[smuhr]

Originally Posted by BlowFish »

Hand drawn S/R is likely to be superior to both PP & VWAP however both are adequate to trade against in a similar fashion to S/R.

As you said : "Hand drawn S/R is more efficient". I should have more self-confidence in my price action analysis.

With VWAP or PP I just want to verify my supposition and find high propability S/R.

[DugDug]

I actually thought VWAP (volume weighted average price)---(this is the same thing) was introduced by institutions in order to measure how good a brokers executions were over the day.
So while I guess it might an offer of where you would expect some reversion to the mean to occur throughout the day - it seems that a Moving avg would do much the same thing?
whereas a PP is looking for turning points in the market.......kind of very different.

maybe you could combine the two?
look to enter as a reversion to the mean, after a pivot point!
(or possibly I am missing the point)

[BlowFish]

DD correct the VWAP factors in the volume traded at each level so for example if 1000 trade @ 99 that would weigh one thousand times more than 1 @ 99. It is also an average of the whole sample (though where you start the sample is arbitrary) It is pretty different to regular moving averages.

VWAP = SUM (PriceN * VolumeN) / Total Volume for whole sample.

(Where n is each trade in the sample). This can present some computational difficulties for large samples as every element needs re weighing when a new trade arrives (because total volume changes).

[zdo]

I've heard of regenerating PP's at intervals through the day.
Does anyone have ideas or experience with VWAP's that have multiple start / restart points instead of just once at the beginning of one's session? thx

[BlowFish]

Hi ZDO,

PP's ('floor' pivots) are very robust. They seem to exhibit similar characteristics based on the previous weekl, hour, or 10,000 contracts. Put another way there seems to be more to them than just self fulfilling prophecy. When you think about how they are constructed you can understand why.

To answer your question you might want to look at Ray Baross' midas. Essentially a VWAP plotted from a recent swing high or swing low (well thats what I think it is).

Jerry talks about starting them in different places too. (Intraday for scalping and further back for swing trades). That is one of the beauties of VWAP you can pick your sample to give yu the characteristics that you desire. (You can do the same with PP's too though).

[DugDug]

While moving averages and VWAP are different - as MA is based on price, and no volume, one issue that might arise for both, but particularly the VWAP - is the dark pools and other areas of unreported liquidity, OR volume that is based on some algorithm whereby the trade and volume is not really reported until after the close. Particularly with stocks.

Whereas PP are realy just based on the recorded prices at the exchanges.

As per every system/tool I guess its a matter of using either as a tool and finding something that makes sense, is repeatable, profitable and not subject to too many variables, such as recalculation variables dependant on when the counts start.
(this always makes me stear clear of many things such as angles and slopes on a chart - in my book they are ridiculous as you can just change things to suit yourself and make anything look good)

[FulcrumTrader]

The main reason I have never used these type of perceptional indications is that all are based on a computational based assumed reality. Most frequently the plots of these various projected realities have almost no alignment with the true factual state of the key volume distributions intraday. Where real volume has been proven to be distributed and real butts are on the line with actual held resting inventory will always be the facts within the markets. As the market trades between these real zones of accumulated inventory, where large positions are being held or capitulated, that is where you will find the intraday realities in the correlated volume/price action.....and most frequently not from computational projections.

[BlowFish]

I guess you are talking more about PP's Fulcrum? VWAP is not a 'projected reality' unless you choose it to be (by selecting a data sample from the past). It is what it is (a statistically significant metric) and that is why it has numerous applications from algorithmic trading to measuring the performance of a trader working a large order.