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# dbntina

Members

61

1. ## Trading with Market Statistics V. Other Entry Points

Great point Jerry. I was looking at the same thing on my chart with the bands and saw the spike just below the PVP to stop you out...before moving towards the bands....very interested in seeing the risk tolerance ideas...etc. dbntina
2. ## VWAP Indicator with 1SD and 2SD bands

Soultrader...will try to do a screenshot on Monday...everythings at work...good idea. Thanks, dbntina
3. ## Trading with Market Statistics V. Other Entry Points

Blowfish, The code is posted in the indicators section. Nick had a good question about using the normalized volume to multiply with in the variance formula. The indicator is doing that in the calculation. It is taking the volume of the current bar and dividing it by the total volume since the start and using that to multiply the square of the difference between price and the VWAP (and then summing all the terms of course) I am pretty sure that's what we were trying to accomplish. Take a look and see if the code looks correct...if not we want to catch it now. I think that is what Jerry was getting at when calculating it (that was causing the calculation to be a nightmare). Cheers, dbntina
4. ## VWAP Indicator with 1SD and 2SD bands

Hi DbnTina, I am not sure if the calculation for vi is correct. In your EL you have used variance_i = ((UpTicks[Value1]+DownTicks[Value1])/ShareW) * (Square(AvgPrice-VolWAPValue)); where (UpTicks+DownTicks) represents volume of the bar ... I think in a probability calculation one should use total volume at price i, not just volume of the bar i. Lets ask Jerry for clarification. NickM001, You are correct. In the code, ShareW is always the total share volume up to the current time from your start. You divide the volume of the current bar by the total volume and use this "normalized volume" to multiply with according to Jerry. This should be correct if I am understanding the formula correctly. It also seems to line up with Jerry's bands so I think it is correct. Let me know...I can correct if I am not suppossed to normalize this way... Thanks for taking a look at the code if it is incorrect we want to find out now. dbntina
5. ## Coding Help

Waveslider if it is not too difficult I am willing to try and crank it out. dbntina
6. ## Trading with Market Statistics V. Other Entry Points

Thanks Dogpile...I am pretty confident in the formula because it is exactly the same as jperl posted. The only thing I was mainly concerned with is if the count was off by 1 bar for looping and summing the terms. It looks correct though when I look at the chart because the bands move on the 2nd intraday bar, not the 1st or 3rd so it seems to be working correctly and it matches jperls numbers (within a tick or two). After looking at past intraday data it is scary how well the bands are acting as support and resistance. Anyway...I am disappointed in TS and the market profile thing. Esignal has an add on for \$10 a month or something like that and TS has nothing. The probability map stinks in my opinion and I actually was using marketprofileplus for a while and ghkramer has a decent one that I can't get to work on my machine (and believe me I am thankful for guys like ant and ghkramer) but TS is dropping the ball big time on this and I like TS..... So the bottom line is I will probably have to write market profile code myself because I do want to know the PVP/POC (if they are exactly the same...they probably are a little different if you are using a smaller tf than 30M??) and VAH and VAL from previous days and the developing numbers as they do act as HUP's just like pivot points and such good to be aware of. Anyway writing that code should make it easier to write the code for volume distribution as well. The problem I am going to have is figuring out exactly the formulas for calculating all the stuff...once I get that then I should be able to crank it out...we'll see I am kind of dreading it actually. So the short answer dogpile is I don't have code for that....anyone else...of course if I create it I will post it for free. Sorry this went a little of topic...ranting a little bit dbntina
7. ## VWAP Indicator with 1SD and 2SD bands

Guys I am not a TS coding guru by any means...still new at it but wanted to share this code if anyone else was interested. Just wrote this code for myself to keep up with JPERL's threads on Market Statistics. It plots the VWAP, and 1st and 2nd Standard Deviation bands. It lines up with his numbers within a tick or two so I think it is working correctly. Any other TS coders out there please take a look because it can probably be improved upon. This is my first post of a file so if I screwed something up...be gentle! Hope this helps, dbntina boxmeister DBVWAP_SD.ELD
8. ## Trading with Market Statistics V. Other Entry Points

Okay...I thank I got it...just need to figure out where/how to post the code in here. Thanks for your help Jerry. I was able to match your numbers yesterday on ES and NQ within a tick or two so I will consider it matched. Any TS coders take a look and see if it looks correct please. Thanks everyone...looking forward to learning more Jerry, dbntina
9. ## Trading with Market Statistics V. Other Entry Points

Thanks Jerry...makes perfect sense. David
10. ## Trading with Market Statistics V. Other Entry Points

Jerry, Very much looking forward to it...(the next thread). I think I have finished the code for tradestation users to get on an intraday chart the VWAP (same code as posted in the forum under VWAP_H) with the calculation of Standard Deviation from the square root of the variance but bands seem farther out than the one currently posted in the TS forums. I put everything in one indicator to do all plots with 1st and 2nd SD's. Is there any way you can tell me where the VWAP and 1SD and 2SD bands ended today on your 2m chart of either the S&P or NQ. That will let me know if I have it right and then I will post on the forums the code or here...whatever suits everyone. The question I have also is on the Variance formula I don't see it dividing by the result by the total number of price bars since the start but when you gave an example you did divide by the total number of bars. That's how I calculated it but didn't know if that was correct? Thanks a bunch...will get it posted for TS users once I can verify it looks like yours. dbntina David