Jump to content

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.

  • Welcome Guests

    Welcome. You are currently viewing the forum as a guest which does not give you access to all the great features at Traders Laboratory such as interacting with members, access to all forums, downloading attachments, and eligibility to win free giveaways. Registration is fast, simple and absolutely free. Create a FREE Traders Laboratory account here.

jperl

Trading With Market Statistics.II The Volume Weighted Average Price (VWAP).

Recommended Posts

Hi Jerry;

I am going through your threads for the second time to absorb the nuances of your method. :)

I have not found the topic that refers to "Old POC's or PVP's do get touched. "

I suppose that the HUP in section XI, is the proper location, but I find that the information presented there is limited.

I would appreciate your advise with respect to this topic.

 

Thank you.

Unicorn.

I didn't have much discussion about trading at Old PVP's except for the post in the HUP thread. There is a complete discussion of PVP trading at the[thread=2232] "Trading with Market Statistics VII: Breakout Trades at the PVP" [/thread]thread. In that discussion and in the HUP post, I point out that entering trades at the PVP is not a good idea. It doesn't matter whether the PVP is old or new, touched or untouched. The basic point is that if the skew is large, ANY PVP represents a dividing line between the high volume area and the low volume area. If you take a trade at the PVP in the direction of the high volume area and it turns out to be wrong, you can be wrong big time with a large breakout into the low volume area against your entry. If the skew is small (VWAP~= PVP), the volume is the same on both sides of the PVP. Then you might as well flip a coin. Bottom line, don't enter trades at the PVP, new or old. (This is in sharp contrast to the Enthios style of trading).

Share this post


Link to post
Share on other sites

Hi traders,

 

if I can afford, you should not try to predict (as NTR) but to succeed in following tendency (as the skew and price).

 

Too, i agree with Jerry and i understand the difficulty of trades at the pvp or hvl.

 

The NTR as the Vpoc are speculations and a VSA trader should not take into account NTR, no ?

 

Cause, where the smart money goes, i will follow it !:o

Share this post


Link to post
Share on other sites
Jperl;

 

That is indeed in direct contrast to the Universal method used by Enthios. What do you think about the NTR then? NTR: Natural Trading Range

 

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.

Share this post


Link to post
Share on other sites
I didn't have much discussion about trading at Old PVP's except for the post in the HUP thread. There is a complete discussion of PVP trading at the[thread=2232] "Trading with Market Statistics VII: Breakout Trades at the PVP" [/thread]thread. In that discussion and in the HUP post, I point out that entering trades at the PVP is not a good idea. It doesn't matter whether the PVP is old or new, touched or untouched. The basic point is that if the skew is large, ANY PVP represents a dividing line between the high volume area and the low volume area. If you take a trade at the PVP in the direction of the high volume area and it turns out to be wrong, you can be wrong big time with a large breakout into the low volume area against your entry. If the skew is small (VWAP~= PVP), the volume is the same on both sides of the PVP. Then you might as well flip a coin. Bottom line, don't enter trades at the PVP, new or old. (This is in sharp contrast to the Enthios style of trading).

 

Thank you Jerry.

 

I do have another question, that due to its relevance is posted at the Position Trading thread - section X.

 

cheers.

Unicorn

Share this post


Link to post
Share on other sites

From what I have read so far it seems that too much emphasis is placed on POC, which in MP is not the main reference point (at least for trading purposes), rather the rotation and the distribution above and below it. Also, please note that according to MP authorities, like Don Jones of Cisco-Futures and others with a long time acquaintance with MP, distribution does not have to be in 30 minute increments. It can be daily, 10 or 20 days, monthly, etc.. The MP distribution is:

-more significant over longer time frames (say 3 days or more) and many software packages offer merging and splitting tools.

-the IB or initial balance varies from one market to another...but those time periods have always been important to traders. If you are on the floor you can hear the horn and look for some increased activity (a number of trades have been developed off these time periods). I've heard that institutions generally trade at certain times of the day; some of it may be adjust their positions, or it will sometimes be reacting to news.

- more significant are the times when MP moves or rotates and establishes a new balance area, hence the larger moves.

-granted there a subtleties throughout the day, and traders have been trying to optimize them to that end.

-but in general it is the reaction to extremes that gives us trades; the POC can be an unhappy place

 

It has taken some time to decipher the original MP studies and for traders to use of them, but we can thank those who have spent time doing so. And thanks to whomever started this thread. I think it looks promising.

Share this post


Link to post
Share on other sites

The whole premise of the PVP-VWAP relationship for determining the skew is faulty. A positive skew on the vertical y-axis would be when the PVP is ABOVE the VWAP (vice versa for negative skewness).

