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.
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 ).
if (i==Bars_Back) VWAP2=Close;
It seems like the volume doesn't play much of a role here!
Please let me know what you think.
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
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?:)
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.
I'm sorry, but I didn't understand what it is that you want. Please clarify.
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
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
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.
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?
the only Question is
can we use it TO TRADE