Playing with the VMAR`s open research

[Blu-Ray 10]

Here goes for TS users:

 

Chimp2_1 and Chimp2_2

 

This WILL NOT work on forex as TS data has no forex volume, also they are plotting near identical to each other, which I think is an error on my behalf, but lets see if this has any mileage in it first before I spend all my time trying to fix the error.

 

Chimp1_6 Mom

 

ChimpMom1

 

This has an additional input to the MT4 version, so you need to put in the number of decimal places for the relevant symbol you are looking at. Also this plots nearly exactly the same as Chimp1_6Mom. Again I might be wrong here, but I think the inputs on this indicator just move the top and bottom horizontal lines.

 

Hope this helps

 

Blu-Ray

CHIMP2_1.ELD

CHIMP2_2.ELD

CHIMP1_6.ELD

CHIMPMOM1.ELD

[michaltrade 10]

Blu-Ray,

Thank you for keeping up with "the bull" Pyenner. The VMAR research team: the Chimp, the Bull, and the ... (should I call you the Tiger?) have done an excellent and amazing project!!! CONGRATULATION. :cheers:

[Blu-Ray 10]

Blu-Ray,

Thank you for keeping up with "the bull" Pyenner. The VMAR research team: the Chimp, the Bull, and the ... (should I call you the Tiger?) have done an excellent and amazing project!!! CONGRATULATION. :cheers:

 

Thanks Michal, it's good to be part of this evolution.

 

Cheers

 

Blu-Ray

[Reaver 10]

Thanks for all the effort on the thread Walter, Bruce and Blu-Ray.

[PYenner 10]

Chimp2_1 and Chimp2_2 lets see if this has any mileage in it first

Yes, the volume thing needs more work from me before it should get any from you. Very early days.

ChimpMom1 plots nearly exactly the same as Chimp1_6Mom.

It is, wanted it to be a branch on its own, it is not vma related.

I think the inputs on this indicator just move the top and bottom horizontal lines.

Yes thats all the pip input does. It was to save people having to put in "fixed max" and min each time they use it. MT4 doesn't let me preset fixed max and min so tried to find the next best way.

 

Also the 0.0003 and 0.0006 lines will be a pest on any pair other than audusd, they really need to be done in pips too so they adjust to other pairs, but for now thats as far as it has got.

 

Sorry for the shambles.

[Blu-Ray 10]

PYenner

 

Thank you for clearing those up, it's much appreciated.

 

Cheers

 

Blu-Ray

[PYenner 10]

Blu-Ray,

Thank you for keeping up with "the bull" Pyenner. The VMAR research team: the Chimp, the Bull, and the ... (should I call you the Tiger?) have done an excellent and amazing project!!! CONGRATULATION. :cheers:

hehehe yeah, bit of a zoo here, or maybe a circus, or maybe its like yellow brick road since there is a Wizard involved, had been wondering about calling him Gandalf, now wondering about Oz.

Keep those beers and nanas coming...

[tradertom 10]

Hi Guys i have been following this thread with great interest and would like to congratulate you all on a job well done. I have a couple of questions if you wouldnt mind answering please: what do you consider to be the best settings for the VarMa when used in conjunction with a 5 or 15 minute chart. Also i use esignal charting and am used to riding this same old bike. Is there anyone on here who would know where i can get the VarMA and the fantail VMA3 so i can use on my esignal charts. please advise thank you. By the way have anyone traded live on this indicator as yet...theres nothing like jumping in at the deep end...lol. Thanks

[walterw 10]

Hi Guys i have been following this thread with great interest and would like to congratulate you all on a job well done. I have a couple of questions if you wouldnt mind answering please: what do you consider to be the best settings for the VarMa when used in conjunction with a 5 or 15 minute chart. Also i use esignal charting and am used to riding this same old bike. Is there anyone on here who would know where i can get the VarMA and the fantail VMA3 so i can use on my esignal charts. please advise thank you. By the way have anyone traded live on this indicator as yet...theres nothing like jumping in at the deep end...lol. Thanks

 

Hi TraderTom, the aplications of vma`s are vast...

 

so far you may want to check some of my threads where I try to show how I use them on real life situations... the latest (recomended) is here http://www.traderslaboratory.com/forums/f24/the-chimp-s-forex-trades-2698.html it will contain medium term and scalp type trades on the same thread... at this point I am researching on forex... I normally trade futures...

 

cheers Walter.

[PYenner 10]

tradertom

I have only been doing scalps recently because the market seems to lack confidence and trends dont seem to last long. I have not been systematic because I have usually been pursuing some one aspect like trying to pick the quick trades and try to get the entry timing spot on, quick in and out stuff.

It is building towards a full setup but it has been progressive. Encouraging at least.

