Jump to content

Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.

  • Welcome Guests

    Welcome. You are currently viewing the forum as a guest which does not give you access to all the great features at Traders Laboratory such as interacting with members, access to all forums, downloading attachments, and eligibility to win free giveaways. Registration is fast, simple and absolutely free. Create a FREE Traders Laboratory account here.

jperl

Trading with Market Statistics VIII. Counter Trend Trades in Symmetric Distributions

By jperl, in Market Profile

Recommended Posts

jperl    11

jperl
Posted

 

Why do you choose a "regular session" to start plotting your Volume Histogram and start calculations of PVP, vwap and SDs? I understand that majority of trades occur during regular session, and all institutions are then active, but statistically wouldn't it make more sense to include 24h of data?

The answer to your question is yes. In normal times (which this is not), starting the VWAP before regular trading hours usually wouldn't make much difference. Remember the VWAP is volume weighted, so including price data prior to the open would have little effect. However these are not normal times and there has been considerable volume pre-open in some markets. Under those circumstances starting the VWAP early could be helpful as you have pointed out.

Share this post

Link to post
Share on other sites

BlowFish    10

BlowFish
Posted

This is only an hour and a half in (or so). Left chart is a 1 tick chart so 100% precise, right hand is 1 minute. You can see there is a wee bit of a discrepancy as you would expect (volume is assigned to the average price of the bar). I'll try and do one at the close but will be travelling later.

 

 

There is a couple of seconds between the screen grabs as stupid Multicharts wont save the whole workspace. This should let you see if you are close.

 

Cheers.

daxvwap1.thumb.png.89415a7e1188d998837bd741648e5bf3.png

daxvwap2.thumb.png.0559cfa7f03beb5c8ebe0ade35eeb4d2.png

Share this post

Link to post
Share on other sites

Garylim    10

Garylim
Posted

Managed to upload a file, seems slightly different le.... I am in Asia timing so i am nt sure if its accurate, anyway posted e coding i made,

 

Could u roughly check plszzzzzzz ??

 

day:= BarsSince(BarIx(@,StartOfDay) = 0,1,10000)+1;

day2:= BarsSince(BarIx(@,StartOfSession) = 0,1,10000)+1;

priceX:= IF(price = 1, Close(@), IF(price = 2, High(@), IF(price = 3, Low(@), IF(price = 4, Mid(@), IF(price = 5, HLC3(@), IF(price = 6, Avg(@), IF(price=7, Open(@), 0) ) ) ) ) ) ) ;

vol:= IF( HasVal(Vol(@)) AND Vol(@) > 0, Vol(@), 1) ;

a:= Sum(priceX* vol,day)/ Sum(vol,day);

b:= Sum(priceX* vol,day2)/ Sum(vol,day2);

c1:= Sum(priceX* vol,Period)/ Sum(vol,Period);

VWAP:= IF(DaySessionPeriod = 1, a, IF(DaySessionPeriod = 2, b, IF(DaySessionPeriod = 0, c1, a) ) );

 

DAYSES:= STDDEV(@,day)/100;

SES:= STDDEV(@,day2)/100;

ANY:= STDDEV(@,Period);

STD:=IF(DaySessionPeriod = 1, DAYSES, IF(DaySessionPeriod = 2, SES, IF(DaySessionPeriod = 0, ANY, ANY) ) );

R:=VWAP+((STD*DEV3));

untitled.thumb.JPG.32609a3b58f73f1048ae6b10ab0341ca.JPG

Share this post

Link to post
Share on other sites

BlowFish    10

BlowFish
Posted

Ok here are 1 tick and 2 min vwaps for the whole days session (Friday). Note the early hour is included. Also note that the time scale is UK time (we don't change to summer time until next weekend so a confusing part of the year). I could have my session times off by an hour I am not trading the DAX right now so haven't checked. Let me know if the session dosen't look right and I'll make adjustments.

 

Things could vary a little with different data sources and on the 2 min how you decide to average the value for your 2 min bar. Importantly you can see both 'work' in so far as price tends to respect the lines. The pvp is a whole other debate, I have some reservations and observations there. That's for another time.

daxtickvwap.thumb.png.ab5a33cf4ff813c54043b4eb0189b70c.png

dax2minvwap.thumb.png.7d8a81756c557b01a6728e8aefbc5756.png

Share this post

Link to post
Share on other sites

BlowFish    10

BlowFish
Posted (edited)
seems similiar........

