[jperl]

Originally Posted by cooter »

Jerry,

In your experience with these "Natural Pivots", does price ever stay above/below the 3rd standard deviation of the VWAP for an extended period of time, or does it tend to revert and regress back towards the mean?

Also, does it matter whether the VWAP resets at midnight or the beginning of RTH (Regular Trading Hours - e.g. 9:30 ET for the US Indices).

Cooter,
Price action rarely touches the 3rd SD. When it does, it's because prices are rising or falling very rapidly. You will usually see reversion back to the VWAP at least once during the day except perhaps on trend days.

The shape of the VWAP for the day depends on where you start the computation. Starting the VWAP at say midnight usually only has a small effect, mainly due to the fact that there is not much volume until the start of RTH. I usually start the VWAP at the 9:30 EST open, and simply ignore any overnight data.
JERRY