Share this post


Link to post
Share on other sites

scew = mean-mode/sd (Pearsons approximation) --- so VWAP-PVP determines sign/direction

 

if VWAP is greater (above) PVP it is positive (up)

 

if the VWAP is less than (below) the PVP then it is negative (down)

Share this post


Link to post
Share on other sites

Hi,

 

I am running the Thinkorswim platform. Their VWAP has a setting that allows for time frame. Daily, Weekly, Monthly.

 

If I set it for daily I set the chart to 1 minute daily and then 1 minute weekly then the PVP is the same. But all of the other values, SD and VWAP are different. Why is this and what would be the better timeframe to use?

 

It seems using weekly would allow to hold trades after hours. Because on the daily, when the new time period begins, the standard deviations reset & are really small compared to the prior session.

Share this post


Link to post
Share on other sites

malverd at this stage of the threads things are about the current days sample. (later Jerry Introduces some other concepts with larger samples). I don't know TorS but I'd try daily with 2 minute bars to try and get similar charts to Jerrys. Follow through carefully and later he talks about different settings for scalping and longer trades.

Share this post


Link to post
Share on other sites

new DataSeries(this, "Vwap", new ChartStyle(SeriesChartType.Line,System.Drawing.Color.Blue,1,DashStyle.Solid)),

new DataSeries(this, "Vwap", new ChartStyle(SeriesChartType.Line,System.Drawing.Color.Blue,1,DashStyle.Solid)),

new DataSeries(this, "Vwap", new ChartStyle(SeriesChartType.Line,System.Drawing.Color.Blue,1,DashStyle.Solid)),

Edited by uriyanko

Share this post


Link to post
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.


