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Old 07-13-2007, 09:47 PM   #17

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Re: Trading With Market Statistics.II The Volume Weighted Average Price (VWAP).

Great thread, Jerry, thanks. The first message in it put a lot of light into VWAP usage for me. I watch it for daytrading and until now I just took it as a market sentiment indicator - price above VWAP = bullish and vice versa.

But the trick is to figure out (to a certain degree of probability) that the market went too far from VWAP and is about to return.

Also I found that the market very often bumps off the VWAP (refuses it), it is a good price level as well.

Jerry, we are definitely very interested in the video or further ideas, examples how you use VWAP for trading.
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Old 07-13-2007, 09:54 PM   #18

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Re: Trading With Market Statistics.II The Volume Weighted Average Price (VWAP).

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Originally Posted by nelo »
Great thread, Jerry, thanks. The first message in it put a lot of light into VWAP usage for me. I watch it for daytrading and until now I just took it as a market sentiment indicator - price above VWAP = bullish and vice versa.

But the trick is to figure out (to a certain degree of probability) that the market went too far from VWAP and is about to return.

Also I found that the market very often bumps off the VWAP (refuses it), it is a good price level as well.

Jerry, we are definitely very interested in the video or further ideas, examples how you use VWAP for trading.
Ok Nelo, glad you are finding this useful. there is more to come, so stay tuned
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Old 07-15-2007, 03:31 PM   #19

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Re: Trading With Market Statistics.II The Volume Weighted Average Price (VWAP).

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The POC changes every day. Maybe some would consider that abrupt. Sometimes the market builds what appears to be a POC but later it then builds the real POC at a higher or lower level later. Personally, in the timeframes that I watch the market, I do not consider that abrupt.

This is a core concept -- if you don't understand this -- you do not understand market profile. 'Price' moves in volatile/abrupt fashion, 'value' takes time to build. POC, by definition, does not move as abruptly as price. If you want to call POC movement 'abrupt' --- then what would you call 'price' movement -- 'super-duper abrupt'....?
Hi Dog,

I'm struggling to understand what you mean here what you say seems to support the abrupt PoC point of view.

As you say the PoC requires time to build (as it is defined as the 'most common' or modal point) When a new area of value has been build (by price staying there for long enough for more TPO's to build than at the old PoC) the PoC then moves abruptly (i.e. jumps) from the old PoC price to the new PoC price.

In most instruments price moves up and down tick by tick this is relatively 'smooth'. It is seldom (never for all intents and purposes) that price jumps from the old place of value to the new one. Of course as price moves from one area of value to another it tends to do that fast and volatile but it does at least move through the intermediate price levels. The PoC does not. Once new value has been built it jumps (moves abruptly) to the new level.

Actually Jerry's point was to do with VWAP rather than price. The same argument holds. As more and more volume is done in the new area of value the average is slowly drawn to that level. It is the difference between a modal function and average function. The latter can never be as abrupt.

Looking forward to the next video if a picture is worth a thousand words a video must be worth at least ten times that

Cheers.
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Old 07-15-2007, 08:09 PM   #20

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Re: Trading With Market Statistics.II The Volume Weighted Average Price (VWAP).

Blowfish, I meant its not abrupt in that it takes a good period of time for the POC to build. You are watching it and it is ever so slowly forming until it does. You are right that it basically gaps from the previous days level to the current days level. However, I would hardly call that abrupt. Its not like you expect the market to build the same POC on consecutive days. You know its going to build a different POC so you are fully cognizant of the fact that it is going to gap to the new level.

'Balance' is consistent with a consolidation pattern. When the market is consolidating, it is generally not moving much -- it is just churning -- this is the real-time action that is NOT abrupt.

I see from the perspective you took that you can call it 'abrupt' -- I just don't think that is an accurate depiction of how a POC builds -- which is inherently slowly. But you do have a point.
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Old 07-15-2007, 10:02 PM   #21

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Re: Trading With Market Statistics.II The Volume Weighted Average Price (VWAP).

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Originally Posted by Dogpile »
Blowfish, I meant its not abrupt in that it takes a good period of time for the POC to build. You are watching it and it is ever so slowly forming until it does. You are right that it basically gaps from the previous days level to the current days level. However, I would hardly call that abrupt. Its not like you expect the market to build the same POC on consecutive days. You know its going to build a different POC so you are fully cognizant of the fact that it is going to gap to the new level.

'Balance' is consistent with a consolidation pattern. When the market is consolidating, it is generally not moving much -- it is just churning -- this is the real-time action that is NOT abrupt.

I see from the perspective you took that you can call it 'abrupt' -- I just don't think that is an accurate depiction of how a POC builds -- which is inherently slowly. But you do have a point.
Dogpile---
POC or PVP is not a continuous function of time even on the same day. You will see this when I show you some videos of the reversal trade. You are correct in the sense that it takes time for a new PVP to develop and replace the old PVP, but as an analytic function of time, it abruptly changes from the old value to the new. This is very much unlike the VWAP, which is a continuous function of time, and changes gradually as price action changes. I suggest you guys wait until I show the videos of this in a future thread, before you continue this discussion.
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Old 07-15-2007, 10:36 PM   #22

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Re: Trading With Market Statistics.II The Volume Weighted Average Price (VWAP).

<<POC or PVP is not a continuous function of time even on the same day. >>

this is part of the POC's appeal, IMO. the market has an interesting habit of touching old POC's. Since VWAP is moving with time, the VWAP does not develop the clean pivot prices like a POC does.

I see what you are using PVP for, I personally favor the technical pattern as it relates to a point of 'value' -- whether it be POC or VWAP. PVP is not as interesting to me in this regard. But I am interested in seeing where you are going with this nonetheless -- it might provide another angle upon which to understand some nuances of market behavior.
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Old 07-15-2007, 10:55 PM   #23

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Re: Trading With Market Statistics.II The Volume Weighted Average Price (VWAP).

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Originally Posted by Dogpile »
this is part of the POC's appeal, IMO. the market has an interesting habit of touching old POC's.
Yes, I agree with you on this. Old POC's or PVP's do get touched. Again you will have to wait until we discuss this in a future thread. NEWBIE isn't ready for that yet. He only knows about today.

Quote:
Originally Posted by Dogpile »
Since VWAP is moving with time, the VWAP does not develop the clean pivot prices like a POC does.
Well it depends on what you mean by clean. VWAP is a pivot point or what I prefer to call a HUP, and it is dynamic, that is it can change with time.
Hopefully by the time we get to discussing HUP, we will be able to relegate static pivots to the dust bin.
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Old 07-16-2007, 07:15 AM   #24

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Re: Trading With Market Statistics.II The Volume Weighted Average Price (VWAP).

[QUOTE=Dogpile;14175]Blowfish, I meant its not abrupt in that it takes a good period of time for the POC to build. /QUOTE]

Ahh got you that explains it

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