Market Statistics (Volume Histogram, VWAP with SD bands) - page 11

florinv75
232
florinv75  

i don't know about "we", i only know that i can and am using it already to make profits.

xx3xxx:
the only Question is can we use it TO TRADE
RickW00716
733
RickW00716  
Scrat:
i don't know about "we", i only know that i can and am using it already to make profits.

I read the document about this type of analysis and trading...very interesting!

In what way are using it to trade? Intraday?

Has anyone tried to use this on a longer term type of trade? Say 4 hour(or longer) bars?

I work full time during the day but would like to try this for longer position trades.

akifusenet
292
akifusenet  
Scrat:
i don't know about "we", i only know that i can and am using it already to make profits.

Hi Scrat,

I would be very happy if you can give some examples of your trades. Are you using zig zags for VWAPs?

RickW00716
733
RickW00716  

Should the VWAP and the PVP change when you switch timeframes?

The starting points are the same but the 15 min chart is different from the 1hr chart.

Files:
akifusenet
292
akifusenet  
RickW00716:
Should the VWAP and the PVP change when you switch timeframes? The starting points are the same but the 15 min chart is different from the 1hr chart.

Hi Rick,

There should not be big differences on VWAPs. As far as I can see from your picture VWAPs looks ok. The problem(if we can say so) is at PVP calculation. Volume histogram calculation is an appropximation. When you open a new chart you can see the volume as number of ticks in previous bars. But (as far as I know) there is no way to tell which ticks happened in which actual price. So for example on a 1 minute chart you know last bar has 23 ticks and you know last bar's range is between for example 1.41234 and 1.42321. You know those 23 ticks was between these values but at which values precisely? Thats a question mark. And I think there is no way to tell cause MT doesnt hold tick values.[Again I am not sure how strategy tester works in ticks]

So what I have done is I spread those tick values into that range in a formula thinking about the open-low-high-close values. Difference of PVP values comes from when you go higher timeframe I dont go into 1-min timeframe I approximate the PVP at that timeframe.So this creates that difference. So 1 min PVP is the best precise approximation of PVP you can get. Maybe when I have time I will try to check it again. But no promise since I am getting kinda loaded these days.

Regards

Akif,

florinv75
232
florinv75  

no, i use a zigzag to identify the main swing...

a short example would be this:

- i start from daily chart, and identify main trend (direction of current zigzag segment). then i use beginning of current daily swing as start date for marketstat v1 (i only need a start date, because your indicator updates constantly). as long as price is above daily PVP, it should be ok to go long using lower tfs.

- i switch to lower timeframes, h4 as well as h1 and analyze what happens with zigzag on these timeframes. if zigzag is opposite from daily, then i plot marketstat v1 to find out where is PVP for h4 or h1; then i wait until price goes beyond PVP in the direction of daily trend.

i will come back with chart examples.

akift:
Hi Scrat, I would be very happy if you can give some examples of your trades. Are you using zig zags for VWAPs?
florinv75
232
florinv75  

not significantly, but yes. there are differences between tfs.

RickW00716:
Should the VWAP and the PVP change when you switch timeframes? The starting points are the same but the 15 min chart is different from the 1hr chart.
florinv75
232
florinv75  

and here are some chart examples, as i promised. my rationale is as follows:

- weekly swing is still up, as long as price is above PVP weekly.

- daily swing is down, as long as price is below PVP daily; will consider going long again IF PVP weekly is not broken...

and so on, same rationale for using lower timeframes.

akift:
Hi Scrat, I would be very happy if you can give some examples of your trades. Are you using zig zags for VWAPs?
Files:
gj_wk.gif 21 kb
gj_d1.gif 24 kb
florinv75
232
florinv75  

h4 and h1.

Files:
gj_h4.gif 23 kb
gj_h1_1.gif 24 kb
florinv75
232
florinv75  

i do this manually although i keep a zigzag indicator on chart (it's only for orientation). but it would be great to get some sort of automation, especially on smaller timeframes - i.e., automatically change start date of market_stat when zigzag starts showing a new segment.

i hope this makes sense.