Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.
Everything posted by againstodds
Hi Jerry, Thank you for sharing your trading ideas and concepts with us. Your work has defiantly improved my technique and eliminated bunch of crap from my charts I've been following these treads with great interest and have been experimenting with different setups and I keep wondering a lot about one thing (among few others), which up to this point nobody has explained or inquired about. I was wondering if you or anyone else could elaborate on on my question. Why do you choose a "regular session" to start plotting your Volume Histogram and start calculations of PVP, vwap and SDs? I understand that majority of trades occur during regular session, and all institutions are then active, but statistically wouldn't it make more sense to include 24h of data? I've tried that and seems that it produces some interesting results: Positive: 1) It provides PVP and wider range between vwap and SDs right at the beginning of the regular trading session, which you could be trading immediately 2) Price seems to interact with PVP, vWAP and SDs according to expectations even outside of regular session. (not much advantage here unless you are an owl) 3) Statistical data includes more samples - all trades that occurred. In theory that should give us more complete picture of the market and its more accurate interpretation. Negative: 1) The PVP is less "active" during start of regular session, since large volume could be already build up during morning and night hours. (I'm not sure if that's really negative or positive, just different from your data) 2) VWAP and SDs are usually different from these generated at the beginning of the session, but not as dramatically as one would think. Interestingly, depending on the volatility the market prefers to use one set of VWAP and SDs over the other. 3) You will often have PVP and VWAP in a different relationship to each other, especially at the beginning of the session, and therefore you could read skew etc. differently. So wouldn't it seem logical to include all data available to us not just a partial sample, or how do we know that it is more beneficial to use to just use regular session data? I can't help it but put a little quote to sum it up: "Statistics: The only science that enables different experts using the same figures to draw different conclusions." Evan Esar, Thank you all again for running this thread.