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dbntina

VWAP Indicator with 1SD and 2SD bands

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hi

 

after much attempt :missy: i would ask you if someone is able to change code so that work from a prefixed hour . with amibroker i tried this,from a file posted here :) and seems works (see nuovo documento di testo 3 ) but with MC i don't understand where find my mistake , i tried this( nuovo documento di testo) but works strange :( .

Nuovo Documento di testo (3).txt

Nuovo Documento di testo.txt

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are there any lessons on trading vwop ?cd;s or books?

I use the vwap on entrys long and short can anybody help????

 

From the notes posted with the indicator...

 

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.

 

All you need right there.

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Hi,

 

New to TL and I'm wondering if anyone has the VWAP code with 2 and 3-SDs for Metatrader (mq4)?

 

thanks in advance.

 

Not sure if one exists but it is unlikely to be that useful unless you can get real volume data. I'd be inclined to use futures data which probably means another charting package.

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Hello lj2500,

 

The links that you posted at http://www.traderslaboratory.com/forums/46/vwap-indicator-1sd-2sd-bands-2175-10.html#post59876 contain files that have have eSignal's VWAP indicators. Not the SDs on VWAP.

 

But I do remember a patch code written by Alex Monetenegro in a eSignal forum. I am yet to locate a downloadable EFS with the 1,2 and 3 SDs on the VWAP.

 

Would be a great help if it exists.http://www.traderslaboratory.com/forums/images/FH_Sahm/smilies/custom2/crap.gif

 

Jose

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I just joined this forum. I got a lot of information from here and good indicators. VWAP indicator is very good. However, I think it will be very good if we could have an average VWAP for at least 5 days of trading. 5 days of averaging will give us a true understanding where the price/share ratio is. If any one can come out with an idea or code for TS, please share with us.

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I just joined this forum. I got a lot of information from here and good indicators. VWAP indicator is very good. However, I think it will be very good if we could have an average VWAP for at least 5 days of trading. 5 days of averaging will give us a true understanding where the price/share ratio is. If any one can come out with an idea or code for TS, please share with us.

 

Why are you posting the same request in different threads?

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Hi

 

I would reset this indicator , so i i've added a reset when difference between up and dow band reachs a % which can be changed .

:ciao:

{***********************************************************************************************

Coded by dbntina/boxmeister 8/2/2007

Used the VWAP_H code provided by Tradestation on 02/07/2003 Topic ID = 6735 Thanks Guys!

Added the computation for variance and the Standard Deviation to combine into one indicator
plot and this indicator plots the VWAP, SD1 bands and SD2 bands

***********************************************************************************************}
// only 1 band and a reset if diffHL in % between up and low band goes above our threshold



[LegacyColorValue = true];
	input : trdSD (2.5), diffHL(0.02);


vars:
	PriceW(0),var1(0),var2(0),
	ShareW(0),
	Count(0),
	VolWAPValue(0),
	VolWAPVariance(0),
	VolWAPSD(0);


if date > date[1]or ((var1<>0 and var2<>0 and var1<>var2)and (Log(var1)- Log(var2))>diffHL) then begin
	PriceW = 0;
	ShareW = 0;
	Count = -1;
	Value1 = 0;
	Value2 = 0;
	VolWAPValue = 0;
end;

PriceW = PriceW + (AvgPrice * (UpTicks+DownTicks));
ShareW = ShareW + (UpTicks+DownTicks);
Count = Count + 1;
Value3 = 0;

if ShareW > 0 then VolWAPValue = PriceW / ShareW;


	For Value1 = 0 To Count Begin
	Value2 = ((UpTicks[Value1]+DownTicks[Value1])/ShareW) * (Square(AvgPrice[Value1]-VolWAPValue));
	Value3 = Value3 + Value2;
End;

VolWAPVariance = Value3;
VolWAPSD = SquareRoot(VolWAPVariance);


Plot1(VolWAPValue, "VWAP");
         var1=VolWAPValue + (trdSD*VolWAPSD);
         var2=VolWAPValue - (trdSD*VolWAPSD);



   Plot6(var1, "VWAP3SDUp");
   Plot7(var2, "VWAP3SDDown");

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if i use a volume chart is it more accurate?

are there any video that wxplain how to trade with this indicator?