 

u any idea if my coding is correct though?

 

Not really to be honest I don't know CQG script. If you follow through through the threads there is detailed descriptions of the algorithm in one of them. Did you get the same closing prices (or similar) for the VWAP and bands?

 

Edit: a cursory look would suggest that things might not be correct. Every time you have new volume you need to re calculate the weighting using the new total volume for the whole day. This is discussed at some length in one of the threads as it is a common mistake that people have made in the past. It is probably in the thread where SD is first introduced.

Edited by BlowFish

Share this post

Link to post
Share on other sites

BlowFish    10

BlowFish
Posted

I could be wrong! but the common mistake is that people dont go back and divide every piece of data by the new total volume. I don't know cqg well enough to tell but there is normally a loop but I don't see that.

Share this post

Link to post
Share on other sites

HAL9000    10

HAL9000
Posted

Well, I don't know CQG script as well, so be careful with my thoughts!

 

First thing what I see is:

 

vol:= IF( HasVal(Vol(@)) AND Vol(@) > 0, Vol(@), 1) ;

 

My understanding is, that the IF syntax in somehow:

 

IF (

what is it,

-> true then do Vol(@),

-> false then do 1);

 

Now false would lead to a volume of 1, my question is:

 

Why not zero or "nothing"?

 

...

Share this post

Link to post
Share on other sites

HAL9000    10

HAL9000
Posted

R:=VWAP+((STD*DEV3));

 

I can't see how VWAP or DEV3 are calculated.

So am I missing something? Where do these values come from?

 

Without knowing it, no further conclusion is ...

 

BTW: What parameters are you using? You have to need some, maybe I just missed them (day, day2?)?

Share this post

Link to post
Share on other sites

HAL9000    10

HAL9000
Posted

Maybe, what I like to say is, that I can't see how you

draw the 1, 2, 3 SD bands on your charts, while I just see

that a SD is calculated. The R might be a different thing,

but without all information, how should ...

Share this post

Link to post
Share on other sites

Garylim    10

Garylim
Posted

hmmm....

 

these are the coding they gave me though.... i will go back and see if there is any more.

 

 

But u guys seem to know it better though. Is the script above considered a "code" ?

Share this post

Link to post
Share on other sites

Garylim    10

Garylim
Posted

Here is the full curves for CQG. Could any1 please take a look to see if anything is missing?

 

I noted that the std deviation are all constant from each other so there is something wrong but i do not know what.

 

HELP !!!

 

 

Deviation 3 Curve:

 

day:= BarsSince(BarIx(@,StartOf Day) = 0,1,10000)+1;

day2:= BarsSince(BarIx(@,StartOf Session) = 0,1,10000)+1;

priceX:= IF(price = 1, Close(@), IF(price = 2, High(@), IF(price = 3, Low(@), IF(price = 4, Mid(@), IF(price = 5, HLC3(@), IF(price = 6, Avg(@), IF(price=7, Open(@), 0) ) ) ) ) ) ) ;

 

vol:= IF( HasVal(Vol(@)) AND Vol(@) > 0, Vol(@), 1) ;

 

a:= Sum(priceX* vol,day)/ Sum(vol,day);

b:= Sum(priceX* vol,day2)/ Sum(vol,day2);

c1:= Sum(priceX* vol,Period)/ Sum(vol,Period);

 

VWAP:= IF(DaySessionPeriod = 1, a, IF(DaySessionPeriod = 2, b, IF(DaySessionPeriod = 0, c1, a) ) );

 

 

 

DAYSES:= STDDEV(@,day)/100;

SES:= STDDEV(@,day2)/100;

ANY:= STDDEV(@,Period);

STD:=IF(DaySessionPeriod = 1, DAYSES, IF(DaySessionPeriod = 2, SES, IF(DaySessionPeriod = 0, ANY, ANY) ) );

 

R:=VWAP+((STD*DEV3));

 

Deviation 2 Curve:

 

day:= BarsSince(BarIx(@,StartOf Day) = 0,1,10000)+1;

day2:= BarsSince(BarIx(@,StartOf Session) = 0,1,10000)+1;

priceX:= IF(price = 1, Close(@), IF(price = 2, High(@), IF(price = 3, Low(@), IF(price = 4, Mid(@), IF(price = 5, HLC3(@), IF(price = 6, Avg(@), IF(price=7, Open(@), 0) ) ) ) ) ) ) ;

