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  #1  
Old 06-13-2009, 06:30 PM
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Default Creating a 5 day VWAP

I am trying to think through creating a 5 day VWAP. Please tell me if this makes sense

1. I use an intraday chart with 7200 for 5 days.
2. I put SC's VWAP study on chart set input data to last, set display historically to yes, and use chart settings time to yes which I have set to globex settings.
3. Then on my minute chart for intraday trading I use the study overlay single line and input the chart number from the 5 day chart with the input data to VWAP.

Then I check the intraday chart to see what I have and I get the really jagged line that doesn't seem right? Can someone help. TIA

Dan
  #2  
Old 06-13-2009, 06:37 PM
DTrader
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Default Re: Creating a 5 day VWAP

Can you post a pic of what you are seeing?
  #3  
Old 06-13-2009, 06:41 PM
sme sme is offline
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Default Re: Creating a 5 day VWAP

If you want I can put an option in the VwapBands for the number of days (i.e. "number of trading sessions")

I don't think this would be a big change.
  #4  
Old 06-13-2009, 06:59 PM
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Default Re: Creating a 5 day VWAP

Quote:
Originally Posted by sme View Post
If you want I can put an option in the VwapBands for the number of days (i.e. "number of trading sessions")

I don't think this would be a big change.
Say I wanted a 2 day VWAP... but I also wanted it an alternating days...so 2 VWAP lines (using odd and even days)

Is there any way to do this?
  #5  
Old 06-13-2009, 07:07 PM
sme sme is offline
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Default Re: Creating a 5 day VWAP

Quote:
Originally Posted by DTrader View Post
Say I wanted a 2 day VWAP... but I also wanted it an alternating days...so 2 VWAP lines (using odd and even days)

Is there any way to do this?

Not sure if I follow.

For a current session:
In addition to plotting the current session's "n"-day Vwap, you want the last bar value of the previous session's "n"-day Vwap plotted?

Last edited by sme; 06-13-2009 at 07:10 PM.
  #6  
Old 06-13-2009, 07:11 PM
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Default Re: Creating a 5 day VWAP

Quote:
Originally Posted by sme View Post
If you want I can put an option in the VwapBands for the number of days (i.e. "number of trading sessions")

I don't think this would be a big change.
That would be awesome.

In the spirit of goodwill I have been in a trading room where one of the moderators, who worked in the past for large trading firm, stated that past VWAPs up til 5 days proved statistically significant. I would love to be able to go back as far as 1 month as I have seen a presentation where another individual used past VWAP's up til a month that acted as dynamic S/R.

It amazing how much significance the VWAP has IMO.

Here is the screen shot with the errant VWAP http://www.sierrachart.com/userimage...ploadImage.png
[/B]
  #7  
Old 06-13-2009, 07:16 PM
sme sme is offline
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Default Re: Creating a 5 day VWAP

Quote:
Originally Posted by dandxg View Post
That would be awesome.

In the spirit of goodwill I have been in a trading room where one of the moderators, who worked in the past for large trading firm, stated that past VWAPs up til 5 days proved statistically significant. I would love to be able to go back as far as 1 month as I have seen a presentation where another individual used past VWAP's up til a month that acted as dynamic S/R.

It amazing how much significance the VWAP has IMO.

Here is the screen shot with the errant VWAP http://www.sierrachart.com/userimage...ploadImage.png
[/B]

I can do that.
It will be setup based on the number of trading sessions.
If you want a "1-month" Vwap (i.e. 20 trading sessions), you will have to have that much data on your intraday chart otherwise you will only get a Vwap for the number of trading sessions on your chart.
  #8  
Old 06-13-2009, 07:28 PM
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Default Re: Creating a 5 day VWAP

Quote:
Originally Posted by sme View Post
Not sure if I follow.

For a current session:
In addition to plotting the current session's "n"-day Vwap, you want the last bar value of the previous session's "n"-day Vwap plotted?
No problem. Sometimes what I write and what I intend to write aren't necessarily the same :D

So when your mod is complete, if I were to plot a two-day vwap, it will reset every 2 days, based on the starting date of the chart data, correct?

So if I'd want a second vwap, also of 2-days duration, to overlap, on the alternate days (think odd vs. even), on the same chart, how might I go about doing that?
  #9  
Old 06-13-2009, 07:32 PM
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Default Re: Creating a 5 day VWAP

Quote:
Originally Posted by dandxg View Post
That would be awesome.

