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multiple day vwap?

  #11 (permalink)
 
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 Fat Tails 
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Big Mike View Post
I wanted to explore using a rolling VWAP, but am having trouble with Sierra.

It would seem the setting of "continuous non-resetting" would be correct. For example, if you specify 21 days then what I would expect is a 21-day rolling VWAP, where the 22nd session is continually dropped.

But that isn't the actual result. Where am I going wrong?

For example, to create a 21-day rolling VWAP (monthly) and a 5-day rolling VWAP (weekly).

Mike


The correct way of building a rolling VWAP is to move away from the concept of the anchored average. A rolling VWAP has no anchor point, but continually evolves.

Right now it is Wednesday, 4th February 2015, 9:40 AM. A 5-day rolling VWAP should cover the trade data of 5 full business days. As there was no holiday during the last 7 days, this would be the period from Wednesday, 28th January 2015, 9:40 AM until now. When new data is added at the end of the period, the data at the beginning of the period needs to be dropped.

The correct way of calculating this is

-> first calculated the VWAP of the last five contractual trading days
-> then add today's data from the session start until 9:40 AM
-> then subtract the data 5 trading days ago from the session start until 9:40 AM

A special case would be a double day trading session such as Martin-Luther-King Day. In that case the lookback period of 5 days would cover 6 trading days. The data of both the holiday and the next business day would need to be removed simultaneously in order to avoid any gaps. At least that is the solution that I have adopted for my rolling VWAP.


A simple solution for minute charts:

A pretty simple solution is possible, if you use the rolling VWAP on a minute-based chart. The rolling VWAP is pretty similar to a moving average, in fact a volume-weighted moving average. Let us therefore take a 15-min chart of ES 03-15 as an example.

One calendar day has 1,440 minutes or 96 slices of 15 min periods. As the electronic market for ES is closed from 3:15 CT to 3:30 CT and from 4:15 to 5:00 PM, a 15 min chart for ES will show 92 bars per business day. Therefore the 5-day rolling VWAP itself can be easily set up as volume-weighted average price (VWMA) with a period of 460. Best select the typical price or the arithmetic average calculated from open, high, open & close as input series. The bands can be obtained by calculating a volume weighted standard deviation with a period of 460. This indicator second indicator is not easily available. However, the VWMA(460) cannot cope with trading days that have less than 92 bars per session.

Below is a comparison:


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  #12 (permalink)
 
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@Fat Tails, I know and that is what I want to try. Hopefully @SierraChart will add native support

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  #13 (permalink)
 
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do you have a particular aversion to using a study that already does exactly what you want?

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  #14 (permalink)
 
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 Big Mike 
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josh View Post
do you have a particular aversion to using a study that already does exactly what you want?

After the hell I went through to get the bands the way I want them on the monthly chart, I would prefer not having to re-create that (or if it is even possible) with a different tool.

Mike

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  #15 (permalink)
 
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 Fadi 
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I usually use a simple moving average applied on the VWAP of each candle (day) as opposed to the classical "Close Price" or "Typical Price" sometimes...

Is that anything close to what you guys are trying to achieve?

I am in no way as technical as you are, just trying to understand and feed my curiosity.
The plot is readily available in TWS.

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  #16 (permalink)
 
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Fadi View Post
I usually use a simple moving average applied on the VWAP of each candle (day) as opposed to the classical "Close Price" or "Typical Price" sometimes...

Is that anything close to what you guys are trying to achieve?

Well, it's highly inaccurate, as the volume each day is different, and you're not getting an average at all. It would be like averaging the test scores of 30 students of one class, at a score of 75, and averaging the scores of the next class of 10 students, at a score of 95, and incorrectly calculating the "average" to be 85, which it is not.


Fadi View Post
The plot is readily available in TWS.

Have not used it, would not rely on it in the least, without checking the margin of error with reliable data. IB sometimes has these end of day massive volume prints in the futures contracts that throw off any kind of volume indicators.

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  #17 (permalink)
 
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 Big Mike 
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Built-in rolling VWAP will be in the next build of Sierra Chart.

Mike

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  #18 (permalink)
 
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Big Mike View Post
Built-in rolling VWAP will be in the next build of Sierra Chart.

Mike

Did you talk to them Mike, or was it already planned?

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  #19 (permalink)
 
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 Big Mike 
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TheShrike View Post
Did you talk to them Mike, or was it already planned?

I sent an email to Anthony asking for help before I realized it wasn't already built-in... I guess that is the advantage afforded me of being 'futures.io (formerly BMT)', but in fairness they do it for anyone and as quickly, too, when they agree on what you want changed or added. That is one of the best things about @SierraChart, quick release cycles.

Mike

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  #20 (permalink)
 
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Hi guys
Excuse me; but anyone has a VWAP envelope indicator for NT7 they would recommend?
I would like to experiment a bit during the weekend... got hold of various indicators on futures.io (formerly BMT) and the internet, but not sure which one is the best, or the one you would recommend.

Thanks
Fadi

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