 

vol:= IF( HasVal(Vol(@)) AND Vol(@) > 0, Vol(@), 1) ;

 

a:= Sum(priceX* vol,day)/ Sum(vol,day);

b:= Sum(priceX* vol,day2)/ Sum(vol,day2);

c1:= Sum(priceX* vol,Period)/ Sum(vol,Period);

 

VWAP:= IF(DaySessionPeriod = 1, a, IF(DaySessionPeriod = 2, b, IF(DaySessionPeriod = 0, c1, a) ) );

 

DAYSES:= STDDEV(@,day)/100;

SES:= STDDEV(@,day2)/100;

ANY:= STDDEV(@,Period);

STD:=IF(DaySessionPeriod = 1, DAYSES, IF(DaySessionPeriod = 2, SES, IF(DaySessionPeriod = 0, ANY, ANY) ) );

 

VWAP+((STD*DEV2));

 

Deviation 1 Curve:

 

day:= BarsSince(BarIx(@,StartOf Day) = 0,1,10000)+1;

day2:= BarsSince(BarIx(@,StartOf Session) = 0,1,10000)+1;

priceX:= IF(price = 1, Close(@), IF(price = 2, High(@), IF(price = 3, Low(@), IF(price = 4, Mid(@), IF(price = 5, HLC3(@), IF(price = 6, Avg(@), IF(price=7, Open(@), 0) ) ) ) ) ) ) ;

 

vol:= IF( HasVal(Vol(@)) AND Vol(@) > 0, Vol(@), 1) ;

 

a:= Sum(priceX* vol,day)/ Sum(vol,day);

b:= Sum(priceX* vol,day2)/ Sum(vol,day2);

c1:= Sum(priceX* vol,Period)/ Sum(vol,Period);

 

VWAP:= IF(DaySessionPeriod = 1, a, IF(DaySessionPeriod = 2, b, IF(DaySessionPeriod = 0, c1, a) ) );

 

DAYSES:= STDDEV(@,day)/100;

SES:= STDDEV(@,day2)/100;

ANY:= STDDEV(@,Period);

STD:=IF(DaySessionPeriod = 1, DAYSES, IF(DaySessionPeriod = 2, SES, IF(DaySessionPeriod = 0, ANY, ANY) ) );

 

VWAP+((STD*DEV1));

 

Vwap:

 

day:= BarsSince(BarIx(@,StartOf Day) = 0,1,10000)+1;

day2:= BarsSince(BarIx(@,StartOf Session) = 0,1,10000)+1;

priceX:= IF(price = 1, Close(@), IF(price = 2, High(@), IF(price = 3, Low(@), IF(price = 4, Mid(@), IF(price = 5, HLC3(@), IF(price = 6, Avg(@), IF(price=7, Open(@), 0) ) ) ) ) ) ) ;

 

vol:= IF( HasVal(Vol(@)) AND Vol(@) > 0, Vol(@), 1) ;

 

a:= Sum(priceX* vol,day)/ Sum(vol,day);

b:= Sum(priceX* vol,day2)/ Sum(vol,day2);

c1:= Sum(priceX* vol,Period)/ Sum(vol,Period);

 

VWAP:= IF(DaySessionPeriod = 1, a, IF(DaySessionPeriod = 2, b, IF(DaySessionPeriod = 0, c1, a) ) );

 

DAYSES:= STDDEV(@,day)/100;

SES:= STDDEV(@,day2)/100;

ANY:= STDDEV(@,Period);

STD:=IF(DaySessionPeriod = 1, DAYSES, IF(DaySessionPeriod = 2, SES, IF(DaySessionPeriod = 0, ANY, ANY) ) );

 

VWAP

 

- Deviation 1:

 

day:= BarsSince(BarIx(@,StartOf Day) = 0,1,10000)+1;

day2:= BarsSince(BarIx(@,StartOf Session) = 0,1,10000)+1;

priceX:= IF(price = 1, Close(@), IF(price = 2, High(@), IF(price = 3, Low(@), IF(price = 4, Mid(@), IF(price = 5, HLC3(@), IF(price = 6, Avg(@), IF(price=7, Open(@), 0) ) ) ) ) ) ) ;

 

vol:= IF( HasVal(Vol(@)) AND Vol(@) > 0, Vol(@), 1) ;

