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.

ARTjoMS

VWAP Like MA

Recommended Posts

Hello.

 

I wonder if anyone is using VWAP for a fixed number of time periods (like MA).

 

I think that thus far i have only seen vwap that is set at one particular time and eventually builds on, but i'm not sure as i haven't looked at codes.

 

Also i wonder what would be relationships between such VWAP and MA assuming same number of time periods.

 

Thank you.

Share this post


Link to post
Share on other sites
Hello.

 

I wonder if anyone is using VWAP for a fixed number of time periods (like MA).

 

I think that thus far i have only seen vwap that is set at one particular time and eventually builds on, but i'm not sure as i haven't looked at codes.

 

Also i wonder what would be relationships between such VWAP and MA assuming same number of time periods.

 

Thank you.

 

I have created VWAPs that do what you describe, and VWAPs with standard deviation bands, donchian channel deltas, and loads of other mumbo-jumbo variations . . .

 

It all boils down to this though, in my opinion - like an MA or anything else you put on your chart, it will tell you something specific about the data - but unless you have a clear way to exploit what it is that it tells you, then it won't be much help.

 

It's usually better to have in mind what is you want to achieve, and then build an appropriate tool to achieve it.

 

What is it that you hope a VWAP with a fixed window of time reference will tell you? How would you use it?

 

BlueHorseshoe

Share this post


Link to post
Share on other sites

Thanks for answer.

 

Well, i'm just a curious newbie. I was thinking that early VWAP (while it just starts to build on) is of no use and maybe someone is using what i described.

 

Also i was wondering how close VWAP and MA are and how they correlate.

 

I have a question about how these price by volume histograms are created.

 

I looked at some code and i might as well be wrong, but it felt like only information that was used to build histogram was volume + bar open + bar close + bar high +bar low, am i right?

 

I'm thinking about this in context of forex (tick) volume.

Share this post


Link to post
Share on other sites
Thanks for answer.

 

Well, i'm just a curious newbie. I was thinking that early VWAP (while it just starts to build on) is of no use and maybe someone is using what i described.

 

Also i was wondering how close VWAP and MA are and how they correlate.

 

I have a question about how these price by volume histograms are created.

 

I looked at some code and i might as well be wrong, but it felt like only information that was used to build histogram was volume + bar open + bar close + bar high +bar low, am i right?

 

I'm thinking about this in context of forex (tick) volume.

 

Hi ARTjoMS,

 

There's nothing wrong with being curious about new approaches - my post wasn't intended to discourage you in any way :) Unless you have huge amounts of time to devote to developing ideas though, it pays to go about it in an efficient way. Personally, I find that is usually best to start with a concept or a goal, and then try and work out which of the many derivations of price and other data would be the most useful in implementing it.

 

As for VWAP . . . Your understanding of how this is calculated is spot on.

 

Sometimes 'bar open + bar close + bar high + bar low' divided by four is referred to as 'Average Price', and VWAP stands for "Volume-Weighted Average Price".

 

VWAP is calculated by multiplying the Average Price by the Volume each bar, adding this to the total from the previous bar so that it becomes cummulative, and then dividing this by a cummulative total of all the volume from that session.

 

The difference between VWAP and an MA is that the former is weighted by volume. This is a bit like having an MA that 'remembers' prices at which higher volumes were traded better than those where lower volumes were traded. Depending on how you view market behaviour, high volumes traded in a particular price area can be regarded as indicating that a large number of market particpants (both buyers and sellers) considered this price to be "fair".

 

An MA is calculated purely from price.

 

So, if you consider a session in which price declines significantly on decreasing volume, then the VWAP would increasingly 'lag' price, as the lower prices of the falling market would assume less importance in the calcution due to the low volumes traded there. An MA, on the other hand, would simply follow the price down. I've attached a chart which clearly shows this.

 

I hope that helps.

 

BlueHorseshoe

5aa7112f67b21_VWAPandMA.gif.f99bef736346c637858e19dea1bae918.gif

Share this post


Link to post
Share on other sites

Thanks, the reason why i asked about it was because i felt like if i had to make such a histogram i would do it differently: every time price moves up or down i would put +1 for new price in histogram to get greater accuracy.

 

Of course putting small time frame and zooming out to maximum does give quite smooth price by volume histogram, but still.

 

I understand that it might not make a big difference, but as a math student i have used to be precise.

Share this post


Link to post
Share on other sites
Hello.

 

I wonder if anyone is using VWAP for a fixed number of time periods (like MA).

 

I think that thus far i have only seen vwap that is set at one particular time and eventually builds on, but i'm not sure as i haven't looked at codes.

 

Also i wonder what would be relationships between such VWAP and MA assuming same number of time periods.

 

Thank you.

 

get MultiCharts,

learn EasyLanguage.

you can whip up your indicator in no time,

and you can prove your thesis immediately.

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.


  • Topics

  • Posts

    • I guess US has fund managers and investment banking institutions looking after the portfolios on behalf of their clients.
    • There are many resources related to forex trading available on forums like babypips and forexfactory etc.
    • Candle stick pattern is one of the easiest charting patterns available to learn and make money. However, new traders never learn about the skills needed for earning money but they rush for making money and eventually lose their money.
    • Nothing wrong with being a ‘progressive’. Nothing wrong with being a ‘conservative’.  Very generally, ‘conservatives’ have preponderance of the here and now neurotransmitters, prefer empirical references, the rule of law, and value individual agency (It has been said that conservatives love humans and progressives love humanity) . Very generally, ‘progressives’ are dopaginaric - driven by passion for a better possible future, prefer references to others  (Example Karmela won’t answer questions with facts.  She cites the opinion of 18 ‘experts’), have a penchant for rule by man/mobs not by law , and value ‘societal' agency.  However, excesses of either tendency indicates mental illness, collective malaise, and has consequences.  When either camp is systematically captured by control seekers and/or, situationally by mobs, the whole is lessened. A key sign that is occurring is when one side no longer allows disagreement.  Progressives have  currently gone crazy in those excesses and are no longer allowing anything but unithought... examples - You can still be a vocal pro choice republican.  Try being a vocal pro life democrat. For snicks just try it.  You’ll get cancelled.  Bust a myth about blacks in America, true up the real  history of Republicans ending slavery and what has happened since, how the democrats are the party of the KKK, how Obama did not a fkn thang for blacks in general, be a black republican, etc.    You will get canceled in a heartbeat. Step up and question the social agendas of federally subsidized schools at a board meeting... get treated like shit and also get an immediate case number with the FBI ... Question the requirements to watch and lickkiss the 'rainbows' and also make sure your kids show up for it, not to mention fund transitions out of your pocket and see what you get ‘labeled’ Question mainstream media bias - even just to mention that biased, agenda driven narrative is different from truth in reporting - and see what happens to your voice... Excesses have consequences... imbalances have consequences... just sayin’
    • SBUX Starbucks stock, watch for a top of range breakout above 99.81 at https://stockconsultant.com/?SBUX
×
×
  • Create New...

Important Information

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