jperl

That is what most traders would do and in my opinion leads to a slow bleed of your capital. To avoid that you have to have a complete change of thinking about stop losses. You might want to reread the thread on [thread=2189]"Scaling in and Risk Tolerance"[/thread] to get a different perspective. Not sure I understand what you are asking. If you had entered at the 1st SD and the trade went to the 2nd SD then I would have exited at the 2nd SD for a profit. If I didn't exit at the 2nd SD, I would have not allowed the trade to become a loser. I would then have exited 1 tick below my short entry. On the other hand if I entered at the 1st SD and the trade went immediately against me, I would have scaled in another contract at the VWAP.

Also think about what you would have done if the trade at the VWAP had not gone your way. Would you have exited the trade at the PVP or done something else?

Good setups and good trades Paul. You've got the basics down correctly. Notice also that if you missed the trade at the VWAP you could have entered at the retrace back to the 1st Standard Deviation.

I start to compute the vwap from the 9:30 open. If you use the built in vwap in ensign, you can start it at the 9:30 open by clicking the restart @DSO button on the right column of the property sheet. The volume histogram also starts at the 9:30 open.

Paul, I am glad you find the trading with market statistics threads useful to you. I know I learned a lot by putting them together. From my past experiences as a teacher, I've learned that the best way to try and understand something is to teach it. If you can't teach it, then you don't understand it. As far as IB goes, I have not experienced anything unusual about their volume reports. They seem to be ok for the generation of the volume distibution function If you don't have volume for forex, you can still use the price distribution function and generate and average price in stead of a volume weighted average price. Should work ok. This can be done in Ensign as well. JERRY Paul

Yes, no problem. For example, if you display a two day chart with 5 minute bars, you can show the volume by price for each day or combined. If you trade intraday you can show a volume by price for any time period you like. For example, I like to display a 10 second chart (chart with 10 second bars), and display a new volume by price every 15 minutes. In essence this allows you to see the volume distribution function for 15 minute bars.

You can see volume by price for any historical day in EnsignSoftware charts. JERRY

Hull moving averages are also available on Ensignsoftware charts. JERRY

Perhaps this is the place for me to jump in here and clarify some concepts which are being used in some cases with confusion. Standard Deviation (SD) is a well defined statistical concept for most distributions. IT HAS NOTHING TO DO WITH WHETHER THE DISTRIBUTION IS NORMAL OR NOT. You can always define and therefore compute the standard deviation of a given set of price data. If you compute it with respect to the VWAP, then the SD so computed will be the smallest SD for the given set of data as I have pointed out in [thread=2101]"Trading with Market Statistics. IV".[/thread] Where there is confusion is trying to relate the SD to some percentage of the days price data. It will be 68.2% of the data provided the price data follows a Normal distribution. On most days this is not the case. As Sparrow has pointed out in this thread, you then have to use Chebyshev's inequality to determine the percentages. That being said, what can you do with this information. Well if you are a Market Profiler, you can always define the 70% data points and call this the value area and then develop a trading strategy around this just as long as you realize that on most days this 70% value is not a standard deviation. My preference of course has been to develop trading strategies based on the VWAP and it's SD's. The advantage of this is the SD is an exact measure of market volatility. It tells you how far you can expect the price action to move from any given price point. It does not tell you of course which way that will be. I have pointed out however that the SD points appear to be places where price action tends to stall or hold up and I have called these HUP points, places where the market tends to have some indecision as to whether to reverse or continue on in the same direction.

You raise some interesting questions, with unfortunately no interesting answers. I think what is need here is some kind of comparison of various data feeds on the tick level to see how they compare. I have not looked into this so I can't provide any guidance.

PVP refers to the peak volume price for the complete volume histogram. POC refers to the peak volume price (called Point of Control) for Market Profile, which is a 30 minute average of the volume historgram. Market Profile's POC will thus only show a slower variation of the peak volume price. Can't help you with Ninja, since I don't use it. JERRY

Be careful here on how you define the mean. The POC is the mean only if the distribution function is symmetric (as in a Normal Distribution). On most days it is not symmetric, in which case the mean is defined by the volume weighted average price, the VWAP, which can be quite far from the POC. For a complete discussion of the VWAP and how to trade it see the 11 threads on "Trading with Market Statistics" which starts [thread=1962] here [/thread] There are many types of computations for so called "support and resistance". Unfortunately this term has been very much over used and misused. A so called "support" point for instance is only a support point if the market actually reverses at that point. Similarly for resistance. A better interpretation would be to call such points Holdup Price Points which I call HUP. These are price regions where the price action slows down before either continuing on in the same direction or reversing. The "Trading with Market Statistics" threads describe these point in some detail.

Thanks raa, glad to see that you have found market statistics useful for options trading. I think that's a nice addition to the whole subject

Done. Files uploaded using fileshare

Sorry justlurkin, I don't. It's not a format problem. I checked the swf file on my machine. Runs fine. So I reuploaded it. Problem still persists. Appears to be at TradersLaboratory's end. James is working on it.

JustLurkin, thanks for the heads up on this. I've reported the problem to James.

Attachment reposted this morning

I don't know if I will have the time to post more videos on these topics. Each one takes a considerable amount of my time. I have posted over 15 videos and 10 charts in these threads dealing with market statistics. There is of course considerable room for further expansion. But the basics are here for all to use. When there are topics related to this that I deem important I will make additional posts.

I've already posted this in the "Trading with Market Statistics V:" darth. The specific post is here .

I was wondering how long it would take for someone to see this. Congratulations Unicorn, you are an astute observer. If you are a NEWBIE trader, and you see a contradiction, you of course do nothing. An advanced trader however would look at the VWAP's and SD's from various days as a series of HUP's (read the HUP thread to see what this is). The HUP lines are then treated as simply support/resistance lines. Decision to enter a trade would then depend on several factors: a)The separation of the HUP's----is there enough open space for a trade or are they close together for just a quick scalp b)The placement of the HUP's in case scale in would be necessary c)is the HUP below a VWAP or above it? d)Am I looking for a reversal or a continuation at the HUP? e)Can I use the Shapiro effect for entry? As you can see there are numerous things to consider, but after you practice this for a while, it becomes second nature. Sort of like learning to play an instrument.

Unicorn, I discussed this in the first post of this thread. It doesn't matter where the PVP is located(between SD and VWAP or between two SD's), the result is the same. You have three choices: a) do nothing. If you are novice this is what you do. b)play the oscillations between the two SD's. This is what you do if you are a scalper c)Wait for a breakout out of the PVP zone(the regions between the 2 SD's) As I indicated in the first post, this is a difficult trading region, but can be very profitable if you get it right. Same answer as above, you can play the oscillation back to SD2 or wait for a breakout back to the VWAP.

Sorry James, but this is absurd. Who ever heard of a webinar where you have to dial a toll number to hear anything. Come on, this is the 21st century not the 19th. I'm very disappointed JERRY

Yesterdays distribution would always be more important than today's, early in the trading day during the period when today's distribution is still developing. If there is rapid price action early in the day, today's price action is not going to help you much. You can tell this by comparing the range of each bar to the standard deviation. When the bar range is the same size as the SD, you can't tell much by looking at today's statistics. So you either have to go to a faster time scale, or use a distribution that has developed over 1 or more days such that the SD is larger than the bars range.

Yes thrunner, if you start the VWAP computation prior to the regular open, you will see some differences. Usually these differences are small because the premarket volume is low.

The NTR is Enthios' estimate of today's trading range based on previous untouched POC's. I have looked at this concept but I have not found it of value.