VWAP Like MA

[ARTjoMS 10]

Hello.

 

I wonder if anyone is using VWAP for a fixed number of time periods (like MA).

 

I think that thus far i have only seen vwap that is set at one particular time and eventually builds on, but i'm not sure as i haven't looked at codes.

 

Also i wonder what would be relationships between such VWAP and MA assuming same number of time periods.

 

Thank you.

[BlueHorseshoe 10]

Hello.

 

I wonder if anyone is using VWAP for a fixed number of time periods (like MA).

 

I think that thus far i have only seen vwap that is set at one particular time and eventually builds on, but i'm not sure as i haven't looked at codes.

 

Also i wonder what would be relationships between such VWAP and MA assuming same number of time periods.

 

Thank you.

 

I have created VWAPs that do what you describe, and VWAPs with standard deviation bands, donchian channel deltas, and loads of other mumbo-jumbo variations . . .

 

It all boils down to this though, in my opinion - like an MA or anything else you put on your chart, it will tell you something specific about the data - but unless you have a clear way to exploit what it is that it tells you, then it won't be much help.

 

It's usually better to have in mind what is you want to achieve, and then build an appropriate tool to achieve it.

 

What is it that you hope a VWAP with a fixed window of time reference will tell you? How would you use it?

 

BlueHorseshoe

[ARTjoMS 10]

Thanks for answer.

 

Well, i'm just a curious newbie. I was thinking that early VWAP (while it just starts to build on) is of no use and maybe someone is using what i described.

 

Also i was wondering how close VWAP and MA are and how they correlate.

 

I have a question about how these price by volume histograms are created.

 

I looked at some code and i might as well be wrong, but it felt like only information that was used to build histogram was volume + bar open + bar close + bar high +bar low, am i right?

 

I'm thinking about this in context of forex (tick) volume.

[zdo 20]

maybe :oftopic:

 

https://community.tradestation.com/Discussions/Topic.aspx?Topic_ID=122157

[BlueHorseshoe 10]

Thanks for answer.

 

Well, i'm just a curious newbie. I was thinking that early VWAP (while it just starts to build on) is of no use and maybe someone is using what i described.

 

Also i was wondering how close VWAP and MA are and how they correlate.

 

I have a question about how these price by volume histograms are created.

 

I looked at some code and i might as well be wrong, but it felt like only information that was used to build histogram was volume + bar open + bar close + bar high +bar low, am i right?

 

I'm thinking about this in context of forex (tick) volume.

 

Hi ARTjoMS,

 

There's nothing wrong with being curious about new approaches - my post wasn't intended to discourage you in any way Unless you have huge amounts of time to devote to developing ideas though, it pays to go about it in an efficient way. Personally, I find that is usually best to start with a concept or a goal, and then try and work out which of the many derivations of price and other data would be the most useful in implementing it.

 

As for VWAP . . . Your understanding of how this is calculated is spot on.

 

Sometimes 'bar open + bar close + bar high + bar low' divided by four is referred to as 'Average Price', and VWAP stands for "Volume-Weighted Average Price".

 

VWAP is calculated by multiplying the Average Price by the Volume each bar, adding this to the total from the previous bar so that it becomes cummulative, and then dividing this by a cummulative total of all the volume from that session.

 

The difference between VWAP and an MA is that the former is weighted by volume. This is a bit like having an MA that 'remembers' prices at which higher volumes were traded better than those where lower volumes were traded. Depending on how you view market behaviour, high volumes traded in a particular price area can be regarded as indicating that a large number of market particpants (both buyers and sellers) considered this price to be "fair".

 

An MA is calculated purely from price.

 

So, if you consider a session in which price declines significantly on decreasing volume, then the VWAP would increasingly 'lag' price, as the lower prices of the falling market would assume less importance in the calcution due to the low volumes traded there. An MA, on the other hand, would simply follow the price down. I've attached a chart which clearly shows this.

 

I hope that helps.

 

BlueHorseshoe

[ARTjoMS 10]

Thanks, the reason why i asked about it was because i felt like if i had to make such a histogram i would do it differently: every time price moves up or down i would put +1 for new price in histogram to get greater accuracy.

 

Of course putting small time frame and zooming out to maximum does give quite smooth price by volume histogram, but still.

 

I understand that it might not make a big difference, but as a math student i have used to be precise.

[Tams 20]

Hello.

 

I wonder if anyone is using VWAP for a fixed number of time periods (like MA).

 

I think that thus far i have only seen vwap that is set at one particular time and eventually builds on, but i'm not sure as i haven't looked at codes.

 

Also i wonder what would be relationships between such VWAP and MA assuming same number of time periods.

 

Thank you.

 

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