In the spirit of goodwill I have been in a trading room where one of the moderators, who worked in the past for large trading firm, stated that past VWAPs up til 5 days proved statistically significant. I would love to be able to go back as far as 1 month as I have seen a presentation where another individual used past VWAP's up til a month that acted as dynamic S/R.

It amazing how much significance the VWAP has IMO.

Here is the screen shot with the errant VWAP http://www.sierrachart.com/userimage...ploadImage.png
[/B]

danzig, are you saying that the VWAPs were still active and running historically for the full 5 day period, or just after 5 days you could look at the completed (you said past) VWAPs for the session and they were still valid as S/R?
  #10  
Old 06-13-2009, 07:39 PM
sme sme is offline
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Default Re: Creating a 5 day VWAP

Quote:
Originally Posted by DTrader View Post
No problem. Sometimes what I write and what I intend to write aren't necessarily the same :D

So when your mod is complete, if I were to plot a two-day vwap, it will reset every 2 days, based on the starting date of the chart data, correct?
Yes.

Quote:
Originally Posted by DTrader View Post
So if I'd want a second vwap, also of 2-days duration, to overlap, on the alternate days (think odd vs. even), on the same chart, how might I go about doing that?
K. See what you mean. Was thinking about how to do that for dandxg's request.

To do what you want to do:
Thinking of a "trading session displacement" option.
Then would require use of two instances of the study:
First study has "0" for displacement
Second study has "1" for displacement
  #11  
Old 06-13-2009, 07:48 PM
sme sme is offline
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Default Re: Creating a 5 day VWAP

dandxg


Once a month (20 trading sessions) is up, do you just reset it?

Or do you want it to be like a running average? (starting Vwap for trading session 21 is Vwap of last 19 trading sessions)?

Last edited by sme; 06-13-2009 at 07:56 PM.
  #12  
Old 06-13-2009, 08:54 PM
sme sme is offline
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Default Re: Creating a 5 day VWAP

Example
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  #13  
Old 06-13-2009, 08:56 PM
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Default Re: Creating a 5 day VWAP

Awesome. This looks great, sme.

All I need do I figure out how to add the alternating VWAP, and all will be well.
  #14  
Old 06-13-2009, 08:57 PM
sme sme is offline
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Default Re: Creating a 5 day VWAP

Working on that option.
  #15  
Old 06-13-2009, 09:09 PM
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Default Re: Creating a 5 day VWAP

Quote:
Originally Posted by DTrader View Post
danzig, are you saying that the VWAPs were still active and running historically for the full 5 day period, or just after 5 days you could look at the completed (you said past) VWAPs for the session and they were still valid as S/R?
Active and running historically.
  #16  
Old 06-13-2009, 09:10 PM
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Default Re: Creating a 5 day VWAP

Quote:
Originally Posted by sme View Post
dandxg


Once a month (20 trading sessions) is up, do you just reset it?

Or do you want it to be like a running average? (starting Vwap for trading session 21 is Vwap of last 19 trading sessions)?
A running avg. please. :)
  #17  
Old 06-13-2009, 09:11 PM
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Default Re: Creating a 5 day VWAP

Give me just a bit and I will see if I can locate a screenshot.
  #18  
Old 06-13-2009, 09:24 PM
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Default Re: Creating a 5 day VWAP

Okay here is the original example I looked. If you are interested it's over at Traders Laboratory dot com, Market Statistics XI from JPerl. This is a 10 day VWAP. I not sure come to think about if the guy using the 5 day VWAP did his the same but I believe so. BTW the VWAP is the blue line and the orange lines are sd's same with green lines.
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  #19  
Old 06-13-2009, 09:36 PM
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Default Re: Creating a 5 day VWAP

I thought thats what you were looking for. I have been using a 70 period weighted moving average of vwap on a 30 minute chart using regular trading hours to give me an approximate running 5 day average vwap. If sme can come up with the real thing, that would be very cool.
  #20  
Old 06-14-2009, 12:00 AM
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Default Re: Creating a 5 day VWAP

Yes I am excited to see what SME comes up with. I am not sure how you, rainman2, came up with that calculation? I had considered using MA volume weighted 405 minutes in a day ES, x 5, x10, x 20, but I figured the VWAP recalculates differently.
  #21  
Old 06-16-2009, 05:00 AM
sme sme is offline
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Default Re: Creating a 5 day VWAP

"Reset Running Average"
If want running average use "No"

The running average (and running standard deviation) is continuous to the bars' respective times:
If have "Number of Trading Sessions" = 2 and finished 2nd trading session, then as next trading session progresses the Vwap/Vwsd excludes the data from the first trading session

First image:
Number of Trading Sessions = 2
Green Vwap line resets
Blue Vwap line does not reset

Second Image:
Same as first except Display Historically = No for blue


Implementing this was more involved than expected.