[PYenner 10]

Chimp3_1.mq4

The directional confusion should be fixed now.

 

A desensitizing option has been added to tame the wild chimp.

Can be set from 0 up. Preset to 1.0 but try 0.5 and 1.5.

May prefer different settings on 1min and 5min charts.

 

With DeSens set to 1, the smaller swings look smaller and give less encouragement to trade exhausted markets. Also looks a bit saner.

 

The preset level settings at 3 pips and 6 pips have been removed because the useful level marker settings will now depend on how much DeSens is used.

The idea was to support use of a rule to stay out of the market if the swings are below 0.2 say?? Whatever works out as a useful combination of DeSens setting and swings big enough to trade.

 

Level markers can still be setup by the user to suit...

Chimp3_1.mq4

[walterw 10]

Interesting variations here Bruce...

 

 

I was wondering if I would ask you or not... I dont want to abuse your great willigness... but I see your great inertia on the programing thing and the chimp has some paralel research ideas that could really be very cool...

 

 

Let me tell you what I have in mind...

 

I would love to translate Jerry`s great statistical method into forex..

 

here are some of his threads :

 

http://www.traderslaboratory.com/forums/f6/trading-with-market-statistics-i-volume-1962.html

 

http://www.traderslaboratory.com/forums/f6/trading-with-market-statistics-ii-the-1990.html

 

http://www.traderslaboratory.com/forums/f6/trading-with-market-statistics-iii-basics-2008.html

 

etc until... part 10...

 

If we could get vwap and the sd`s of vwap coded into mt4... wich I believe is not great deal, we could have his method running for forex...

 

Now my idea is to use Jerry`s setups on 5 min charts, combined with my universal timing on 1 min using my super 2 vma`s ¡¡

 

I know that such a fusion of methods would give a final very cool product...

 

You tell me if this could be done eventually.... cheers Walter.

[PYenner 10]

Walter

Vwap signals of some sort might be possible but might end up with a primative form of display depending on what capabilities MT4 has for horizontal histograms or whatever. Do you need all those lines or just a pointer moving on a line between two end points whatever?? Afraid it kinda seemed like a "bounce between 2 HEs" theory to me, need to read more I guess. imo statistics belong in the past because that is all they apply to.

 

For Chimp3_1 on 1min try 2 2 1 1 maybe...

[PYenner 10]

Walter

-->You tell me if this could be done eventually..

Maybe some chance yes, dunno when.

 

Going to have a go at putting the adx_bars thing back into Chimp oscillator now that it manages to swing both ways without doing odd things. The ADX_bars thing makes the HEs, dunno whats going to happen, time will tell.

If it aint nutty then may get a chance at another variation on vma for the main chart too.

Cheers

[walterw 10]

Bruce : the Vwap indicator is like a moving average...

 

for its calculation I copy this explanation from Jerry :

 

In order to shed more light on this, I want to introduce the concept of the volume weighted average price or VWAP. The VWAP is a well known quantity used by institutional traders to gauge there trading performance. It's use as a day trading tool however has not been fully explored. The VWAP is simply the average of the Volume Distribution Function. The figures below show examples. The red line is the PVP of the distribution and the light blue line is the VWAP for the distribution. To compute it, take the volume Vi for each bar i in the distribution, multiply it by the bars price, Pi, compute the sum, SUM(PiVi) and divide by the total volume, Vtotal, for the whole distribution:

 

VWAP = [sUM (PiVi)]/Vtotal

 

The VWAP has the following characteristics:

 

1) Being the average for the entire distribution, Volume traded above the VWAP is identical to volume traded below the VWAP.

 

In terms of the distribution function as a probability function, it means that when price action is at the VWAP, there is equal probability for price to move up as there is for price to move down.

 

 

then adding the Standard deviation bands from vwap would make the picture more complete for the trader as Jerry shows a lot of strategies from this bands

 

here is the formulas for the bands described by Jerry :

 

While we won't address all these questions in one thread their answers can be obtained by analysis of the volume distribution function. To do so requires that we introduce a third property of the volume distribution function called the Standard Deviation of the VWAP, SD for short. SD is computed from the following equations:

 

 

where the summation subscript i, runs over all prices in the volume distribution

pi = ith price in the volume distribution

Pi = vi/V is the probability of occurrence of price pi

vi = the volume traded at price pi from the volume distribution

V = total volume for the entire distribution

 

That's a mouthful. If you would like more details about the variance and the standard deviation, see the wikipedia reference

http://en.wikipedia.org/wiki/Variance and references therein.

So what does the Standard Deviation tell you?

Well for starters,

SD tells you how far you can expect price to move away from the VWAP.

