[Zunaa]

Originally Posted by BlowFish »

Good job anyway! I am not trying to knock your hard work.

Actually if you are familiar with the error in VWAP_H you could probably fix your algorithm to mimic the actual Vwap. The thing is it is processor intensive (not over duly on 5 min bars) as every time you have a new piece of data you need to re-weigh all the previous pieces of data with the new total volume. But sounds like you knew that anyway

Thanks for your comments. I like to fool myself into believing that after a short conversation with a Trader I can tell at what level they are operating... For example the more defensive or bravado displayed -- is indicative of a trader engulfed with performance insecurity or lower level of trading competence.
On the other hand It is always a pleasure to converse with those (you) that display the opposite—it allows for all involved to have good time.

As you stated it is very PC intensive to calculate VWAP properly, but well worth it if your using smaller intervals.
What actually happened was that several Forex traders that I talk to were talking about the need for a VWAP indicator. It was easy for me because it was not something I really needed. Does it not seem to be like that with almost everything in life. The less attached you are to it the easier it comes to you.

In any case these Forex traders I mentioned are all using 5m or higher intervals. Most are using 15m 30m 60m and higher for their trading needs. This is why I didn’t think they need it the VWAP very precise. In contrast if you’re using strategies that are dependent on low intervals i.e. Entries/Risk is dependent on low intervals then there is value in having the precise VWAP calculation. Just my view point.

Regards,
zunaa

[BlowFish]

I still run a single tick chart with VWAP (just because I can I guess). I have larger bars too. Most of the time the difference is fairly negligible. There is a discussion in the thread I previously mentioned on what is 'good enough'. At the time I posted various charts comparing different algorithms. In the end with some maths help I have managed to come up with a 'continuous algorithm' that is also accurate.

I am interested in your FX approach. I am not sure how proprietary your method is but I'd be interested (broadly speaking) how you have achieved it. I wonder if time factors into it (a bit like MP uses time samples to build a profile). PM me if you think it is more appropriate, or ignore me if it is completely in-appropriate!

It might be quite interesting to emulate a more correct (than TS) VWAP and not too difficult if you have a proxy for volume. I did notice a slightly different shape to bands in my tests.

Not sure how closely you looked at the trading with marketstats threads, they really are pretty good. Between those and yur FX buddies maybe you might be persuaded to persue VWAP a little further.

[Zunaa]

BF,
I will check that thread out as time allows, your the 2nd person on this forum that mentioned it to me, so i better put it on my list of things to do.

I'll get back to you
Thanks
zunaa

[kazim shah]

hi,
anybody knows about VWAP amd fans?? calculation and how to use?

[akifusenet]

If you wonder the math behind how to calculate VWAP and SD bands you should definitely read the Jperls thread here at traderslaboratory.

For using this approach in Forex you can check here:

Akif,