  • Topics

  • Posts

    • Date : 21st October 2021. Market Update – October 21 – Stocks & USD slip on big Earnings Day. USD (USDIndex 93.55) cools a tad and again tests 2-week low (93.47) Yields stronger again, Equities closed up, but FUTS are down (Nikkei -2% on stronger YEN and Yuan). Big day for Earnings – TESLA beat but revenue numbers disappointed some. Oil up on drawdown. Evergrande – Bad News $1.7bn sale of 51% of HK unit to Hopson OFF, $1.7bn sale of HK HQ OFF, $83.5m coupon default triggers tomorrow. Good News $260m bond coupon, extended by 3 mths US Yields (10yr closed higher at 1.63) & – now 1.6533% Equities moved ground higher USA500 +16 (+0.74%) at 4536 (NASDAQ –0.05%) – Big movers – Verizon +2.41% & ABBT +3.3% (PayPal – 4.91%) – USA500.F back to 4500. Asian equities weaker. New VIX contract at +1.49% at 19.60 USOil up on drawdown n strong demand at $82.00 after EIA inventories showed -400K vs build of 2.1m Gold holds at 4-day highs – $1785 FX markets – a recovering USD – EURUSD 1.1646, Cable down from 1.3830+ to 1.3800, & USDJPY – off 4-year highs and pivots at 114.00. European Open The December 10-year Bund future is down -16 ticks, US futures are also in the red. DAX and FTSE 100 futures are both down -0.45 and US futures are also in the red, with the NASDAQ underperforming again, after already closing slightly lower yesterday. Indices remain at high levels, but tapering concerns, the global energy rout and supply chain concerns are capping the outlook for global growth. Markets will continue to watch earnings reports and central bank comments, especially in the UK where officials clearly are laying the ground for an early lift off. Meanwhile the announcement of Weidmann’s departure has raised hopes that the ECB will push even more to circumvent the no-bailout clause permanently – after the end of PEPP, which already helped BTPs to outperform yesterday. Today – US Initial Jobless Claims, Philadelphia Fed Business Index, Existing Home Sales, EZ Consumer Confidence, EU Council Meeting, Fed’s Daly, Waller, RBA’s Lowe, Earnings: AT&T, Intel, American Airlines, Southwest Airlines, ABB, (bottleneck problems) Vivendi, Hermes, (beat) Pernod Ricard,(beat) Barclays, (Revenue big beat) Unilever (Sales miss). Biggest FX Mover @ (06:30 GMT) AUDJPY (-0.50%) Rejection of 86.25 this morning as Yen lifts after a very weak October. Faster MAs aligned lower, MACD signal line dips and & histogram slips significantly lower, RSI 40.00 off OS level, H1 ATR 0.189, Daily ATR 0.817. Always trade with strict risk management. Your capital is the single most important aspect of your trading business. Please note that times displayed based on local time zone and are from time of writing this report. Click HERE to access the full HotForex Economic calendar. Want to learn to trade and analyse the markets? Join our webinars and get analysis and trading ideas combined with better understanding on how markets work. Click HERE to register for FREE! Click HERE to READ more Market news. Stuart Cowell Head Market Analyst HotForex Disclaimer: This material is provided as a general marketing communication for information purposes only and does not constitute an independent investment research. Nothing in this communication contains, or should be considered as containing, an investment advice or an investment recommendation or a solicitation for the purpose of buying or selling of any financial instrument. All information provided is gathered from reputable sources and any information containing an indication of past performance is not a guarantee or reliable indicator of future performance. Users acknowledge that any investment in FX and CFDs products is characterized by a certain degree of uncertainty and that any investment of this nature involves a high level of risk for which the users are solely responsible and liable. We assume no liability for any loss arising from any investment made based on the information provided in this communication. This communication must not be reproduced or further distributed without our prior written permission.
    • Meet a maverick on Blockster   Blockster is a cryptocurrency social platform.   Blockster connects everyone within the blockchain industry into one place—all the cryptocurrencies, the teams behind the projects, as well as, the traders and investors. Communicate and network with the very core of the blockchain industry, and stay ahead of the market trends via Blockster.   Get insightful posts, reviews, breaking news, interesting comments, and latest updates from the world of cryptos, from Azeez Mustapha: https://blockster.com/AzeezMustapha46102 
    • Nice article send in here, do sharing other such articles and also share your experience of Forex Trading.
    • Never tried Forex Trading with software,  I am still learning. But someday, I would like to give it a shot. 
    • Date : 20th October 2021. Market Update – October 20 – USD bounces from 2-week low, Stocks & Yields higher. USD (USDIndex 93.70) recovers from test of 2-week low (93.47) Yields stronger, Equities closed strongly on good Earnings, Netflix beat big time (Subs 4.38m vs 3.86m. – globally now 213.6m) Squid Game watched in 142 million households in 94 countries. Biden expects a deal on infra budget, Chinese housing prices slow, and NK fired more missiles (non-ballistic today) into S. China Sea. US Yields (10yr closed higher at 1.6350) & touched 1.662 earlier – now 1.6495% Equities moved higher gaining momentum USA500 +33 (+0.74%) at 4519 (NASDAQ +0.71%) – Big movers – J&J +2.34% & APPL 1.18% – USA500.F higher into 4503. Asian equities higher (Nikkei +0.76%) VIX closed down again at 15.57 (a new 8-week low – VXN – (which measures Nasdaq volatility) – at lowest since February 2020) USOil down from 7-yr high, at $83.00 after private inventories – trades at $81.00 Gold holds at $1775 now from yesterday’s high of $1785 and low of $1767. FX markets – a recovering USD has – EURUSD 1.1640, Cable down from 1.3800+ after CPI data at 1.3785 & a weaker YEN, USDJPY – 4-year highs – 114.70. Overnight – UK CPI a tick weaker than expected (3.1% vs 3.2%) PPI in line. German PPI much stronger than expected @ 2.3% vs 1.1%. European Open – The December 10-year bund future is down 35 ticks, underperforming versus Treasury futures. Yields moved broadly higher across Europe yesterday and while ECB officials are doing their best to keep rate hike speculation at bay, they are fighting an uphill battle, especially as the BoE is preparing for an early lift off on rates. The surprise misses for UK CPI could dull the expectation. Today – EZ Final CPI, Canadian CPI, ECB’s Elderson, Fed’s Bullard, Earnings – Verizon, Tesla, IBM, Abbot, AMSL, Nestle (already out – a big beat especially for Pet food Division) Biggest FX Mover @ (06:30 GMT) NZDCHF (+0.40%) 5th consecutive day higher today (from 0.6425) breached 0.6600 earlier, and testing 0.6630 now. Faster MAs aligned higher, MACD signal line & histogram trending higher, RSI 65.00 OB but still moving higher, H1 ATR 0.0008, Daily ATR 0.0054. Always trade with strict risk management. Your capital is the single most important aspect of your trading business. Please note that times displayed based on local time zone and are from time of writing this report. Click HERE to access the full HotForex Economic calendar. Want to learn to trade and analyse the markets? Join our webinars and get analysis and trading ideas combined with better understanding on how markets work. Click HERE to register for FREE! Click HERE to READ more Market news. Stuart Cowell Head Market Analyst HotForex Disclaimer: This material is provided as a general marketing communication for information purposes only and does not constitute an independent investment research. Nothing in this communication contains, or should be considered as containing, an investment advice or an investment recommendation or a solicitation for the purpose of buying or selling of any financial instrument. All information provided is gathered from reputable sources and any information containing an indication of past performance is not a guarantee or reliable indicator of future performance. Users acknowledge that any investment in FX and CFDs products is characterized by a certain degree of uncertainty and that any investment of this nature involves a high level of risk for which the users are solely responsible and liable. We assume no liability for any loss arising from any investment made based on the information provided in this communication. This communication must not be reproduced or further distributed without our prior written permission.
×
×
  • Create New...

Important Information

By using this site, you agree to our Terms of Use.