 

It can be shown (but we won't prove it here ) that computing the SD with respect to the VWAP gives the smallest expectation of price movement.

 

basicly having this two indicators, it should give us a chart that would look something like this :

 

 

 

but on a forex chart....

 

About the pvp... its a MP type indicator that already exists for mt4... no programing needed there...

 

The challenge would be to program vwap and the SD`s from vwap...

 

This levels have a very good performance for rejection strategies, if we combine that with the 1 min universal timing with vma`s it would certainly have a very high rate of succes... I am very positive about this idea...

 

I dont know if this explains a little more what I was proposing... cheers Walter.

[PYenner 10]

Walter

That helps a lot, nice intro/summary.

Looks easier than I first thought, even looks useful.

Had seen that the vwap threads were popular but had not gone into it.

It is probably the sensible option as you say.

Will start looking at it.

Don't expect overnight delivery.

Cheers

[walterw 10]

Walter

That helps a lot, nice intro/summary.

Looks easier than I first thought, even looks useful.

Had seen that the vwap threads were popular but had not gone into it.

It is probably the sensible option as you say.

Will start looking at it.

Don't expect overnight delivery.

Cheers

 

 

Great Bruce ¡¡ offcourse there is no hurry, its just a nice idea to add here...

 

 

cheers Walter.

[PYenner 10]

Walter

 

First the good news, MT4 can do horizonal bars, they call them Rays.

So pvp display is possible.

 

Then comes the bad news.

The vmap uses a linear sum or average, whichever you chose to call it.

That means it has to be restarted regularly, it can't be left running continuously without slowing down the platform to a crawl.

More than that, the weight of accumulating historical data will soon make it insensistive to new incoming data and the signal will go flatline.

 

If the pvp uses a similar process then it has the same problem.

 

If you stick with the fix they are using, restarting it every few hours, then you have the problem of what rule do you use about when you restart it, how long you wait for it to warm up, and how much user time you have before you should restart it again. If pvp and vwap have the same insides then they both need to be restarted at the same time.

 

It is primative at a very basic level, you change anything at that level, to turn it into using ema's so you dont have to restart it all the time, then firstly it becomes a different beast and secondly it has a new set of limitations in place of the old ones.

 

Now I have not looked at bollinger or other things that use variance or standard deviation, but I dont see those things getting restarted so I suspect the thing needs to be redesigned from the ground up so that it does use running averages in the same way as other instruments appear to do.

 

I can see little point in duplicating the existing software onto MT4, it needs to be designed with a more practical approach. The present design is unstable, it has not been thought out far enough to make it stable and that should have been the starting point from the beginning.

 

You could say it is running on tyres that keep going flat and need to be pumped up every few hours.

 

Any version you come up with will have the same problems with smoothing (long history samples) making the signal slow to respond to incoming data.

 

It might make more sense to start with bollinger and modify it to include volume. It appears to need about 4hrs of data or 48 bars on a 5 min chart or 200 plus on a 1min chart. I have not tried a bb that slow but comparing a slow bb to a normal one might give a picture of what might be done or might be needed.

[PYenner 10]

Walter

 

More talk on vwap.

I have seen times in forex when vwap could be useful on a really long time span, 1 week to 1 month or more, when the price tends to swing within a band.

Our present needs are more like scalping.

But if ema's of prices can be used then it helps in making for a system that might eventually expand into other time frames and other pairs that are more or less volatile, just like vma is tending to do now.

Then you wouldn't have to be restarting the vwap indicators all the time.

 

I have a funny feeling multiple bbs could already be used to get results something like vwap, just a bit clumsy at first.

 

Umm I need to get some quality chart time as a priority for a while and be a bit single minded about that. So, not overnight delivery on vwap maybe.

Cheers

Bruce

[walterw 10]

Walter

 

First the good news, MT4 can do horizonal bars, they call them Rays.

So pvp display is possible.

 

Then comes the bad news.

The vmap uses a linear sum or average, whichever you chose to call it.

That means it has to be restarted regularly, it can't be left running continuously without slowing down the platform to a crawl.

More than that, the weight of accumulating historical data will soon make it insensistive to new incoming data and the signal will go flatline.

 

If the pvp uses a similar process then it has the same problem.

 

If you stick with the fix they are using, restarting it every few hours, then you have the problem of what rule do you use about when you restart it, how long you wait for it to warm up, and how much user time you have before you should restart it again. If pvp and vwap have the same insides then they both need to be restarted at the same time.

 

It is primative at a very basic level, you change anything at that level, to turn it into using ema's so you dont have to restart it all the time, then firstly it becomes a different beast and secondly it has a new set of limitations in place of the old ones.

