[Zunaa]

Below I Have Included some Screen shots of My tradestation VWAP_syn indicator that will work on FORX or any Market that does not report Volume. Yet it can be used on Markets That do report volume as well.

Is anyone using VWAP to Trade Forex?



Regards,
zunaa

[Trader333]

In view of the fact that vwap needs volume to work at all, how have you gone about substituting it ?


Paul

[Zunaa]

Originally Posted by Trader333 »

In view of the fact that vwap needs volume to work at all, how have you gone about substituting it ?


Paul

What you state regarding VWAP on the surface is true, after all even the name of it iplies Volume.
That said many, Volume infact is not needed to get an indicator to plot same as what a Traditional VWAP Does, Regardless if volume is or is not available. However continuing to Think that volume is needed, will keep one from finding or even thinking the possibility exists.

Last of all, what I mentioned above is supported by the posted screen shots and a video on VWAP_syn or synthentic Volume, so it is not confused as just an opinion.

The video is available here on TL under the video tab...
if you cant find it look in Forex or volume channel.

Rgards,
zunaa

[BlowFish]

Originally Posted by Trader333 »

In view of the fact that vwap needs volume to work at all, how have you gone about substituting it ?


Paul

Guess it must use 'ticks' as a substitute. Certainly doesn't look bad but it is worth mentioning ES ticks are somewhat different to FX 'ticks'. It's probably alsow worth mentioning that the TS functions VWAP_H incorrectly calculates VWAP. You need to re weigh the whole sample when new volume 'arrives'. There is a discussion about this in the trading with market stats thread. I am no saying that this isn't useful btw .

[Zunaa]

Originally Posted by BlowFish »

Guess it must use 'ticks' as a substitute. Certainly doesn't look bad but it is worth mentioning ES ticks are somewhat different to FX 'ticks'.

A logical guess... but thats not it.
I made a comparison with ES only because many traders are familiar with ES.
It will work the same with any Instrument.... Stocks, Futures of any kind, Forex, simply anything you can plot on chart.

Bye the way... for anyone interested.
Looking at this riddle from a programmers point of view, one will never solve it... instead, look at it from a traders point of view, offcourse it is implied that one has enough trading experience.

[BlowFish]

Originally Posted by Zunaa »

A logical guess... but thats not it.
I made a comparison with ES only because many traders are familiar with ES.
It will work the same with any Instrument.... Stocks, Futures of any kind, Forex, simply anything you can plot on chart.

I edited my original post with something else that occurred to me about TS Vwap_h. If you like I can post an ES chart tommorow with my VWAP on. Might be interesting. Averaging across 5 minutes also introduces inacuarcaies, normally fairly inconsequential but last week i did have one day where my 5 minute chart several points off my 1 tick chart (on the DAX).

If you are not using tick's or bid ask volume changes then you have something quite novel there

[Zunaa]

Originally Posted by BlowFish »

I edited my original post with something else that occurred to me about TS Vwap_h. If you like I can post an ES chart tommorow with my VWAP on. Might be interesting. Averaging across 5 minutes also introduces inacuarcaies, normally fairly inconsequential but last week i did have one day where my 5 minute chart several points off my 1 tick chart (on the DAX).

Sure...
Re: comment on VWAP_h Function, yes I understand what your refereing to.

Originally Posted by BlowFish »

If you are not using tick's or bid ask volume changes then you have something quite novel there

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[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