[enochbenjamin]

I actually use VWAP with Standard Deviation Lines in conjunction with pivot points. I also like drawing trend lines and if a trend line break occurs around a level with both pivots and VWAP/SD I am confident about the possibile outcome of the trade.

[FulcrumTrader]

Originally Posted by 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.

Correct....pivot points for the most part. I will say though, VWAP is still averaging the days information and creating a computational reference line that may or may not have anything to do with where smarter money sees value in that current market. VWAP can also give some really bad skews on days when multiple levels of resting inventory all get neutralized over a short period of time (like a hard trend day).

I do know a few profitable traders who do use VWAP in limited roles, so for some they may find value in the information provided.....and that is not a bad thing.

[FulcrumTrader]

Now somebody like Blowfish, who is a heck of a lot better at programming than me, should build a VWAP of the days Cumulative Delta Volume and Price averaged together......that one I will gladly back-test!!!

BTW.....I HATE programming stuff!!!

[BlowFish]

Originally Posted by FulcrumTrader »

Now somebody like Blowfish, who is a heck of a lot better at programming than me, should build a VWAP of the days Cumulative Delta Volume and Price averaged together......that one I will gladly back-test!!!

BTW.....I HATE programming stuff!!!

You know what it's on the to do list! I am not sure what it will show but I figure it might provide some pretty interesting metrics! With my renewed interest in 'delta stuff' (3rd time round now) my primary interest is selecting robust tools and data to work with. I guess the obvious choice is IRT/DTNIQ. Neoticker in the spirit of not being obvious Neoticker would fit the bill too it's whole architecture lends itself to this sort of work.

[FulcrumTrader]

Originally Posted by BlowFish »

You know what it's on the to do list! I am not sure what it will show but I figure it might provide some pretty interesting metrics! With my renewed interest in 'delta stuff' (3rd time round now) my primary interest is selecting robust tools and data to work with. I guess the obvious choice is IRT/DTNIQ. Neoticker in the spirit of not being obvious Neoticker would fit the bill too it's whole architecture lends itself to this sort of work.

Yes.....for the life of me, I do not know WHY Neoticker will not add Cumulative Delta candlesticks????????????? ????????

I know L.C. seems like a sharp guy so why not add some simple CD candlesticks......hmmmm?

[BlowFish]

Originally Posted by FulcrumTrader »

Yes.....for the life of me, I do not know WHY Neoticker will not add Cumulative Delta candlesticks????????????? ????????

I know L.C. seems like a sharp guy so why not add some simple CD candlesticks......hmmmm?

Yeah indeed very sharp, he also seems to have a really good grasp of trading issues and needs. One option of course is to string together a bunch of more general components and tools. Database, some sort of data adapter, maybe matlab or R for analysis. I really don't have the inclination for that scale of project right now.

Actually I'd use MC just for fast testing I am trying to get them to implement reading historic bids/ask info. Having said that there are some question marks over processing integrity.

[Karish]

You can get CVD in Neoticker in a snap - calculate using DayTotalBidTrades, DayTotalAskTrades CVD.
To display indicator as candlestick in the indicator setup, Meta style display as: candle, and you got it.

[BlowFish]

Originally Posted by Karish »

You can get CVD in Neoticker in a snap - calculate using DayTotalBidTrades, DayTotalAskTrades CVD.
To display indicator as candlestick in the indicator setup, Meta style display as: candle, and you got it.

I think you misunderstand what FT wanted. He was after a plot type where a new candle starts painting after a nnnnn delta change. So similar to a constant volume, or constant range chart but with new bars triggered on delta change.