Playing with the Dynamic Vwaps open research

[Playing with the Dynamic Vwaps open research]

Hi guys,

 

I've updated the indicator to use live ticks after the time it is loaded on the chart, any changes made to it afterwards will make it recalculate and revert to the median approximation though. You need to set CalculateOnBarClose to false of course. It doesn't really help with the midas system, because of chosing pivot points after they appeared on the chart. Using FX data, the approximation version didn't differ much from the live tick one but haven't run a lot of tests yet.

 

Next minor improvement is to prevent the indicator from plotting after StopTime if it is set to anything else than 00:00:00, which can be within a 24h period after the StartTime. This should help to minimize chart clutter.

 

Other major improvements could only be done with archived tick data for HUPs and more accurate calculation. This would require quite some work, I don't know yet if I'll try it, who knows if the results would be worth it.

 

Cheers

Hi Sparrow:

At the outset , I should thank you for your contribution to the trading community.

 

I've down loaded both of your indicators( VWAPMod_v095 & VWAPMulti_v095) attached in your post # 13. Is these are the latest version of indicators?

 

Secondly, I could figure out to feed the parameters in the VWAPMod_v095 indicators, by selecting the start date 5 days before or 30 days before for drawing VWAP lines for 5days data or 30 days data. I have added this indicator two times in the indicator panel of the chart to draw the VWAP lines for 5 day avg. and 30 day avg. Is this procedure okay?

 

Regarding VWAPMulti_v095 indicator, in spite of selecting the start date and assigning numbers1,2&3 in the rows of Band01,Band02 & Band03 respectively, I don't see VWAP Bands on my chart. Am I missing something here? Can you help me by posting a input parameter screen with parameter selection criteria?

 

Lastly, in order to use Jerry's methodology, can you help me by posting an appropriate PVP indicator and volume histogram for Ninja charting application?

 

Appreciate your advise.

 

Regards,

 

Raj

[Trading with Market Statistics XI. HUP]

Dear Jerry:

 

Thanks for your immediate response.

 

Just to clarify your reply, suppose I start day trading say on Wednesday morning, then I should set my Volume Histogram indicator to plot the summation of Tuesday & wednesday's data as the day progress?

 

Appreciate your advise.

 

Regards,

 

Raj

[Trading with Market Statistics XI. HUP]

Hi Jerry:

Greetings.

You have mentioned that we can select any number of days to draw the volume histogram including the choice of limiting the data to what is avilable on the current screen.

With this wide choice,, don't the PVP value change depending on volume histogram data ( 1day, or 2 day or current screen data)?

If the PVP value change based on the quantity of data , skew with VWAP also change based on quantity of data used. Given this varience, what is the ideal data period should we use to plot volume histogram and PVP, for day trading the index futures?

 

Appreciate your advise.

 

Regards,

 

Raj

[Trading With Market Statistics - LINKS]

Can you please help me , where to find Ninja indicators in this forum?

 

Regards,

 

Raj