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

    • BLND Blend Labs stock breakout, from Stocks to Watch at https://stockconsultant.com/?BLND
    • Date: 6th December 2024. How Will NFP Impact The Trading Markets? The Euro increased in value against most currencies on Thursday, but investors remained cautious over the ECB President’s comments. According to economists, the ECB is almost certain to cut interest rates next week. President Lagarde advises the Eurozone is likely to witness lower economic growth than previously expected. Analysts changed expectations for the US Unemployment Rate to rise to 4.2%. Most experts now expect the US rate of unemployment to remain unchanged. Poor US employment data can increase the potential for a December rate cut and further fuel the bullish trend in the stock market. EURUSD – Will The Fed Cut Interest Rates? The EURUSD rose in value on Thursday ignoring resistance levels but now moves closer to a stronger resistance point. This key level can be seen at 1.05969, but in order for the EURUSD to find bearish momentum at this level investors will be hoping for poor employment data. Economists expect the NFP Employment Change to read 215,000 and for the Unemployment Rate to remain at 4.1%. Analysts also continue to expect the growth in salaries to continue. If these three releases indicate a resilient and strong employment sector, the chances of a Federal Reserve rate cut fade. However, if the data is poorer, the US Dollar can potentially decline as a rate cut this month becomes more certain. Regarding the Euro, market participants are turning their attention to macroeconomic data from the Eurozone. Retail sales declined by 0.5% MoM, slightly worse than the expected ˗0.4%. Additionally, Germany’s industrial orders for October decreased by 1.5%, following a 4.2% rise in the previous month. This indicates weak domestic demand in both the German and broader European economies, potentially prompting the European Central Bank (ECB) to consider further interest rate cuts. A recent Reuters poll of leading economists suggests the ECB may lower borrowing costs by ˗25 basis points next week and by at least ˗100 basis points over the next year. Supporting this outlook, ECB President Christine Lagarde stated yesterday that economic growth in the Eurozone could be weaker than expected in the coming months, with risks of further deterioration likely to dominate in the medium term. The US Dollar Index is the best performing currency index so far today, but is not seeing significant gains. The Euro Index remains unchanged. The worst performing currency of the day is the Australian Dollar and the Japanese Yen. NASDAQ – How Will NFP Affect The NASDAQ? The NASDAQ retraced after gaining in value for 5 consecutive days and rising to an all-time high. So far in 2024, the NASDAQ has almost risen 30% but the short to medium term price action will depend on the upcoming employment data and next week’s consumer and producer inflation. Employment data for last week was released yesterday, showing that initial jobless claims rose by 224,000, surpassing both the forecast of 215,000 and the previous figure of 215,000. However, the total number of individuals receiving state assistance decreased from 1.896 million to 1.871 million, defying expectations of an increase to 1.910 million. Commenting on the situation, Federal Reserve Chair Jerome Powell noted that the US economy is performing better than anticipated, with declining risks of labor market deterioration. In this context, Powell suggested that the Federal Reserve could adopt a more cautious stance on monetary policy, aiming to achieve a neutral position for interest rates. 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 HFM Economic calendar. Want to learn to trade and analyse the markets? Join our webinars and get analysis and trading ideas combined with better understanding of how markets work. Click HERE to register for FREE! Click HERE to READ more Market news. Michalis Efthymiou HFMarkets 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.
    • WGS GeneDx stock, strong open, watch for a top of range breakout at https://stockconsultant.com/?WGS
    • UIS Unisys stock, nice top of range breakout at https://stockconsultant.com/?UIS
    • BX Blackstone stock, nice trend, pull back to 185.05 support area with bullish indicators at https://stockconsultant.com/?BX
×
×
  • Create New...

Important Information

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