the code of your VWAP Oscillator?

 

Thanks

[LS_Chad 10]

Hello LS_Chad,

 

Could you please post the code of your VWAP Oscillator?

 

Thanks

 

I'm glad you brought this to my attention. I had intended to add this as an option to our VWAP indicator but never got around to it. I will do that today. But essentially, you'd just take the price minus the vwap and then divide by 1 standard deviation. You'll have to translate that to whatever program you're using. If it's I/RT, it will be available in 9.2 as a built-in option which should be available in the new week or two.

[LS_Chad 10]

OK, the VWAP Oscillator has now been added as a built-in option (checkbox) for the VWAP indicator. When the oscillator checkbox is checked, you'll get a histogram showing displaying the number of standard devitions that price is above or below VWAP as seen in this chart:

 

http://www.charthub.com/images/2009/01/05/VWAP_Oscillator.png

 

 

Investor/RT 9.2 should be available within the next week or two.

[Hlm 10]

Does anyone know how i can plot the standard deviation of the vwap on sierra chart

thanks for your help

Try the indicator I created HERE.

[federicoo 10]

Jerry, excelent work!

 

Which platform are you using that has price histogram and all of these indicators?

[VolumeJedi 10]

Jerry, excelent work!

 

Which platform are you using that has price histogram and all of these indicators?

 

The platform is Ensign Windows. It has price historgram and VWAP with 2 SDs. You can create a DYO for the 3rd ones. Most other platforms can replicate the tools here though.

[olie1018 10]

Anyone Using VWAP, SDS, VAH, VAL on Esignal?

 

jim

[federicoo 10]

Thanks a lot VolumeJedi. I´m newbi with EW, could you post the setup for these indicators, or a template we can use? I´m trying to configure these but I´m not getting the same that Jerry´s template.

 

Thxs

[VolumeJedi 10]

Thanks a lot VolumeJedi. I´m newbi with EW, could you post the setup for these indicators, or a template we can use? I´m trying to configure these but I´m not getting the same that Jerry´s template.

 

Thxs

 

I don't know them as I trade Forex and thus have different settings. I will, however, help you if I can. How do you have your price histogram set currently?

[Garylim 10]

--------------------------------------------------------------------------------

 

I am confused as i am using CqG and i am not sure how i should go about creating customised SD bands.

 

Is anyone using CQG ?

 

 

Please kindly help.

 

Many thanks....

[Garylim 10]

Managed to do something abt the bands in cqg, however may i ask if the bands recalculation period i set to 28 periods for 2 min periods, would it be more accurate? i noted that if i set it to recalculate per 2 min, my chart becomes very jerky and messy, and setting it to a longer period per recalculation makes it smoother.

 

 

Is it wrong?

 

 

BTW, i got a very impt question, 2 STD DEV is 2 X 1STD DEV right? just wanan clarify.

cos this means if i managed to calcualte 1 std dev, 2 or 3 std dev shld nt be a prob

[robertotrader 10]

Good afternoon all,

 

I'm reading the Market Statistics threads and at the present time I've read the first 4.

 

Unfortunately it's not clear for me which is the base setting for choosing the costruction of PVP: should it start at the current day (at the globex opening / 9;30 EST for ES, for example), so the PVP insignificant at least for the first 2-3 hours, or should I use the PVP derived from the previous session/s?

 

jperl videos begin always after several hours since the opening and it's not clear whether that PVP is about the current session only or otherwise.

 

Clearly different starting point for the PVP construction and the VWAP give me different position of the PVP/VWAP and also the skew could be totally different; so different views about the long/short scnearios.

 

I'm using Ninjatrader 6.5.

 

Any clarification, please?

 

thanks for your time!

 

Kind regards,

roberto

[stanlyd 10]

Lots of the time people start it at the 9:30 open. Realize tho that you can start and stop the PVP and VWAP constructions at any point you deem a "critical" point for your time frame. I have found that looking for a straight answer when developing a strategy is not as beneficial as just experimenting. Try starting the construction of PVP at all kinds of points. S/R, every hour, every swing, whatever and see what you come up with. In that lies the start of developing your own style and learning what "kind" of trader you will be.

[dandxg 10]

Good afternoon all,

 

I'm reading the Market Statistics threads and at the present time I've read the first 4.

 

Unfortunately it's not clear for me which is the base setting for choosing the costruction of PVP: should it start at the current day (at the globex opening / 9;30 EST for ES, for example), so the PVP insignificant at least for the first 2-3 hours, or should I use the PVP derived from the previous session/s?

 

jperl videos begin always after several hours since the opening and it's not clear whether that PVP is about the current session only or otherwise.

 

Clearly different starting point for the PVP construction and the VWAP give me different position of the PVP/VWAP and also the skew could be totally different; so different views about the long/short scnearios.

 

I'm using Ninjatrader 6.5.

 

Any clarification, please?

 

thanks for your time!

 

 

 

Kind regards,

roberto

 

I am almost positive Jerry told me RTH several months ago. That said I have seen some guys whom run a good trading room run a globex VWAP.

[BlowFish 10]

'Normal' use is regular session though stanlyd makes good points. When you get on to the scalping section there are some alternatives presented. VWAP and SD are quite slow and steady. PVP is not as it will 'switch' around. Different calculations will often produce different PvP's. For example Ensign averages across a 2 min bar.

[kman52 10]

Im trying to view the videos here, swf files, not getting any sound. Is there supposed to be sound? (yes I have checked the speaker)

[jperl 11]

Im trying to view the videos here, swf files, not getting any sound. Is there supposed to be sound? (yes I have checked the speaker)

 

Get your self a copy of swf player here:

 

http://www.browsertools.net/SWF-Opener/index.html

 

 

Sound is working fine

[zardoz 10]

I was looking through this thread and was wondering if anyone uses developing VAH/VAL and developing POC for their trading. There are indicators that plot these values as they develope during the day.

 

If this has been address already let me know and I will delete this.

 

Thanks

 

 

 

Z

[BlowFish 10]

I was looking through this thread and was wondering if anyone uses developing VAH/VAL and developing POC for their trading. There are indicators that plot these values as they develope during the day.

 

If this has been address already let me know and I will delete this.

 

Thanks

 

 

 

Z

 

You might want to review the companion threads to this one, Jerry discusses why he uses developing Volume POC (or PVP as he names it) VWAP and SD's of VWAP in a nutshell they are statistically significant whereas POC and VAH/L are heuristic methods.

 

There are a few other threads that talk about more traditional MP techniques, though perhaps it is not the most popular of topics.

[zardoz 10]

Thanks BlowFish, will check it out. I'm also interested in the more traditional MP. Reading Markets in Profile by Jim Dalton and after I getting through the first 60 pages which was mostly review some great stuff followed.

 

I'm happy with my short term charts but I would like to find an indicator to "compress" MP so that I can get several days into one profile. Sometimes when the mkt has been in a range for a few days it is helpful to put those days into one profile.

 

Pic A MP10 is what I have created for Developing Value area (magenta lines)

 

 

Z

[tucciotrader 10]

is the code for vwap avaible for Multicharts?

 

thanks ever so much

[BlowFish 10]

Have a look in the indicator section for some code by dbntina.

[tucciotrader 10]

ok, well, I thought you as well had coded something because I have gone thru the whole thread and have read your question about wheter a the vwap was supposed to be computet with all the bars or the bars so far...

 

ok, I'll give that section a look