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VWAP bands
Started:May 27th, 2011 (11:30 AM) by crazybears Views / Replies:21,298 / 102
Last Reply:March 6th, 2012 (04:33 PM) Attachments:43

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VWAP bands

Old May 30th, 2011, 11:05 AM   #21 (permalink)
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supermht View Post
Good job, FT, when I open my indicator list, I can see "ana" everywhere....

The last version of the VWAP was anaCurrentDayVWAPV32. It did not have bands. The version V33 will have the bands, that is the reason I am posting here. But the bands need to be correct and fast.

If you read this thread you are just participating in the creation of the new version.

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Old May 30th, 2011, 11:13 AM   #22 (permalink)
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right

I am using version 32 now, very powerful
I removed other MAs, it makes the chart clean and simple, especially for big picture.
looking forward to version 33

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Old May 30th, 2011, 03:39 PM   #23 (permalink)
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anaCurrentDayVWAPV33 Test Version


So finally, I have finished a test version of the VWAP + bands indicator. It was a real headache.

I have found three ways to define volatility bands around the VWAP.

(1) Use the variance based on the distance of price from the corresponding value of the VWAP

Please not that this is not the way Bollinger Bands work. Typically you measure the distance of price from the last data point of the average not from the corresponding value. This method will generate narrower bands than the orthodox way, particularly on trending days.

(2) Use the variance based on the distance of price from the current (last) value of the VWAP

These bands are more like Bollinger Bands and will be wider on trending days.

(3) Replace the standard deviation with the quarter range of the current session as it develops.

The indicator allows you to choose between the three options. (1) is the default option and will possibly get you the best results. Also I managed to find an algorithm for (1) which is 15 times faster than the original one, so it is easy to use the indicator on small period tick charts now.

I have then added an option for coloring the band areas. This slows down the indicator loading time. If you want to use the indicator on high resolution charts, please set 'Opacity = 0'. The indicator will then work faster, but the ranges between the VWAP bands will not be colored.

Options

SessionType ETH: The VWAP is calculated for the full trading day.
SessionType RTH: The VWAP is calculated for the selected RTH session, After the close of that session the values will further be displayed, if the following session(s) still belong to the same trading day. However, the values will no more be updated.
SessionType RTH-Multi: Same as RTH, but the values will be updated. You can use this setting for displaying a VWAP over the second and third intraday session of the trading day.
BandType Variance_Distance: The default setting for BandType is Variance_Distance. In this case the indicator will draw the bands by calculating multiples as selected of the standard deviation of price relative to the corresponding value of the VWAP.
BandType Variance_Last: In this case the indicator will determine the bands by calculating multiples as selected of the standard deviation of price relative to the current (last) value of the VWAP.

BandType Session_Range: If this option is selected, the offset of the bands from the VWAP is calculated as a multiple of the quarter range. The quarter range is 1/4 of the current's session range, session as selected for the VWAP.
Multipliers: For each of the bands the multipliers can be selected. Default values are 1,2 and 3, so the indicator will display

-> 1, 2 and 3 standard deviation bands in Variance mode
-> 1, 2 and 3 times the quarter range as measured from the VWAP in SessionRange mode

Hybrid: This is my personal setting, which selects the 3rd RTH session for FOREX and all currencies, but the second RTH session for all other instruments. You do not need to use it.
Holiday Settings: As usual the indicator will recognize special holiday rules for CME, so if there is no bug it should display a single session for Memorial Day and the next session.

As the indicator is quite complex, please do expect minor bugs. That is the reason that it is posted here and not in the Download Section of the forum. In particular, I still want to check the bahavior for holiday sessions.

Attached Thumbnails
VWAP bands-variance_distance.jpg   VWAP bands-variance_last.jpg   VWAP bands-session_range.jpg   VWAP bands-vwap-forum.jpg  
Attached Files
Register to download File Type: zip anaCurrentDayVWAPV33X1.zip (6.8 KB, 116 views)
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Old May 30th, 2011, 06:12 PM   #24 (permalink)
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Thread Moved


This thread started as an Investor/RT / MarketDelta question, but Fat Tails is posting NinjaTrader code now so I decided to move it to the NinjaTrader forum



When creating a new thread, note which subforum you are in. Here is a short list of suggestions:

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Old May 30th, 2011, 06:29 PM   #25 (permalink)
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Big Mike View Post
 
