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.

dbntina

VWAP Indicator with 1SD and 2SD bands

Recommended Posts

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

Share this post


Link to post
Share on other sites

Good post mate. I've been wanting to do this since reading Jpearls threads. I am however using ninja trader, so (if you dont mind) Im going to try and convert your code to ninja script.

 

I dont think there are too many ninja users out there - everybody seems to use esignal or tradestation!

 

Cheers, Jay.

Share this post


Link to post
Share on other sites

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.

Share this post


Link to post
Share on other sites

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 :)

Share this post


Link to post
Share on other sites

Hi dbntina,

 

Thank you for your contribution. If you happen to need any updating on the code, threads here can be edited at anytime so please feel free to do so. Also, would it be possible to add a screenshot of the indicator in action? It would help traders give a visual clue on what the indicator is all about. Thanks.

Share this post


Link to post
Share on other sites

OK let me try to explain again my understanding of the formula. Let quote what Jerry wrote in his explanation:

QUOTE#######################################

While we won't address all these questions in one thread their answers can be obtained by analysis of the volume distribution function. To do so requires that we introduce a third property of the volume distribution function called the Standard Deviation of the VWAP, SD for short. SD is computed from the following equations:

 

NOTE : Formula did not copy ... see http://www.traderslaboratory.com/forums/f6/trading-with-market-statistics-iv-standard-2101.html

 

where the summation subscript i, runs over all prices in the volume distribution

pi = ith price in the volume distribution

Pi = vi/V is the probability of occurrence of price pi

vi = the volume traded at price pi from the volume distribution

V = total volume for the entire distribution

#################################

 

Note that factor vi is volume traded at price pi. If I understand your code, you have used volume of the bar, or volume at time , not as described in the formula.

 

To get proper value for vi, you would have to keep track of all the volume distribution at EACH price level of the range in the array and use the value of volume array element that corresponds to price pi. It can be done, but it would take more then few lines of code, unfortunately.

 

For some odd reason, it does not seem to make much difference even if you set vi/V = 1, for the few sample charts I looked at. So for all practical purposes, SD value is usable...

Share this post


Link to post
Share on other sites

I think it's considered an 'acceptable' trade of computational complexity/speed against accuracy.

 

You can control the accuracy by putting a second series of lower timeframe bars and applying the indicator to that perhaps? (hide the second series). A 1 tick series should be completely accurate?

 

Just a thought.

 

Oh and thanks Dbntina!

Share this post


Link to post
Share on other sites

Nick,

 

You are exactly correct...I know what you are getting at for sure. Blowfish is exactly right...the code I wrote on a 10M bar will do what you are getting at but only at 10M increments. A 5M bar will be more accurate...then a 3M bar will be even more accurate...then a 2M bar will be even more accurate...etc. Jerry is content using a 2M bar. Technically you would have to run it how you are describing to get it exact but I am not sure that it is necessary according Jerry he thinks running it on a 2M bar is close enough.

 

I understand though what you are saying because if I remember my match classes correctly it is a continuous function not a discrete function? I am approximating (so is Jerry I believe) using calculations at every 2 minutes (discrete) when the true value would be evaluated constantly like a continuous function.

 

We will get more and more accurate as will decrease our bar interval. But knowing that the bands are truly at .38 on the S&P as oppossed to having our numbers 1 to 2 ticks off (I don't know if this is the case but I am just giving an example) I think it is close enough on a 2M according to Jerry.

 

Let me know if I am misunderstanding what you are getting at...the important thing is that the code is doing the same thing as Jerry's code on a 2 minute chart...that was all I was trying to accomplish so I could follow Jerry's logic and trade management.

 

dbntina :)

Share this post


Link to post
Share on other sites

I don't want to beat this to death, since the code is performing close enough to what Jerry has. However, it is only important if you decide to expand the code to include volume distribution. At that point you will realize that assumptions made in this code are not valid in all cases. It is accurate observation that the smaller the time frame is, the more accurate calculation becomes, simply because there is an underlying assumption that the volume was constant within the bar interval ( we know the total volume of the bar, and range of the bar). Calculation will be accurate as long as the price does not hit the same level more then once. Now suppose that we have a consolidation day when the price moves back and forth several times thru the range. Every time it comes to the price pi, you will have to add volume of that instance to previous volume at the same price and build volume histogram bar for the price pi. Now when you do calculation for the SD, you would take sum of the volume at price pi and divide it with total volume for the session . I hope that this explanation is better then previous attempts.

Share this post


Link to post
Share on other sites

Nick,

 

I hope I didn't mislead anyone. I should have been more clear. The indicator I posted does not give the exact VWAP or SD bands. It most definitely is an approximation. I am only trying to create the identical indicator Jerry uses on his 2min charts for TS users.

 

It should be the exact way that Jerry told us to caculate it. That is all I am trying to accomplish. He said to take the open/hi/low/close and divide by 4, for the price bar...that in itself already throws some level of accuracy out the window. However I am normalizing the volume according to the way he said to do it I think.

 

I would like people to check the code for accuracy according to the way Jerry does it...not for exact accuracy of VWAP and SD bands...I already know it is not to that level of accuracy.

