Shortly after DeanV on the NT forum developed a dynamic PVP indy which uses data series after the close of a bar (i.e. not live-updating only), I wrote a 'skew indicator'.
Essentially based only on volume and price, it does a pretty good job of identifying chops and is sometimes very fast at identifying possible turning points. The backcolor indicates chop-type conditions and can be written many different ways, a couple of ideas for which are commented out in the current code. (Skew is the difference between vwap and dynamic PVP/POC. If vwap > PVP, skew is positive else if vwap < PVP skew is negative. )
The skew is plotted as the blue (bear) or gold (bull) bars then around them are drawn narrow and wide ATR bands to provide context.
The current problem with this indy is that the vwap always starts at midnight when called in another indicator. The vwap on this chart starts at 8.20 I think although because of the gap over the weekend on this pic it starts at 1800 Sunday night when the market re-opened.
I might try adding all this PVP/skew code to an existing vwap indy in order to get them all able to start and end at the same time. In any case, the principal is already there.
But what I would love to be able to put together here but lack programming skills to effect is:
1. either build a new indicator within an existing vwap so that the time-calling issue is resolved or have a new vwap whose start and end times can be called in other indies
2. Have the option to have all components either start at same time and/or be in 'rolling' mode, i.e. an 8 hour rolling period. Cory has already written something that does this with the VaT and VaB with dynamic PVP, so if a rolling vwap or callable start-end time vwap could be put in there to synchronise with the existing code this would work.
3. Even better would be a live-updating indy based on Gom's work because that way the PVP points would be more accurate and often turning points/skew flips would be indicated more accurately and, I suspect, in a more timely fashion.
This indicator can be used to identify probable chop areas very quickly, much more quickly than other indies I have seen. And then non-chop areas (no backcolor in attached indy) have higher probability of making decent moves.
So if anyone would like to try to get the vwap and PVP synchonised that would be a huge step forward. Again, I suspect either this means re-writing a vwap indy so the start and end times can be called (like DValue can already be called), or inserting PVP code into a vwap that shares the same start/end times. And then of course the rolling option is another excellent option in there.
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Of old the skilled first made themselves invincible to await the enemy's vincibility.
Invincibility lies in oneself. Vincibility lies in the enemy.
Thus the skilled can make themselves invincible.
They cannot cause the enemy's vincibility.
Thus it is said: 'Victory can be known; it cannot be made.'
your chart has always confused me, to many layers of lines and shades. I try to understand the issue of start time as you had mentioned it many times before. I look at ivwap and it has start time and end time parm, are you saying it's not working.
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CCL, I am interested. The hVWAP indicator has user customizable start and end times, so it seems to me that any indicator that uses it should be able to pass on its own corresponding times. Right now am busy with some other stuff, and I don't have a great command of date time manipulations. But I will look at this. Stay in touch!
(If you have trouble finding hVWAP send me a PM. I think it's here on Big Mike's. What a great forum this is!)
I have hvwap. But you cannot call it's start-end times in other indicators, nor with any other of the 5-6 vwaps I have downloaded.
One workaround is to have the chart start and end at the day-session start time which means the vwap will start then. For some reason I didn't think of that earlier.
But ideally one should have a vwap whose start-end times can be called in other indicators. DvalueArea has a way of defining start-end times that is callable in other indicators and I shall try one day to modify a vwap to use his method. However, all the date-time coding I find very hard to work with and the couple of times I tried this earlier I got nowhere. Maybe now I am better at it and can luck out.
Another approach might be to start with a vwap and then call other indicators from within it, but I think when I looked into this I again had a hard time understanding the code. The vwap is a slightly tricky animal... Gomi's vwap code is delightfully simple - 2-3 lines - but then it is embedded in one of these live-updating situations which is also problematic.
The best would be to re-write a vwap that has
a) callable date-time inputs and
b) a rolling capability, i.e. the last X hours as long as
c) any volume histogram (such as DValueArea) also has rolling capability.
Cory: sorry my chart was confusing. I was just looking at the skew indy which is fairly self-explanatory. But the problem is that the vwap referenced in the indy starts at 12.00 am, whereas the vwap on the chart starts at 8.20.
Of old the skilled first made themselves invincible to await the enemy's vincibility.
Invincibility lies in oneself. Vincibility lies in the enemy.
Thus the skilled can make themselves invincible.
They cannot cause the enemy's vincibility.
Thus it is said: 'Victory can be known; it cannot be made.'
Move the start-time and end-time parameter to the Category["Parameters"] and it will be able to be specified by another indicator.
Mike
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Then had to figure out how to get the DValue ints used for StartHour and StartMinute into the hvwap string 00:00:00 format but was lucky and it worked.
Now I have a Skew Indy which has a start-time callable vwap.
So easy when you know how.
I don't even know if this indicator is helpful or not, but I wanted to at least monitor it because it is highly original and based mainly on the relationship of vwap and PVP, both of which are volume-derived statistics.
Thank you very, very much Mike.
My chart is a little messy now, but have marked the 'flips' with vertical lines on the lower panel and the main chart panel. Now they are synchronised properly so I can see how/if it is even helpful to have it.
Of old the skilled first made themselves invincible to await the enemy's vincibility.
Invincibility lies in oneself. Vincibility lies in the enemy.
Thus the skilled can make themselves invincible.
They cannot cause the enemy's vincibility.
Thus it is said: 'Victory can be known; it cannot be made.'
For you, Mike, a pic of 5 min Crude. I have changed my band indy from your excellent Collective to being based on the vwap with your Daily ATR lookback feature (for which hearty thanks). Again, this is first time I have been able to get the vwap to start at time other than midnight by now having it callable within the code.
For anyone else who might be interested, the relevant line is:
code/
_pvalue = (hVWAP(openHour +":" + openMinute + ":" + 00, openHour +":" + openMinute + ":" + 00 )[0]);
code^/
where the first one is endtime and second is starttime using the string format required by hvwap.
Of old the skilled first made themselves invincible to await the enemy's vincibility.
Invincibility lies in oneself. Vincibility lies in the enemy.
Thus the skilled can make themselves invincible.
They cannot cause the enemy's vincibility.
Thus it is said: 'Victory can be known; it cannot be made.'
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