Are there other indicator that should we add to help us in trading?

Do you know is are there strategy profitable by vwap?

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if i use a volume chart is it more accurate?

are there any video that wxplain how to trade with this indicator?

Are there other indicator that should we add to help us in trading?

Do you know is are there strategy profitable by vwap?

 

There is a wealth of great information here

http://www.traderslaboratory.com/forums/f6/trading-market-statistics-links-4803.html should answer all your questions.

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Hi everyone and happy new year to all of you.

 

I'm a new member here and I found this thread very useful. I also found very interesting all the volume’s threads in this forum so I would like to thank all the members for their effort, especially DBNTINA and JPERL.

I saw that this post begun almost four years ago and I have some questions about the DBVWAP_SD.ELD file. Note that I use MultiCharts and unfortunally I’m not a programmer...:angry:

 

1) Is anyone still using the DBVWAP_SD.ELD file as the author published it in the 2007 or has someone developed any upgrade of it? I saw that there’s a 3 standard deviations one but I would like to know if somebody coded a new ELD file which is more accurate or requesting less processor resources? (but of course, thanks Dbntina for your great job!). Since I’m almost a beginner I’m interested in free files… ;)

 

2) On another Dbntina’s thread I found the TICKPVPVWAPSD.ELD file . Does anybody know (or Dbntina knows :roll eyes:) if is it more accurate than the DBVWAP_SD.ELD file?

 

3) I didn’t find the way to plot PVP together with VWAP and its SDs in the same chart as shown in this image: http://www.traderslaboratory.com/forums/attachments/46/5592d1206291287-ts-tick-tick-pvp-plotted-vwap-pvp-vwap-sd-bands.png

I always have to open a chart with the PVP at first and then another one with VWAP and its SDs. What am I doing wrong?

 

Thanks in advance to all of the members that can give me a feedback.

 

Cheers

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Hi everyone and happy new year to all of you.

 

I'm a new member here and I found this thread very useful. I also found very interesting all the volume’s threads in this forum so I would like to thank all the members for their effort, especially DBNTINA and JPERL.

I saw that this post begun almost four years ago and I have some questions about the DBVWAP_SD.ELD file. Note that I use MultiCharts and unfortunally I’m not a programmer...:angry:

 

1) Is anyone still using the DBVWAP_SD.ELD file as the author published it in the 2007 or has someone developed any upgrade of it? I saw that there’s a 3 standard deviations one but I would like to know if somebody coded a new ELD file which is more accurate or requesting less processor resources? (but of course, thanks Dbntina for your great job!). Since I’m almost a beginner I’m interested in free files… ;)

 

2) On another Dbntina’s thread I found the TICKPVPVWAPSD.ELD file . Does anybody know (or Dbntina knows :roll eyes:) if is it more accurate than the DBVWAP_SD.ELD file?

 

3) I didn’t find the way to plot PVP together with VWAP and its SDs in the same chart as shown in this image: http://www.traderslaboratory.com/forums/attachments/46/5592d1206291287-ts-tick-tick-pvp-plotted-vwap-pvp-vwap-sd-bands.png

I always have to open a chart with the PVP at first and then another one with VWAP and its SDs. What am I doing wrong?

 

Thanks in advance to all of the members that can give me a feedback.

 

Cheers

 

No suggestions? :crap: I just don't want to spend money buying some indicators while I'm still a beginner. Anyway... Can anybody help me? Otherwise, please let me know which of volume indicators (especially VWAP) you frequently use, even if they are not free. I'm interested in building a volume based strategy.

 

Thanks guys, hope to hear from you.

 

Cheers

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Hi,

 

Thanks for sharing about the VWAP indicator. I apply the indicator to Crude oil future contract (CL) and find that it starts calculation from the beginning of the day but the session of CL should be: Sunday - Friday 6:00 p.m. - 5:00 p.m. (5:00 p.m. - 4:00 p.m. Chicago Time/CT). What kind of adjustment to make the indicator sync with official trading time slot ? Thanks a lot.

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