 

a:= Sum(priceX* vol,day)/ Sum(vol,day);

b:= Sum(priceX* vol,day2)/ Sum(vol,day2);

c1:= Sum(priceX* vol,Period)/ Sum(vol,Period);

 

VWAP:= IF(DaySessionPeriod = 1, a, IF(DaySessionPeriod = 2, b, IF(DaySessionPeriod = 0, c1, a) ) );

 

DAYSES:= STDDEV(@,day)/100;

SES:= STDDEV(@,day2)/100;

ANY:= STDDEV(@,Period);

STD:=IF(DaySessionPeriod = 1, DAYSES, IF(DaySessionPeriod = 2, SES, IF(DaySessionPeriod = 0, ANY, ANY) ) );

 

VWAP - ((STD*DEV1));

 

-Deviation 2:

 

day:= BarsSince(BarIx(@,StartOf Day) = 0,1,10000)+1;

day2:= BarsSince(BarIx(@,StartOf Session) = 0,1,10000)+1;

priceX:= IF(price = 1, Close(@), IF(price = 2, High(@), IF(price = 3, Low(@), IF(price = 4, Mid(@), IF(price = 5, HLC3(@), IF(price = 6, Avg(@), IF(price=7, Open(@), 0) ) ) ) ) ) ) ;

 

vol:= IF( HasVal(Vol(@)) AND Vol(@) > 0, Vol(@), 1) ;

 

a:= Sum(priceX* vol,day)/ Sum(vol,day);

b:= Sum(priceX* vol,day2)/ Sum(vol,day2);

c1:= Sum(priceX* vol,Period)/ Sum(vol,Period);

 

VWAP:= IF(DaySessionPeriod = 1, a, IF(DaySessionPeriod = 2, b, IF(DaySessionPeriod = 0, c1, a) ) );

 

DAYSES:= STDDEV(@,day)/100;

SES:= STDDEV(@,day2)/100;

ANY:= STDDEV(@,Period);

STD:=IF(DaySessionPeriod = 1, DAYSES, IF(DaySessionPeriod = 2, SES, IF(DaySessionPeriod = 0, ANY, ANY) ) );

 

VWAP - ((STD*DEV2));

 

-Deviation 3:

 

day:= BarsSince(BarIx(@,StartOf Day) = 0,1,10000)+1;

day2:= BarsSince(BarIx(@,StartOf Session) = 0,1,10000)+1;

priceX:= IF(price = 1, Close(@), IF(price = 2, High(@), IF(price = 3, Low(@), IF(price = 4, Mid(@), IF(price = 5, HLC3(@), IF(price = 6, Avg(@), IF(price=7, Open(@), 0) ) ) ) ) ) ) ;

 

vol:= IF( HasVal(Vol(@)) AND Vol(@) > 0, Vol(@), 1) ;

 

a:= Sum(priceX* vol,day)/ Sum(vol,day);

b:= Sum(priceX* vol,day2)/ Sum(vol,day2);

c1:= Sum(priceX* vol,Period)/ Sum(vol,Period);

 

VWAP:= IF(DaySessionPeriod = 1, a, IF(DaySessionPeriod = 2, b, IF(DaySessionPeriod = 0, c1, a) ) );

 

DAYSES:= STDDEV(@,day)/100;

SES:= STDDEV(@,day2)/100;

ANY:= STDDEV(@,Period);

STD:=IF(DaySessionPeriod = 1, DAYSES, IF(DaySessionPeriod = 2, SES, IF(DaySessionPeriod = 0, ANY, ANY) ) );

 

VWAP - ((STD*DEV3));

Share this post

Link to post
Share on other sites

malverd    10

malverd
Posted

Jerry,

 

I haven't seen you mention the following scenario:

 

For long:

 

The VWAP is above the PVP and lower SD1, SD2, etc. is also above the PVP.

 

I know you mention bounces off of the upper SD1 and VWAP are high probability trades.

 

But I watched you video on the symmetrical YM trade and obviously price was not above VWAP on that trade.

 

Would it be a high probability trade to take bounces off of the lower SD1 and SD2?. I realize that price is not above VWAP.

 

Also in that YM trade, you mentioned that you were using no stop loss. I assume that you were using a “stop” based on your full risk tolerance. If the trade had not worked out and the VWAP went below PVP, would you have exited the trade immediately?

 

Thanks

Share this post

Link to post
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.

×
Go To Topic Listing
×
×
  • Create New...

Important Information

By using this site, you agree to our Terms of Use.

  I accept