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Very good walter. The blue line is indeed the daily VWAP, the green and red lines are the 1st, 2nd, and 3rd Standard Deviations of the VWAP. |
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Jerry,
In your experience with these "Natural Pivots", does price ever stay above/below the 3rd standard deviation of the
VWAP for an extended period of time, or does it tend to revert and regress back towards the mean?
Also, does it matter whether the
VWAP resets at midnight or the beginning of RTH (Regular Trading Hours - e.g. 9:30 ET for the US Indices).