Playing with the Dynamic Vwaps open research

[walterw 10]

So here I open this thread where we can open our minds arround this new dynamic vwaps...

 

Here we can interact freely on the great amount of alternatives this type of indicator brings.. I know we may come up with very cool ideas on how we can use them... and even more, we can optimize some programing ideas into this very interesting algorithm...

 

 

For the people that are not following the very first genesis on this ideas, let me make a small intro about this...

 

Vwaps ... we have a great deal of information with great detail here on TL thanks to Jerry`s great Threads, I understand at this point they are already 11 threads... great info, great teaching ¡¡ thanks Jerry ¡¡

 

Here are some links to Jerrys 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

 

now, vwaps here will be treated with some new variations... the first new concept to be introduced here is Paul Levines Midas aproach...

 

Basicly he takes vwaps (btw we must check his exact formulation) and he has the ability to choose from what date and time the vwap starts... from there on we will call them : dynamic vwaps as they are dynamic into the flexibility we have of choosing where they start...

 

I attach once again his material wich was published for the free public... Unfortunately Paul passed away and his method did not pick much popularity...

 

Well here we are ¡¡ ready to revisit the method and also start creating some fancy NEW IDEAS arround this indicator...

 

Nothing could be done without the tools... and this week we had the blessing of having programed one very first version of this tools on NT (Ninjatrader) charting platform... the vwap was programed for NT by Josh on Ninjatrader Forum who is a Certified NinjaScript Expert and here on TL is cvax... then Sparrow did program the dynamic version wich has the ability to choose the time where the vwap starts plotting... so YES ¡¡ we got a very nice first tool to start working on...

 

Apart of being vwaps, they also have sd bands as well...

 

So here will be the arena to deal with this topic... we will see where we get...

 

hope somwhere jejeje.... cheers Walter.

Paul Levine Midas Trading Method 1.zip

Paul Levine Midas Trading Method 2.zip

[walterw 10]

Here goes the first two versions Sparrow created on the indicator... cheers Walter.

VWAP_v0[1].1.6b.zip

VWAPMulti_v0[1].9.zip

[darthtrader 10]

fantastic, look forward to this thread.

I broke my brain trying to understand how to change that original vwap script that was on the forum.

[jperl 11]

So here I open this thread where we can open our minds arround this new dynamic vwaps...

 

Here we can interact freely on the great amount of alternatives this type of indicator brings.. I know we may come up with very cool ideas on how we can use them... and even more, we can optimize some programing ideas into this very interesting algorithm...

 

Walter,

VWAP computations are of course intrinsically dynamic and their value depends only on the starting time. In the [thread=2322]scalping thread [/thread], I pointed out that you could start a VWAP computation at any time during the day and use it to scalp the market. This usually works well, but as usual you still have to be careful with breakouts.

 

The other point to be made is the dynamic nature of VWAP and its standard deviations allow you to use them as if they were pivot points from previous days, weeks, months, years. I discussed this in the [thread=2735] HUPthread [/thread]

The advantage of using these instead of the standard pivot values is

a)They are not huristic, but based on the pure statistics of the market price and volume data and b)They update dynamically rather than remain static as more data is added to the computation during the day.

 

Also thanks for the Paul Levine references. I was not aware of this work and will have to take a closer look at it.

[walterw 10]

Hi Jerry, thanks for your post here ¡¡ I consider you the expert on this arena... I really aprecciate all your great threads ¡¡ no doubts you got it to the real practical thing... I got really interested on Levine`s work as I finded some good logic behind it, now he did it on daily bars... question would be if it really would work for daytrading... but now that we got the tools we can find out how this could turn out...

 

Dynamic S&R levels from statistical analisis YES... thats for sure one big edge... obviously the capacity in reading the posible output Break or Hold its the next great edge...

 

well we will see what we can do arond Levine`s ideas... cheers Walter.

[Sparrow 10]

Hi guys,

 

I fooled around with the VWAP, checked if it is designed like the MIDAS and can confirm it. This version is more tuned to the application with the MIDAS system, however I removed the live ticks code, it uses the median price for approximation as described in the documents.

I wrote it on NT 6.5, so no idea if it is backwards compatible.

 

Have fun

VWAPMod_v09.zip

[Pat1 10]

Sparrow,

 

The code is compatible with NT 6.

 

To be truly functional, the VWAP code should be implemented similar to line studies. I'm not sure if the cursor coordinates are availble for indicator programming.

 

Super discussion. Thanks to all.

 

Pat

[walterw 10]

Nice and clean Sparrow...

 

will see what we can evolve here... its clear that pivot selections would be a start... but so far being above/ below vwap really gives a nice line on the sand... cheers Walter.

