Market Statistics (Volume Histogram, VWAP with SD bands) - page 10

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akifusenet
292
akifusenet  

Tick_VWAP

for the sliding window concept. In the fxstreet webinar mark whistler shows a VWAP indicator which can be downloaded from that site and also from here. That indicator is written by Amir Aliev.(It is VWAP.mq4) It basically does what you requested. But instead of time-wise it works the sliding window in tick-wise. I found a small bug in that which causes wrong display if you change the chart period. And also made a small change if the requested tick_count is smaller than a bar volume, VWAP line will be crippled. Anyways they are details. If you want you can compare with the original one. So here is Tick_VWAP.

Let me hear what you think.

Akif,

Files:
eiman105
13
eiman105  

Hi Akift,

I've been playing with the indicator and noticed a rather strange thing.

I've added a moving average pivot over the period dismissing the volume from the formula (if that makes any sense ).

TotalPV2+=(Low+High+Close)/3;

TotalVolume2++;

if (i==Bars_Back) VWAP2=Close;

else VWAP2=TotalPV2/TotalVolume2;

It seems like the volume doesn't play much of a role here!

Please let me know what you think.

Eiman

Files:
1_4.gif 16 kb
fxbs
3203
fxbs  

Eiman, since you been checking this part- could you show chart with most and least WV impact - and post your mod (4 those, who not coder, but want to experiment, just change the name like ...test01 to avoid confusion) and few of your observations

thankyou

akifusenet
292
akifusenet  
eiman105:
Hi Akift,

I've been playing with the indicator and noticed a rather strange thing.

I've added a moving average pivot over the period dismissing the volume from the formula (if that makes any sense ).

TotalPV2+=(Low+High+Close)/3;

TotalVolume2++;

if (i==Bars_Back) VWAP2=Close;

else VWAP2=TotalPV2/TotalVolume2;

It seems like the volume doesn't play much of a role here!

Please let me know what you think.

Eiman

That perfectly make sense. If we didnt have any kind of volume information that would be what we do. Instead of volume histogram use price histogram. Thats what you did actually.But why not using volume information even if it is not a real volume. Which line would you prefer?:)

Akif,

eiman105
13
eiman105  
akift:
That perfectly make sense. If we didnt have any kind of volume information that would be what we do. Instead of volume histogram use price histogram. Thats what you did actually.But why not using volume information even if it is not a real volume. Which line would you prefer?:) Akif,

I know what you mean. But I'm thinking of changing the formula so that we could use it better in forex. That's the reason I did the last experiment.

Eiman

eiman105
13
eiman105  
fxbs:
Eiman, since you been checking this part- could you show chart with most and least WV impact - and post your mod (4 those, who not coder, but want to experiment, just change the name like ...test01 to avoid confusion) and few of your observations thankyou

Hi fxbs,

I'm sorry, but I didn't understand what it is that you want. Please clarify.

Eiman

akifusenet
292
akifusenet  

Market statistics @ "NOW"

Here is a just now screenshot of EURUSD M5

Look how it respects the VWAP and SD lines.

I suspect smtg is wrong with PVP calculation because it changes when i change time frame. It could be the calculation method. If I have time I will look at it. If smbdy else has time pls check

Have fun.

Akif,

Files:
SIMBA
2078
SIMBA  

Thanks

akift:

for the sliding window concept. In the fxstreet webinar mark whistler shows a VWAP indicator which can be downloaded from that site and also from here. That indicator is written by Amir Aliev.(It is VWAP.mq4) It basically does what you requested. But instead of time-wise it works the sliding window in tick-wise. I found a small bug in that which causes wrong display if you change the chart period. And also made a small change if the requested tick_count is smaller than a bar volume, VWAP line will be crippled. Anyways they are details. If you want you can compare with the original one. So here is Tick_VWAP.

Let me hear what you think.

Akif,

Akif,

Thanks a lot for your indicators and for the explanations in the thread,I believe that this is one of the most useful threads here,so,I would like to add my 2 cents just posting a link where anybody interested in pursuing this way of trading can expand his knowledge.

Indicators, Indices, & Market Internals

Just go there and scroll down to "Volume Weighted Average Price (VWAP) and SD Bands" section,you will find around 20 links with detailed explanations,both "traditional" and "creative" about how to use VWAP.

Thanks again for sharing both the Midas and the VWAP+SD indicators,Wish you the Best

S

florinv75
232
florinv75  

i was just going through the posts and found this.

it sounds very good. or you can use a zig-zag indicator for turning points, as someone already suggested.

akift:

Yes exactly. Put a vwap on to a turning point and it will lead you the possible reflection points.

I am thinking of automatically finding turning points(like fractals)[maybe on higher time frames like you suggested] and put a VWAP on them automatically rather than manually...How does that sound?

Akif,
xx3xxx
1754
xx3xxx  

the only Question is

can we use it TO TRADE

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