 

Now I have not looked at bollinger or other things that use variance or standard deviation, but I dont see those things getting restarted so I suspect the thing needs to be redesigned from the ground up so that it does use running averages in the same way as other instruments appear to do.

 

I can see little point in duplicating the existing software onto MT4, it needs to be designed with a more practical approach. The present design is unstable, it has not been thought out far enough to make it stable and that should have been the starting point from the beginning.

 

You could say it is running on tyres that keep going flat and need to be pumped up every few hours.

 

Any version you come up with will have the same problems with smoothing (long history samples) making the signal slow to respond to incoming data.

 

It might make more sense to start with bollinger and modify it to include volume. It appears to need about 4hrs of data or 48 bars on a 5 min chart or 200 plus on a 1min chart. I have not tried a bb that slow but comparing a slow bb to a normal one might give a picture of what might be done or might be needed.

 

Walter

 

More talk on vwap.

I have seen times in forex when vwap could be useful on a really long time span, 1 week to 1 month or more, when the price tends to swing within a band.

Our present needs are more like scalping.

But if ema's of prices can be used then it helps in making for a system that might eventually expand into other time frames and other pairs that are more or less volatile, just like vma is tending to do now.

Then you wouldn't have to be restarting the vwap indicators all the time.

 

I have a funny feeling multiple bbs could already be used to get results something like vwap, just a bit clumsy at first.

 

Umm I need to get some quality chart time as a priority for a while and be a bit single minded about that. So, not overnight delivery on vwap maybe.

Cheers

Bruce

 

Bruce... normally vwaps start at the begining of the session and end at the end of a session... so for forex it could have a 24 hour span starting at 00:00 hour and finishing at 23:59 ...

 

There is also a very interesting method that was developed by Paul Levine, where he would actually start the vwaps from a choosen pivot and the lines actually where not intended to be that long... in this case there is no bands...

 

The "multiple" vwaps from x key pivots would give incredible perfect pitch levels of rejections... dynamic Support and Resistance...

 

the method did not have to much popularity as Paul passed away, but its truly a gem himself... I attach a zip with some of his publishings... very interesting stuff...

 

I would say this is a vwap method where the vwap starts at predefined points (hand choosen key pivots) and creates dynamic superb Support and Resistance levels...

 

Maybe Bruce we should forgett a little bit the SD stuff and just concentrate on the vwap research at this point... do you want me to start a new thread for an open research on vwap ?.... cheers Walter.

Paul Levine Midas Trading Method 1.zip

Paul Levine Midas Trading Method 2.zip

[homestudy 10]

I have these VWAPS, don't if they are of any help. I will let you decide.

VWAP_Close.mq4

VWAP_High.mq4

VWAP_Low.mq4

VWAP_Open.mq4

[PYenner 10]

I have these VWAPS, don't if they are of any help. I will let you decide.

Hi Homestudy

I did plenty of searching and couldnt find any.

It should make life easier for me anyway.

Thank you lots.

Bruce

[PYenner 10]

the method did not have to much popularity as Paul passed away, but its truly a gem himself... I attach a zip with some of his publishings... very interesting stuff...

 

I would say this is a vwap method where the vwap starts at predefined points (hand choosen key pivots) and creates dynamic superb Support and Resistance levels...

 

Maybe Bruce we should forgett a little bit the SD stuff and just concentrate on the vwap research at this point... do you want me to start a new thread for an open research on vwap ?.... cheers Walter.

Thanks for that Walter.

Well it looks like we already got some vwaps, so maybe a thread can start already.

Umm I am afraid that MT4 will not be able to do so much heavy maths, it will miss ticks badly, I expect we will have no choice but to find another way to do vwaps that uses much less heavy maths.

[walterw 10]

I have these VWAPS, don't if they are of any help. I will let you decide.

 

 

I think that they are not vwaps... they probably are volme weighted MA`s...

 

wich is something diferent... any way thanks homestudy for your input, cheers Walter.

[PYenner 10]

I have these VWAPS, don't if they are of any help. I will let you decide.

Homestudy

 

These are a different breed of vwap, they are also a bit like an ema.

How do you describe it??

Its more like an ema of the price, using a weighting factor derived from a volume average, but don't hold me to that, I'm grasping for words here.

 

Walter

 

Some good news, looks like MT4 has an internal function for doing SDs which will help fix the slowdown problem that the other platforms were having. Variance is just the square of the Standard Deviation so the two are like cousins, but with the platform crunching SDs internally, it will work much much faster than computing variance the slow way inside an indicator program.:o

 

Midas is an amazing concept, getting rid of the time variable altogether and using volume in its place.

When I can get my head around it, I think that will answer some difficult questions for me that are all about reading the market. Could be very powerful if understood and exploited properly, you have a good eye for this stuff.