 

Hopefully everyone is clear on what the indicator is doing now. But I agree with you it is not accurate the way you are talking about...that was not my intention. My intention was to create Jerry's indicator for TS users.

 

Hope that clears it up,

 

Thanks,

 

dbntina :)

Share this post


Link to post
Share on other sites
Soultrader,

 

I have the screenshot. Can you point me to the instructions on how to add the image to the eld?

 

Thanks,

 

dbntina

 

Hi dbntina,

 

You should be able to edit your first post and then edit the attachment manager. Pm me if you are still having problems.

Share this post


Link to post
Share on other sites

Soultrader, I still can't find how to edit my original post...having said that...

 

I have coded the VWAP, SD bands and PVP on a tick by tick basis on a 1 Tick chart. I was thinking I could simply hide the 1 tick chart and plot the indicators on a 2 minute chart and everything would be cool...problem is that it gives me an error "Tick and Volume intervals cannot be used in a mult-symbol chart".

 

Does anyone know of a way around this to plot the data gathered from the 1Tick to plot on a minute chart? There has to be a way around this. Maybe creating a function and access...I don't know just thinking out loud...like I said I am new to the functionality of TS and need help.

 

I will post for all TS users for free if we can get this thing figured out.

 

Any help is appreciated. This should be the fix that NICK was pointing out for accuracy in the indicator thread.

 

dbntina ;)

Share this post


Link to post
Share on other sites

You would put the 1 tick series on the chart add the indicator on that series then, then hide the initial 1 tick series.

 

Simply add a second 2 5 10 15 minute data series of the same instrument (whatever you want to trade from) to the chart.

 

Cheers,

 

PS. have you posted the PvP yet I could not see it

PPS. Great work!! Thanks you (if I had not already thanked you).

Share this post


Link to post
Share on other sites
Guest cooter
You would put the 1 tick series on the chart add the indicator on that series then, then hide the initial 1 tick series.

 

Simply add a second 2 5 10 15 minute data series of the same instrument (whatever you want to trade from) to the chart.

 

Cheers,

 

PS. have you posted the PvP yet I could not see it

PPS. Great work!! Thanks you (if I had not already thanked you).

 

That doesn't work on Tradestation as you can't mix and match tick and minute data series on the same chart.

 

Try ADE (all data anywhere) as a workaround. You'll find more info about it in the Tradestation.com forums.

Share this post


Link to post
Share on other sites

Does anyone here use Amibroker for their charts? The programming language seems very flexible, I just wish I knew how to program! If someone could convert these for that program I would be eternally grateful. Specifically the standard deviations for the VWAP. Thanks!

Share this post


Link to post
Share on other sites

Thanks Cooter and Blowfish for your help...finally got ADE working and I can see the PVP on my minute charts with the VWAP and SD bands...appreciate the knowledge on this board!

 

Testing it out now for a few days.

 

dbntina

Share this post


Link to post
Share on other sites

Could someone tell me which of these SD bands look correct (yellow or blue). Actually I cant work out why they differ as the actual formula I use is the same in both, I just am summing the bars slightly differently.

 

Be really great full if someone could compare with ensigns finishing values. Note that the YM chart ends at 3.15pm central

 

Cheers.

Nick

SDBands.thumb.png.8098b835c0573511cf6875db1834124e.png

SDBands1.thumb.png.f879a537f3f61126099248dc3f015ef0.png

Share this post


Link to post
Share on other sites

OK figured out what was wrong with the last two indicators but have come up with something that I think is OK.

 

The reason for this is that there are some performance issues with the indicator here as it has to scan the series back to the days start when there is a new tick. Applying it to a tick chart (especially at the end of the day) it slows right down.

 

Anyway I figured there should be a way to do it using running statistics and indeed there is. There is a side benefit to doing it this way as you don't get cumulative rounding errors (according to the signal processing guys). This does not get rid of the sampling inaccuracy that Nick mentions earlier in the thread.

 

I'd welcome comments? I wonder if rounding errors would explain the 2 or 3 ticks difference?

SDBands2.thumb.png.de3c7b969a32149f625f725f3d8a61dc.png

Share this post


Link to post
Share on other sites

One last chart a 1 tick of the same period as the last post (yesterdays ER2). Looks good to me? It is much much quicker this way and its plausible to run it on 1 tick charts (meaning complete accuracy is attainable if desired). If it looks good enough I'll upload it.

