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Enigmatics

The More Trustworthy Average: EMA, MA, or VWAP?

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  Enigmatics said:
Just out of curiosity .... I wanted to get your guys' thoughts on these three as to which would be a more viable indicator of trend.

 

what is trend to you?

how do you define your meaning of trend?

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  Enigmatics said:
Just out of curiosity .... I wanted to get your guys' thoughts on these three as to which would be a more viable indicator of trend.

 

Do you mean VWAP, volume weighted average price, or VWMA, volume weighted moving average?

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  ole said:
Do you mean VWAP, volume weighted average price, or VWMA, volume weighted moving average?

 

Definitely VWAP.

 

The reason I ask is there was a tutorial on here that depicted a VWAP/PVP trade. I it was also recommended to me to start following the VWAP by somebody else. I've found it to be very useful, but I catch a lot of resistance from others who swear by using short term EMA's or MA's when determining trend.

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I have found the VWAP to be very useful as an automated system trigger tool.

 

If you have Tradestation or similar tools, I found it useful to be able to vary the reset time of the VWAP and not use the default of either midnight or the close of previous session.

 

I have found all other moving averages to be "teaser" indicators which look good to the eye but are useless in real trading.

 

Just my opinion,

 

Momentum Chaser Steve in San Diego

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MA (and its variants) is the most useful indicator ever invented.

 

but if MA cross is your signal, it is too late. you deserve to die.

this is like watching the speedometer while driving towards a wall...

if the speedometer reads more than zero when you reach the wall, you will have a crash.

you do not need the speedometer to reach zero to confirm the crash.

the speedometer is only an indicator,

how you use it depends on the context.

if you are a one trick pony,

then you might as well be a donkey.

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Let me put a short quote from the article here: "...MA is the #1 loser in the market....all indicators are loser, but MA is the leader"

There is more then enough info here, but I am open to any argument or evidence to prove it wrong.

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Some say that MAs are useful and others that they are useless. Some say that VWAP or VWMA are better or worse than EMA or SMA. Are we dealing with subjective opinions or are any or these claims backed up statistically or quanitatively?

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  ole said:
Some say that MAs are useful and others that they are useless. Some say that VWAP or VWMA are better or worse than EMA or SMA. Are we dealing with subjective opinions or are any or these claims backed up statistically or quanitatively?

 

 

some say use price action only,

some say use indicators,

some make money,

some lose money,

some are happy,

some are not.

you just have to find what works for you.

other people's PnL does little for you or me.

Edited by Tams

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  Tams said:
some say use price action only,

some say use indicators,

some make money,

some lose money,

some are happy,

some are not.

you just have to find what works for you.

other people's PnL does little for you or me.

 

In the last analysis finding what works is the bottom line. However, this search can be facilitated by studies which quantify the relationships even if only for a limited number of circumstances. Absent such studies it is hard for me to see the value of a colllection of numerous opinions. Hence, my original question about the availability of statistical and quantitative results.

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  ole said:
In the last analysis finding what works is the bottom line. However, this search can be facilitated by studies which quantify the relationships even if only for a limited number of circumstances. Absent such studies it is hard for me to see the value of a colllection of numerous opinions. Hence, my original question about the availability of statistical and quantitative results.

 

http://ssrn.com/

 

PS: Statisticians tend to be just as biased as technical analysts, when it comes to proving a stationary property of the markets.

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  Do Or Die said:
Social Science Research Network (SSRN) Home Page

 

PS: Statisticians tend to be just as biased as technical analysts, when it comes to proving a stationary property of the markets.

 

PPS: Statisticians might be biased but their statistical calculations should be objective and reproducible by third parties or else ignore their results. In any case, all that is need is not sophisticated statistical analysis but just some simple raw statistics (e.g., X% cross for EMA, Y% for..., etc.) that can be generated by backtesting with any of several programs. Some information along these lines has been published but not enough that I'm aware of to pick a winner. Without that we are left with a bunch of subjective "claims" that perhaps some find meaningful.