[Sparrow 10]

Pat1,

 

I totally agree, however I don't think it can be done and I haven't seen any other indicator do it. It would make finding the right launch point for the VWAP a lot easier.

A workaround would be to have an indicator that launches several(5,10,whatever) VWAPs at once scattered around a selected bar.

After chosing the right bar, simple replace the VWAPs with a single VWAP.

 

I am currently trying to implement the Topfinder/Bottomfinder, unfortunately I haven't been able to figure out what the formulas in Lesson-14 mean. It should be quite simple, any help would be appreciated.

 

Cheers

[Sparrow 10]

After some more toying around I got the StartTime to save in templates and workspaces, otherwise no further improvements.

 

TOPFINDER doesn't seem to be all that necessary when there aren't many opportunities to put it to work. Maybe I'll implement it just for kicks.

 

TOPFINDER examples are generally rare, perhaps of the order of one instance in a year's worth of data for twenty

stocks.

 

For completeness I've also added the OBV Mod which uses the median price and not the close for determining if volume should be added or subtracted. As a result levels differ a bit but formations are pretty much the same.

 

Cheers

VWAPMod_v091.zip

OBVMod_v1.zip

[walterw 10]

Sparrow : Thanks to your latest vwap versions my internal research on the topic is picking up momentum... I am on summer here and have quite some distractions, but will start sharing some ideas soon... thanks for your great cooperation ¡¡ cheers Walter.

[Sparrow 10]

Enjoy your summer Walter, who knows maybe you'll have an epiphany while relaxing on the beach, sipping on a cool drink (or whatsoever you do for fun during summer). Them girls on the beach really are a distraction, but I am sure that's not quite what you meant .

 

Cheers

[Sparrow 10]

Hi guys,

 

I've updated the indicator to use live ticks after the time it is loaded on the chart, any changes made to it afterwards will make it recalculate and revert to the median approximation though. You need to set CalculateOnBarClose to false of course. It doesn't really help with the midas system, because of chosing pivot points after they appeared on the chart. Using FX data, the approximation version didn't differ much from the live tick one but haven't run a lot of tests yet.

 

Next minor improvement is to prevent the indicator from plotting after StopTime if it is set to anything else than 00:00:00, which can be within a 24h period after the StartTime. This should help to minimize chart clutter.

 

Other major improvements could only be done with archived tick data for HUPs and more accurate calculation. This would require quite some work, I don't know yet if I'll try it, who knows if the results would be worth it.

 

Cheers

VWAPMod_v095.zip

VWAPMulti_v095.zip

[walterw 10]

who knows if the results would be worth it.

 

Cheers

 

Hi Sparrow, thanks for this great contribution...

 

we must understand that this is an open research, we really dont know if this will ever be usefull for real trading...

 

now playing with a nice idea sometimes may end on a great method or at least it will expand your overall understanding of the market... cheers Walter.

[Raj 10]

Hi guys,

 

I've updated the indicator to use live ticks after the time it is loaded on the chart, any changes made to it afterwards will make it recalculate and revert to the median approximation though. You need to set CalculateOnBarClose to false of course. It doesn't really help with the midas system, because of chosing pivot points after they appeared on the chart. Using FX data, the approximation version didn't differ much from the live tick one but haven't run a lot of tests yet.

 

Next minor improvement is to prevent the indicator from plotting after StopTime if it is set to anything else than 00:00:00, which can be within a 24h period after the StartTime. This should help to minimize chart clutter.

 

Other major improvements could only be done with archived tick data for HUPs and more accurate calculation. This would require quite some work, I don't know yet if I'll try it, who knows if the results would be worth it.

 

Cheers

Hi Sparrow:

At the outset , I should thank you for your contribution to the trading community.

 

I've down loaded both of your indicators( VWAPMod_v095 & VWAPMulti_v095) attached in your post # 13. Is these are the latest version of indicators?

 

Secondly, I could figure out to feed the parameters in the VWAPMod_v095 indicators, by selecting the start date 5 days before or 30 days before for drawing VWAP lines for 5days data or 30 days data. I have added this indicator two times in the indicator panel of the chart to draw the VWAP lines for 5 day avg. and 30 day avg. Is this procedure okay?

 

Regarding VWAPMulti_v095 indicator, in spite of selecting the start date and assigning numbers1,2&3 in the rows of Band01,Band02 & Band03 respectively, I don't see VWAP Bands on my chart. Am I missing something here? Can you help me by posting a input parameter screen with parameter selection criteria?

 

Lastly, in order to use Jerry's methodology, can you help me by posting an appropriate PVP indicator and volume histogram for Ninja charting application?

 

Appreciate your advise.

 

Regards,

 

Raj

[bomberone1 10]

is there a easylanguage version?

[ecredic 10]

Is there a AFL version?

 

Thanks!