Thread Moved


This thread started as an Investor/RT / MarketDelta question, but Fat Tails is posting NinjaTrader code now so I decided to move it to the NinjaTrader forum



When creating a new thread, note which subforum you are in. Here is a short list of suggestions:

- Topic: Anything to do with an Elite indicator -> Subforum: The Elite Circle
- Topic: Looking for an existing indicator, or how-to use an indicator -> Subforum: (the platform)
- Topic: Programmer needing help with non-Elite indicator -> Subforum: (the platform) - Programming
- Topic: Want an indicator created/modified -> Reply to "Want indicator created free" in Elite Circle
- Topic: Vendors (trading rooms, commercial indicators) -> Subforum: Vendors/Product Reviews
- Topic: Discussion of Forex or Currency trading -> Subforum: Forex and Currency Trading
- Topic: Journals of your trading -> Subforum: Trading Journals or Elite Trading Journals
- Topic: General trading related discussions -> Subforum: Traders Hideout
- Topic: Discussion of a trading method -> Subforum: Traders Hideout
- Topic: Automated Trading -> Subforum: Elite Automated Trading

Last, any Elite Member may create more or less any of these topics in The Elite Circle at your own discretion (your support is appreciated).

This is just a short general list and doesn't cover everything. If you are unsure where to create your new thread, just create it in Traders Hideout and a moderator will move it if necessary.

-- Big Mike Trading



Mike

Sorry, was just exploring the different VWAP bands, and as I could not resist, I coded them. I don't use Inverstor R/T or MarketDelta, but I used the information I got from there.

As I have now coded possible implementations of VWAP bands, it is now possible to compare other screenshots to what I have coded. the Sierra Chart implementation is similar so should be ok. If somebody posts a MarketDelta chart now, I should be able to tell, whether the indicator correctly works or not.

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Old May 30th, 2011, 06:33 PM   #26 (permalink)
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Fat Tails View Post
Sorry, was just exploring the different VWAP bands, and as I could not resist, I coded them. I don't use Inverstor R/T or MarketDelta, but I used the information I got from there.

As I have now coded possible implementations of VWAP bands, it is now possible to compare other screenshots to what I have coded. the Sierra Chart implementation is similar so should be ok. If somebody posts a MarketDelta chart now, I should be able to tell, whether the indicator correctly works or not.

It's fine, just didn't belong in IRT forum any longer.

Mike

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Need help?
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4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
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Old May 30th, 2011, 06:43 PM   #27 (permalink)
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well i dont use vwap but great job fattails,i dont know how you do it, you truely are priceless and bmt is lucky to have you,thank you...sharky

KILLING THE MARKETS DAILY
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Old May 30th, 2011, 06:50 PM   #28 (permalink)
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beowulfit View Post
Here you can see how have to work bands (right pic is Ninja trader 7) and how work in MD.
Lows bands can't follow the trend when a sharp price movement occurs.

@beowulfit

The hVWAP from the Download section of BigMike's seems to produce an identicla output as the anaCurrentDayVWAPV33X1 in ETH / Variance_Last mode, although

-> it cannot adapt to various RTH session
-> it will not work in Varaince_Distance or Session_Range mode

But unlike the VWAP from the NinjaTrader forum it correctly calculates the bands.


Last edited by Fat Tails; May 31st, 2011 at 07:08 AM.
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Old May 30th, 2011, 06:58 PM   #29 (permalink)
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Version X1 did not allow to change plotstyle and dashstyle of the bands, as I had forgotten a few lines. Fixed with X2.

Attached Files
Register to download File Type: zip anaCurrentDayVWAPV33X2.zip (6.9 KB, 105 views)
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Old May 30th, 2011, 07:10 PM   #30 (permalink)
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LukeGeniol View Post
This is Silver from SC:

Have again checked the Sierra Chart version. It looks like my version in Variance_Distance mode. This means that it is probably calculated by comparing price to the corresponding VWAP, not the terminal VWAP. This is what I consider the best method

-> as it gets the wanted results
-> as it calculates faster than the other method

It is also the default method of my indicator. I further assume that SierraChart uses the typical price to calculate the VWAP, the experimental versions still use the close, but I will probably switch to the Typical as well.

Silver Chart with VWAP Bands in Variance_Distance mode and Typical price attached. I cannot find any difference with the SierraChart VWAP, except for the bars, which are different as I started the session at 8:25.

Chart attached.

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