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  ole said:
In the last analysis finding what works is the bottom line. However, this search can be facilitated by studies which quantify the relationships even if only for a limited number of circumstances. Absent such studies it is hard for me to see the value of a colllection of numerous opinions. Hence, my original question about the availability of statistical and quantitative results.

good luck.......... I wish you the best.

 

 

to be profitable in trading,

one needs not to be a genius,

to be successful in trading,

no advanced degree is required.

all that esoteric indicators

and all that secret formulas are fluff.

to be successful and profitable in trading,

all you need is one simple mindset -- don't argue with the market

the rest of the detail will look after themselves.

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  Tams said:
good luck.......... I wish you the best.

 

 

to be profitable in trading,

one needs not to be a genius,

to be successful in trading,

no advanced degree is required.

all that esoteric indicators

and all that secret formulas are fluff.

to be successful and profitable in trading,

all you need is one simple mindset -- don't argue with the market

the rest of the detail will look after themselves.

 

And how does this relate to the topic?

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  ole said:
And how does this relate to the topic?

 

if you follow the MA, you cannot be arguing with the market.

 

 

 

 

not everybody sees that.

some people needs to be told,

some people needs to be wagged by a 2x4

before they can see the light.

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you are correct Ole. Many of those studies find that MA by themselves are not that reliable. But dont forget there are a lot of 'subjective' parameters that go into what to study in those studies.

For someone to cover all the parameters, all the statistics, all of the time for all the instruments in a study - thats probably statistically impossible. :)

Plus often these things are studied not from a trading point of view but from an investors benchmark view.

Nothing works all the time, but it does not means it can not work.

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what i know is. EMA is not the actual average. the one and only actual average is SMA.

i like the idea behind VWAP and VWMA that weighting volume. but both are not that different with SMA.

so it's depend on your purpose. if you need actual average of past prices. use SMA.

or if you need just smoothing filter regardless of actual average. use any other moving averages rather than SMA.

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I can't wait to read the flames and crazy rants for what I am about to say.

 

I can teach anyone to trade using the VWAP with EMA and guarantee with my cash that they will pull 4 points ( 16 ticks) per day from the ES.

 

The trick is that they would have to do exactly what I teach them to do and nothing else. And that is a big trick indeed. The heart of forums are folks that already trade but are looking to add learn or do something else. The trick is only trade with the trend as I define.

 

The problem is so many people cant help but take counter trend trades.

 

 

Also to trade with the trend you must also be able to identify when the trend may be changing. That is why it is hard to trade with the trend. Most people have not worked on how to tell when a trend may be changing or ending.

 

Vwap will give you trend . EMA will give heads up as to when trend might be changing. Trend is not as simple as a series of higher highs ect even though that sounds logical.

 

Also to trade VWAP you do not use it as a single number but rather you must use its fractal coefficients.

 

You also must learn to read the market and understand context. Stop looking for the magic indicator of buy when this color changes etc etc.

 

So now flame on !

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  hunter1 said:
I can't wait to read the flames and crazy rants for what I am about to say.

 

I can teach anyone to trade using the VWAP with EMA and guarantee with my cash that they will pull 4 points ( 16 ticks) per day from the ES.

 

The trick is that they would have to do exactly what I teach them to do and nothing else. And that is a big trick indeed. The heart of forums are folks that already trade but are looking to add learn or do something else. The trick is only trade with the trend as I define.

 

The problem is so many people cant help but take counter trend trades.

 

 

Also to trade with the trend you must also be able to identify when the trend may be changing. That is why it is hard to trade with the trend. Most people have not worked on how to tell when a trend may be changing or ending.

 

Vwap will give you trend . EMA will give heads up as to when trend might be changing. Trend is not as simple as a series of higher highs ect even though that sounds logical.

 

Also to trade VWAP you do not use it as a single number but rather you must use its fractal coefficients.

 

You also must learn to read the market and understand context. Stop looking for the magic indicator of buy when this color changes etc etc.

 

So now flame on !

 

 

no flames,

 

but hats off to you.

 

seriously. sincerely.

 

when someone is willing to talk, I am ready to listen with humility.

 

would you like to start a new thread on your method?

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