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jperl

Trading with Market Statistics XI. HUP

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Nothing beats statistics when it comes to trading.

Darreeb at FF nailed it down. he combined stats with mp md level2 orderflow, in a simple sequence.

the guy is good.

so statistics is the game...............

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what do you guys think of VSA + VWAPS deviations as KEY Levels.

 

 

I think a trader can do very well with these studies, but they do have their limitations. The VWAP benchmark has been around for almost 20 years, it was developed in Asia in the early 1990's and has evolved to include the T(time)WAP and RV(relative volume)WAP. The +/- standard deviations of the VWAP often align with a prior or create a new major/minor support or resistance. How these levels are implemented into a trading system are as diverse as the individuals who trade them.

 

IMO, there are many worthless VWAP and Volume Profile indicators being plotted on charts that give users a very poor experience with these studies. From what I can see of the studies on the chart you posted (which isn't much), I would question its accuracy.

 

 

Please take the time and learn how to post your charts using the attachments (paper clip) icon, your chart is basically unreadable (to me).

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what is the theory of your analysis?

 

mmm good question. personally, im trying to combine VOLUME correlated-stuff:

(based on my believe that volume precedes price) to overcome jpearl's shapiro effect.

 

-VWAP's HUP

 

i been watching these levels for sometime and its true. no question. these are good pivot points. and good enough, these are based on Volume.

 

yet why im looking to bypass the Shapiro Effect as a filter for price direction. well the shapiro effect its just an analysis based on price data.

 

like somebody wrote on these threads before maybe it is a good idea to add a delta footprint chart to filter price direction or other volume based study. why not?

 

i been plotting delta divergences and VSA and stuff and maybe it can provide a better filter.

im just eye-testing stuff.... looks OK.

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I think a trader can do very well with these studies, but they do have their limitations. The VWAP benchmark has been around for almost 20 years, it was developed in Asia in the early 1990's and has evolved to include the T(time)WAP and RV(relative volume)WAP. The +/- standard deviations of the VWAP often align with a prior or create a new major/minor support or resistance. How these levels are implemented into a trading system are as diverse as the individuals who trade them.

 

IMO, there are many worthless VWAP and Volume Profile indicators being plotted on charts that give users a very poor experience with these studies. From what I can see of the studies on the chart you posted (which isn't much), I would question its accuracy.

 

 

Please take the time and learn how to post your charts using the attachments (paper clip) icon, your chart is basically unreadable (to me).

 

sorry. this shot is better.

VSA

41031849.jpg

 

Uploaded with ImageShack.us

(nodemand, nosupply, stopping volume, profittake).

 

Volume-delta patterns(exhaustion,flush,divergences).

deltana.jpg

 

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sorry. this shot is better.

 

Yes, the charts are better, and the Std Dev lines look OK at first glance. :) But there is no need to use Image Shack for your posts. This is a great thread and you are posting links that will sooner or later be disabled. I used the search link and found this, http://www.traderslaboratory.com/forums/beginners-forum/805-how-post-chart-properly.html#post2806 maybe it will help.

 

What time zone is posted on your charts, AND does Trade Station allow you to change the Start time of your VWAP indicator?

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I do not see the PoC (or its equivalent) to judge the skew in your charts.

 

JPerl gave the Shapiro as a very basic filter for judging direction. We can use that or whatever we are confident about. This flexibility is what makes Jperl's Market Stats approach absolutely brilliant.

 

Jose Kollamkulam

 

what do you guys think of VSA + VWAPS deviations as KEY Levels.

 

vsavwaps.jpg

 

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I do not see the PoC (or its equivalent) to judge the skew in your charts.

 

JPerl gave the Shapiro as a very basic filter for judging direction. We can use that or whatever we are confident about. This flexibility is what makes Jperl's Market Stats approach absolutely brilliant.

 

Jose Kollamkulam

 

Indeed. As Jose points out it is a simple price pattern that shows that price has changed direction (though I'd be inclined to call it a trigger rather than a filter). It's kind of similar to what old timers would have called a key reversal. You could substitute anything that indicated that price had been rejected or supply/demand had shifted at a market stats derived level.

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

I don't think this question has ever really been answered specifically but I apologize if it was. I may be a bit behind in some responses but don't see this one addressed well. No offense to Jpearl as this threads really rocks.

 

For example: Jerry has mentioned to use a 5 day period but what do we do when Monday morning comes around or we start any new day ? Do we drop off the oldest day as the new day begins ? This would then have only 4 completed days and then the start of the current day...so that isn't a complete 5 day period until we finish that days worth of trading. Dropping data might also affect where VWAP now is or the PVP ! So that would mess up the concept of the skew.

 

We can apply the same concept to a 10 day or twenty day period. Really any period of time. Dropping data may change the skew, vwap and PVP. If all of this has been addressed then please tell me where so I don't waste the forums time. We can't say that it doesn't matter when we start or stop the time frame unless we are in agreement that the concept of skew doesn't matter.

 

Hopefully someone can shed some light here or point me in the right direction so I can do further research. Thanks

 

 

 

 

 

Hi Jerry,

with the longer term HUP's such as 5,10, and 20 day,do you use a rolling time period or a fixed time?

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