[PYenner]

Walter
That helps a lot, nice intro/summary.
Looks easier than I first thought, even looks useful.
Had seen that the vwap threads were popular but had not gone into it.
It is probably the sensible option as you say.
Will start looking at it.
Don't expect overnight delivery.
Cheers

[walterw]

Originally Posted by PYenner »

Walter
That helps a lot, nice intro/summary.
Looks easier than I first thought, even looks useful.
Had seen that the vwap threads were popular but had not gone into it.
It is probably the sensible option as you say.
Will start looking at it.
Don't expect overnight delivery.
Cheers

Great Bruce ¡¡ offcourse there is no hurry, its just a nice idea to add here...


cheers Walter.

[PYenner]

Walter

First the good news, MT4 can do horizonal bars, they call them Rays.
So pvp display is possible.

Then comes the bad news.
The vmap uses a linear sum or average, whichever you chose to call it.
That means it has to be restarted regularly, it can't be left running continuously without slowing down the platform to a crawl.
More than that, the weight of accumulating historical data will soon make it insensistive to new incoming data and the signal will go flatline.

If the pvp uses a similar process then it has the same problem.

If you stick with the fix they are using, restarting it every few hours, then you have the problem of what rule do you use about when you restart it, how long you wait for it to warm up, and how much user time you have before you should restart it again. If pvp and vwap have the same insides then they both need to be restarted at the same time.

It is primative at a very basic level, you change anything at that level, to turn it into using ema's so you dont have to restart it all the time, then firstly it becomes a different beast and secondly it has a new set of limitations in place of the old ones.

Now I have not looked at bollinger or other things that use variance or standard deviation, but I dont see those things getting restarted so I suspect the thing needs to be redesigned from the ground up so that it does use running averages in the same way as other instruments appear to do.

I can see little point in duplicating the existing software onto MT4, it needs to be designed with a more practical approach. The present design is unstable, it has not been thought out far enough to make it stable and that should have been the starting point from the beginning.

You could say it is running on tyres that keep going flat and need to be pumped up every few hours.

Any version you come up with will have the same problems with smoothing (long history samples) making the signal slow to respond to incoming data.

It might make more sense to start with bollinger and modify it to include volume. It appears to need about 4hrs of data or 48 bars on a 5 min chart or 200 plus on a 1min chart. I have not tried a bb that slow but comparing a slow bb to a normal one might give a picture of what might be done or might be needed.

[PYenner]

Walter

More talk on vwap.
I have seen times in forex when vwap could be useful on a really long time span, 1 week to 1 month or more, when the price tends to swing within a band.
Our present needs are more like scalping.
But if ema's of prices can be used then it helps in making for a system that might eventually expand into other time frames and other pairs that are more or less volatile, just like vma is tending to do now.
Then you wouldn't have to be restarting the vwap indicators all the time.

I have a funny feeling multiple bbs could already be used to get results something like vwap, just a bit clumsy at first.

Umm I need to get some quality chart time as a priority for a while and be a bit single minded about that. So, not overnight delivery on vwap maybe.
Cheers
Bruce

[walterw]

Originally Posted by PYenner »

Walter

First the good news, MT4 can do horizonal bars, they call them Rays.
So pvp display is possible.

Then comes the bad news.
The vmap uses a linear sum or average, whichever you chose to call it.
That means it has to be restarted regularly, it can't be left running continuously without slowing down the platform to a crawl.
More than that, the weight of accumulating historical data will soon make it insensistive to new incoming data and the signal will go flatline.

If the pvp uses a similar process then it has the same problem.

If you stick with the fix they are using, restarting it every few hours, then you have the problem of what rule do you use about when you restart it, how long you wait for it to warm up, and how much user time you have before you should restart it again. If pvp and vwap have the same insides then they both need to be restarted at the same time.

It is primative at a very basic level, you change anything at that level, to turn it into using ema's so you dont have to restart it all the time, then firstly it becomes a different beast and secondly it has a new set of limitations in place of the old ones.

Now I have not looked at bollinger or other things that use variance or standard deviation, but I dont see those things getting restarted so I suspect the thing needs to be redesigned from the ground up so that it does use running averages in the same way as other instruments appear to do.

I can see little point in duplicating the existing software onto MT4, it needs to be designed with a more practical approach. The present design is unstable, it has not been thought out far enough to make it stable and that should have been the starting point from the beginning.

You could say it is running on tyres that keep going flat and need to be pumped up every few hours.

Any version you come up with will have the same problems with smoothing (long history samples) making the signal slow to respond to incoming data.

It might make more sense to start with bollinger and modify it to include volume. It appears to need about 4hrs of data or 48 bars on a 5 min chart or 200 plus on a 1min chart. I have not tried a bb that slow but comparing a slow bb to a normal one might give a picture of what might be done or might be needed.

Originally Posted by PYenner »

Walter

More talk on vwap.
I have seen times in forex when vwap could be useful on a really long time span, 1 week to 1 month or more, when the price tends to swing within a band.
Our present needs are more like scalping.
But if ema's of prices can be used then it helps in making for a system that might eventually expand into other time frames and other pairs that are more or less volatile, just like vma is tending to do now.
Then you wouldn't have to be restarting the vwap indicators all the time.

I have a funny feeling multiple bbs could already be used to get results something like vwap, just a bit clumsy at first.

Umm I need to get some quality chart time as a priority for a while and be a bit single minded about that. So, not overnight delivery on vwap maybe.
Cheers
Bruce

Bruce... normally vwaps start at the begining of the session and end at the end of a session... so for forex it could have a 24 hour span starting at 00:00 hour and finishing at 23:59 ...

There is also a very interesting method that was developed by Paul Levine, where he would actually start the vwaps from a choosen pivot and the lines actually where not intended to be that long... in this case there is no bands...

The "multiple" vwaps from x key pivots would give incredible perfect pitch levels of rejections... dynamic Support and Resistance...

the method did not have to much popularity as Paul passed away, but its truly a gem himself... I attach a zip with some of his publishings... very interesting stuff...

I would say this is a vwap method where the vwap starts at predefined points (hand choosen key pivots) and creates dynamic superb Support and Resistance levels...

Maybe Bruce we should forgett a little bit the SD stuff and just concentrate on the vwap research at this point... do you want me to start a new thread for an open research on vwap ?.... cheers Walter.

[homestudy]

I have these VWAPS, don't if they are of any help. I will let you decide.

[PYenner]

Originally Posted by homestudy »

I have these VWAPS, don't if they are of any help. I will let you decide.

Hi Homestudy
I did plenty of searching and couldnt find any.
It should make life easier for me anyway.
Thank you lots.
Bruce

[PYenner]

Originally Posted by walterw »

the method did not have to much popularity as Paul passed away, but its truly a gem himself... I attach a zip with some of his publishings... very interesting stuff...

I would say this is a vwap method where the vwap starts at predefined points (hand choosen key pivots) and creates dynamic superb Support and Resistance levels...

Maybe Bruce we should forgett a little bit the SD stuff and just concentrate on the vwap research at this point... do you want me to start a new thread for an open research on vwap ?.... cheers Walter.

Thanks for that Walter.
Well it looks like we already got some vwaps, so maybe a thread can start already.
Umm I am afraid that MT4 will not be able to do so much heavy maths, it will miss ticks badly, I expect we will have no choice but to find another way to do vwaps that uses much less heavy maths.