 

Incidentally watching PvP for the last week or two and comparing tick precise with 1 & 2 minutes I think I might have changed my mind - tick precise would have kept you out of a couple of bad trades due to quicker 'flipping'

 

Cheers

SDBands3.thumb.png.e2771bb7f91a4cf90df76e235f6580ac.png

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

    • No one can specify that who can become successful in what time, it all depends on the skills you have applied and know;edge you have implied while trading.
    • On this Forum by Introducing yourself new beginner will get many things to learn, good links and videos also. Forex4you is a platform where you can learn about Forex as well as Demo account trading.
    • Open a new futures brokerage account by April 30th with a NinjaTrader Lifetime license & receive: Commission-Free Micro trading in May $50 margins on Micros Access to the most powerful version of NinjaTrader Free platform upgrades for life! Simply open & fund your new account in April with as little as $400 & purchase a Lifetime license. You will then receive a rebate for commissions on all Micro futures trades placed from May 1 – May 31st.* Open Futures Account A NinjaTrader Lifetime license provide access to all premium features including Chart Trader, OCO orders, Order Flow +, and more. *Program Requirements: Account must be funded by April 30th, 2020 with $400 minimum A new NinjaTrader Lifetime license ($1099) must be purchased by April 30th, 2020 Standard exchange, NFA and routing fees still apply A commission rebate will be applied to the account holder’s balance for all May Micro trades 2nd accounts for current NinjaTrader Brokerage account owners not eligible for rebates Futures and Forex trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing ones financial security or life style. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results. View Full Risk Disclosure.
    • Date : 1st April 2020. All eyes on Commodity Currencies.Asian stock markets are lower, while European and US equity index futures are showing losses of around 3%. Data out of Asia today were nothing short of dismal, showing manufacturing contracting across most of the region, highlighting the economic toll that virus-containing measures are having.The main concern remains that the massive global stimulus measures simply won’t be fully effective while many economies remain in a state of lockdown of as-yet unknown duration.Commodity currencies have come under pressure as the winds of risk aversion picked up again.The Canadian dollar was the main loser so far today , while it has remained under pressure with oil prices sinking back toward major-trend lows as crude storage facilities burst at the seems from excessive supplies.USDCAD has gained up nearly 2% in making a 1.4230 high, though the pair so far has remained below yesterday’s peak at 1.4350. This is due to the fact that crude prices are down by over 65% year-to-date. This level of price decline in Canada’s principal export, while it sustains, marks a significant deterioration in the Canadian economy’s terms of trade. Given the glut of crude flooding the market, and given that supply is increasing as demand will remain weak for a historically protracted amount of time, Canadian Dollar is anticipated to remain apt to underperformance. The likes of the Norwegian krona, which like the Canadian dollar is an oil-price correlator, and many developing world currencies have also come under pressure.From the technical perspective, USDCAD overall outlook remains positive with asset holding above all three daily SMAs since January, and momentum indicators positively configured. RSI at 59 recovery from a pullback last week, Stochastic rebound from oversold territory and MACD presents some decline of the bullish momentum but holds well above 0. That said, USDCAD revisiting its recent 17-year high at 1.4669 seems likely before long.Intraday meanwhile, the rebound of USDCAD looks to run out of steam, however only a move below 1.4050 could suggest a reverse of the outlook.AUDUSD tipped over 1% lower in making a 5-day low at 0.6064 amid weaker Gold prices (end-of-quarter flows). The Aussie still remains comfortably above the 17-year low that was seen on March 19th at 0.5507. The Kiwi dollar has also taken a tumble.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.
    • Date : 31st March 2020. Dead cat Bounce!Dead cat Bounce! A new term? Not really but definitely something that we haven’t seen for more than a generation.In general, investors throughout the years invented this term as a follow up to a market free fall. By definition, the “Dead cat Bounce” is simply a market phenomenon that translates into temporary small and short-lived rebounds of an asset’s price within a prolonged period of downside. This term is based on the idiom that “even a dead cat will bounce if it falls far enough and fast enough“. Hence in the financial market it is said that even if an asset falls with a considerable speed, it would rebound as even a dead cat would bounce. However, every time there is a rebound, the overall initial trend is then anticipated to resume, bringing the bearish influence back into play.In addition, the phenomenon can occur in any market, yet is particularly prevalent in equity markets. It is often the case that it is considered a continuation pattern.Why are we raising this topic now? This March, was the first time after Black Monday 1987 that we have seen the worst intraday selloffs in stock markets. Since February 20th, the stock market entered an aggressive bear market with a few days of an absolute rally. An example was the 13th of March in which the stock market roared back in the biggest one-day rally since 2008 after its worst single-day crash in 33 years just a day before. This is the classic dead cat bounce.If you closely observe stock market behaviour in March you will notice that there is a dramatic decline, with a number of days when the market reversed some of its losses, but failed to take the bait, and eventually fell back down again. This is a situation of portfolio managers wanting to sell some of their positions and when they see some strength in the market, decided to unload. This is what we call a “dead cat bounce” after it falls from high enough. Remember however that not every correction/reversal can be interpreted as a dead cat bounce.Theoretically this term is defined as the term in which,   A stock in a severe steep decline has a sharp bounce off the lows. A small upward price movement in a bear market after which the market continues to fall. Unfortunately, I need to highlight that there is not an easy way to determine in advance whether an upwards movement is a dead cat bounce which will eventually reverse quickly or whether it is a trend reversal. There is nothing easy in identifying the bottom of the market. However to a large extent a dead cat bounce is a retracement, in comparison to a reversal, i.e. it is temporary.Dead cat bounce as a technical analysis tool and more precisely as a continuation pattern could be tradable from short-term or medium term traders. Having explained this phenomenon, a follow-up article will elaborate on how market participants can trade a dead cat bounce.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. Andria Pichidi 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.