Market Statistics (Volume Histogram, VWAP with SD bands) - page 12

RickW00716
733
RickW00716  
akift:
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,

Thanks for your answer...So the most accurate PVP would be using the 1 min. chart?

Does this hold true for the VWAP as well?

What about using the 1 min chart for the PVP and longer term charts for the VWAP?

Thanks again

akifusenet
292
akifusenet  

Hey Scrat,

Thank you very much for the posts. Actually if you have read the last Jperl's thread which is called HUPs(Hold Up Prices) He actually draws these HUPs on to his chart

STATIC HUP

Yesterdays High,Low,Close

Overnight High,Low

Any computations based on these such as classic pivot points

DYNAMIC HUP

Yesterdays PVP,VWAP and SD's

2 day PVP, VWAP and SD's

1 week(5day) PVP, VWAP and SD's

2 week PVP, VWAP and SD's

1 month(4 week) PVP, VWAP and SD's

2 month PVP, VWAP and SD's

1 year PVP, VWAP and SD's

But IMHO if you put all of these on the same chart it can be very cluttered and probably very CPU intensive. But maybe we should give it a try.

We can put multiple v1 indicator on the same chart. But we should change the color of every HUP....Any volunteers for trying:)

Maybe I should modify the code to draw a horizontal line for PVP, VWAP and SD lines and put some *user defined label* on them like When you enter "Weekly" it will draw a "Weekly PVP" "Weekly VWAP" "Weekly SD1" etc.... Yeahh I need time:)

Akif,

akifusenet
292
akifusenet  
RickW00716:
Thanks for your answer...So the most accurate PVP would be using the 1 min. chart?

Does this hold true for the VWAP as well?

Thanks again

No for the volume you cant exactly know the distribution but for the price we know exactly what is our average price and what is our total volume so there is no problem with VWAP calculation.

RickW00716:
What about using the 1 min chart for the PVP and longer term charts for the VWAP?

Actually I should have used 1min data for PVP regardless of time frame. You dont need to change anything for VWAP.

florinv75
232
florinv75  

yes, but if you use 1min data, then how far can you go back in history when you want to display, let's say, a daily chart.

akift:
Actually I should have used 1min data for PVP regardless of time frame. You dont need to change anything for VWAP.
florinv75
232
florinv75  

i didn't know about HUP, thanks for bringing that up.

what i described above was just my way of thinking and how i use market_stat indicator. but it was not what i had in mind about a new market_stat.

what i meant was this: on the current timeframe, would it be possible for market_stat to automatically adjust its start date to the beginning of the new swing? and to do this in correlation with a zigzag.

does it make any sense?

akift:
Hey Scrat,

Thank you very much for the posts. Actually if you have read the last Jperl's thread which is called HUPs(Hold Up Prices) He actually draws these HUPs on to his chart

[......]

But IMHO if you put all of these on the same chart it can be very cluttered and probably very CPU intensive. But maybe we should give it a try.

We can put multiple v1 indicator on the same chart. But we should change the color of every HUP....Any volunteers for trying:)

Maybe I should modify the code to draw a horizontal line for PVP, VWAP and SD lines and put some *user defined label* on them like When you enter "Weekly" it will draw a "Weekly PVP" "Weekly VWAP" "Weekly SD1" etc.... Yeahh I need time:)

Akif,
Files:
gj_h4_1.gif 27 kb
akifusenet
292
akifusenet  

Market Statistics v3

I have made a small bugfix on the indicator which will help on CPU-usage hopefully. Scrat I didnt forget about your posts but these days my work is getting more time consuming..

I will update the first post also.

Akif,

Files:
tempelton
4
tempelton  

great!!

akift:
I have made a small bugfix on the indicator which will help on CPU-usage hopefully. Scrat I didnt forget about your posts but these days my work is getting more time consuming..

I will update the first post also.

Akif,

hi akif..

thanks for this great indicator and bringing into the forum market statistics

is there any diferrece between vwap from market statistics and the one from midas??? i have plot both on the chart on sometimes they go along, but others have slightly different vaules ang travel parallel..????

by the way, i use the vwap to enter at market pullbacks and sd lines for profit targets...beautifull

toddanderson
495
toddanderson  

starting time

Is it possible to have the indicator open a t a specific time, like it could open, start every time at london open or what ever, instead of setting it every day

akifusenet
292
akifusenet  
tempelton:
hi akif..

thanks for this great indicator and bringing into the forum market statistics

is there any diferrece between vwap from market statistics and the one from midas??? i have plot both on the chart on sometimes they go along, but others have slightly different vaules ang travel parallel..????

They should be same but I will check again.

UPDATE: I checked and it looks like on MIDAS I use (H+L)/2 as average price and on Market Statistics (H+L+C)/3. And also on MIDAS to be exact with article I use cumulative values.

tempelton:
by the way, i use the vwap to enter at market pullbacks and sd lines for profit targets...beautifull

Thats perfectly viable. I am also testing different values and it looks like if you start the indicator yesterday's at 22:00 (Alpari-UK server time you calculate the GMT:)) it gives good approximations of reflection from one SD band to take profit at the other SD band. I still need to find some hard rules to follow(especially to be able to put PVP back in game) other then instinct. But maybe it is the rule of this game that u always need instinct besides rules.

I would like to hear other people approaches also.

akifusenet
292
akifusenet  
toddanderson:
Is it possible to have the indicator open a t a specific time, like it could open, start every time at london open or what ever, instead of setting it every day

Yes we definitely need that. I am also sick and tired of manual setting:)

I will look at it. But dont expect smtg as fast as before as I am very overloaded with work these days.

Akif,