Market Statistics (Volume Histogram, VWAP with SD bands) - page 3

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akifusenet
292
akifusenet  

Skewness indicator

biddick:
Akif, Thanks for the indicator, great work,also looking forward to see your skewness indicator.

Ok for skewness Jperl suggested to use Karl Pearson's simpler calculations

which you can check from this Wikipedia page.

Copy-pasting from wikipedia:

Karl Pearson suggested simpler calculations as a measure of skewness: The Pearson mode skewness[2], defined by * (mean − mode) / standard deviation,

So our skew indicator will be simply

(VWAP-PVP)/SD

It is that simple.

And if VWAP>PVP skew will be positive. And if VWAP<PVP skew will be negative.

I couldnt finish the threads yet(still reading and working and writing indicators at the same time) so I am not exactly sure about how should we read about the real values that we will get from these calculations.

I remember Jperl was saying stay away from trading if PVP is too close to VWAP. Maybe we can find a number on this skewness indicator saying below that value do not enter a trade.

As I said earlier...Dont know yet..Still reading and learning..

Thanks for trying... I will post skewness indicator this evening also.

Akif,

akifusenet
292
akifusenet  
Limstylz:
The market statistics indicator is very similar to what is shown by the market profile indicator (except that your indicator shows more lines where there are other prices with high volumes as well as the PVP).

I have attached a document for you to see the very similar concepts and although market profile was devised for stocks and commodities like market statistics was, market profile has and is used by a vast number of traders who have crossed over to forex.

I have also attached a market profile indicator for you to see how similar it matches with your visuals. I have made a very minor adjustment to the original code so that the POC is in front rather than behind.

Thank you Limstylz,

I know this article and read it already. I know the indicator also. I looked at its code before programming Market Statistics indicator but DrShumiloff's VolumesHist2.3 indicator made a better effect on me.

Again thanks for reminding. For differences as you already know this is just volume weighted. So is it reasonable to volume weight in forex? We will see...

Akif,

biddick
339
biddick  

I have just found Mladen's deviation indicator.It has the kurtosis, skewness and the other statistical calculations in it: https://www.mql5.com/en/forum/175608

Limstylz
198
Limstylz  
akift:

Again thanks for reminding. For differences as you already know this is just volume weighted. So is it reasonable to volume weight in forex? We will see...

No problem, I thought you may already know the work, I posted the doc mainly for others.

The issue with weighting in forex is this... unlike stocks and commodities, the volume traded daily in any particular direction can have immediate effects in a particular direction if a market participant is simply stop hunting (happens generally around news times or significant price levels). It is safer to rely on pure PA at the POC in market profile or PVP in market statistics and only trade on what the market is ACTUALLY showing, rather than what a calculation based on the last few closes shows.

However, if there are enough people using weighted calculations, it does become a self fulfilling prophesy (like fibs and pivots and to some extent S&R).

akifusenet
292
akifusenet  

I think I will have more concrete answers when I finish reading those threads, because for example there is a separate thread there what to do when price get close to the PVP. And I havent read it YET I think I should take some time and finish those readings.

Akif,

akifusenet
292
akifusenet  

lightweight VWAP

For anyone interested in MIDAS thread I created a lightweight pure VWAP with SD bands only . Here is the link.

Cleaner, faster...

I gotto leave quick. I will comment on later.

Akif,

akifusenet
292
akifusenet  

skewness indicator

Ok here is the skewness indicator. But dont forget that skew is computed beginning from StartDate.

And about skew I am copy-pasting what Jperl has said in his thread. So this answers my question actually. The real value is not that important. We just need to know if there is a skew or not and to which direction.

How large does the skew have to be to consider taking a trade at the VWAP or SD in the direction of the skew.

The answer is: I was concerned about this for a long time. It turns out, that there is no correlation between the size of the skew (as measured by the Karl Pearson definition of skew which is (VWAP-PVP)/SD ) and the momentum of the trade in the skew direction. What only seems relevant is that a skew exist. Other HUPs will come into play between the entry point and the profit target which will play an important role in the momentum of the trade.

HUP means Hold Up Price. Dont ask it yet. We will come into that also and I believe it will be interesting.

I m preparing a word document summarizing Jperl's thread while I am reading it, I will post it when I finish.

Have a nice one.

Akif,

Files:
akifusenet
292
akifusenet  
Limstylz:
It is safer to rely on pure PA at the POC in market profile or PVP in market statistics and only trade on what the market is ACTUALLY showing, rather than what a calculation based on the last few closes shows.

You are %100 right here. At PVP market is at decision. Two things can happen market may be want to high volume area(VWAP) or it can throw himself to the darkness of low volume area. So PVP is a very dangerous place to trade. But does it mean it is not tradeable? Definitely not. I will comment on this later. (I m just learning that subject:))

Limstylz:
However, if there are enough people using weighted calculations, it does become a self fulfilling prophesy (like fibs and pivots and to some extent S&R).

I hope what we are doing is not self fulfilling prophecy. I really do hope so...:)

Take care.

Akif,

florinv75
232
florinv75  

thank you very much for your work, akift! i have been looking for such an indicator for quite some time.

i was also wondering if you could change your market_statistics indicator: instead setting a start date, wouldn't it be better to set it to automatically look back "n" days from current day? i asked about this as i'm currently using a version of market_profile indicator which works this way... (there is quite an active thread @ FF about trading using VSA, and these things are coming together very nice ).

p.s. here is the other indicator, i thought it might be useful to post it here.

Files:
akifusenet
292
akifusenet  
Scrat:
thank you very much for your work, akift! i have been looking for such an indicator for quite some time.

i was also wondering if you could change your market_statistics indicator: instead setting a start date, wouldn't it be better to set it to automatically look back "n" days from current day? i asked about this as i'm currently using a version of market_profile indicator which works this way... (there is quite an active thread @ FF about trading using VSA, and these things are coming together very nice ).

p.s. here is the other indicator, i thought it might be useful to post it here.

Hi scrat

I m happy you like it. Before I write this indicator I check all those available mp indicators. And last n (sliding window style) is easier to implement. But I believe we shouldnt do so. I will give word to Jperl again. Jperl I hope you dont mind

No I don't start a new VWAP every hour. You lose two important pieces of information by doing so: a) The present trend, determined by price relative to the VWAP and b)the day's volatility as measured by the standard deviation. The present trend determines my bias and thus whether I will favor longs or shorts. The SD tells me how much I should expect to pull out of the market when I trade. I don't want to lose either of those two pieces of info by restarting the VWAP computation.

Hope this explains. I know forex is different. But we will find out away...Hopefully..

Akif,

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