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

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,

florinv75
232
florinv75  

actually, it makes perfect sense. i agree with everything jperl is saying.

it's up to you if you add the extra-option... i guess it all depends on the trading style.

again, nice work! many thanks

pavaka
4411
pavaka  

...

Walander:
What the hell are you rambling on about? Aklift doesn't need to explain shit to you, and frankly your whining is more reminiscent of a baby crying than it is of a valuable student trying to learn and asking a question.

No indicator will tell the future, so stop looking for one. Like mladen and many other coders have already specifically stated, the farther an indicator attempts to go into the feature the greater (at an exponential rate) the prediction becomes inaccurate.

Shut up already.

Well...actually..I know one indicator that predicts future just fine....