CPP Code:
#include "sierrachart.h"


// This line is required. Change the text within the quote marks to what you want to name
// your group of custom studies. This function name can also be SCDLLInit instead of SCDLLName.
SCDLLName("RunningVwapBands")


SCSFExport scsf_RunningVwapBands(SCStudyGraphRef sg)
{
    if (
sg.SetDefaults)
    {
        
sg.GraphName "RunningVwapBands";
        
sg.GraphRegion 0;
        
sg.ScaleRangeType SCALE_SAMEASREGION// So it doesn't squish the chart
        
        
sg.StudyDescription "RunningVwapBands";
        
        
/*Optional:
        Have "sg.FreeDLL = 0" when you are finished developing your function. This makes calling your function faster. However, if you need
        to make changes to the code after applying it to a chart, you will need to restart SierraChart (SC) to release the DLL.
        Alternatively, if you want to make changes and then test it have "sg.FreeDLL = 1" so you do not have to repeatedly restart SC. */
        //sg.FreeDLL = 0;

        
sg.AutoLoop 0// Manual looping
        
        
sg.Subgraph[0].Name "Vwap";
        
sg.Subgraph[0].PrimaryColor RGB(00255);
        
sg.Subgraph[0].LineWidth 2;
        
sg.Subgraph[0].DrawStyle DRAWSTYLE_LINE;
        
sg.Subgraph[0].LineStyle LINESTYLE_SOLID;
        
        
sg.Subgraph[1].Name "Vwsd1 Upper";
        
sg.Subgraph[1].PrimaryColor RGB(00255);
        
sg.Subgraph[1].LineWidth 1;
        
sg.Subgraph[1].DrawStyle DRAWSTYLE_LINE;
        
sg.Subgraph[1].LineStyle LINESTYLE_DASH;
        
        
sg.Subgraph[2].Name "Vwsd1 Lower";
        
sg.Subgraph[2].PrimaryColor RGB(00255);
        
sg.Subgraph[2].LineWidth 1;
        
sg.Subgraph[2].DrawStyle DRAWSTYLE_LINE;
        
sg.Subgraph[2].LineStyle LINESTYLE_DASH;
        
        
sg.Subgraph[3].Name "Vwsd2 Upper";
        
sg.Subgraph[3].PrimaryColor RGB(00255);
        
sg.Subgraph[3].LineWidth 1;
        
sg.Subgraph[3].DrawStyle DRAWSTYLE_LINE;
        
sg.Subgraph[3].LineStyle LINESTYLE_DASH;
        
        
sg.Subgraph[4].Name "Vwsd2 Lower";
        
sg.Subgraph[4].PrimaryColor RGB(00255);
        
sg.Subgraph[4].LineWidth 1;
        
sg.Subgraph[4].DrawStyle DRAWSTYLE_LINE;
        
sg.Subgraph[4].LineStyle LINESTYLE_DASH;
        
        
sg.Subgraph[5].Name "Vwsd3 Upper";
        
sg.Subgraph[5].PrimaryColor RGB(00255);
        
sg.Subgraph[5].LineWidth 1;
        
sg.Subgraph[5].DrawStyle DRAWSTYLE_LINE;
        
sg.Subgraph[5].LineStyle LINESTYLE_DASH;
        
        
sg.Subgraph[6].Name "Vwsd3 Lower";
        
sg.Subgraph[6].PrimaryColor RGB(00255);
        
sg.Subgraph[6].LineWidth 1;
        
sg.Subgraph[6].DrawStyle DRAWSTYLE_LINE;
        
sg.Subgraph[6].LineStyle LINESTYLE_DASH;
        
        
sg.Subgraph[7].Name "Index";
        
sg.Subgraph[7].PrimaryColor RGB(255255255);
        
        
sg.Subgraph[8].Name "FirstBarIndex";
        
sg.Subgraph[8].PrimaryColor RGB(255255255);
        
        
sg.Subgraph[9].Name "TradingSessionIndex";
        
sg.Subgraph[9].PrimaryColor RGB(255255255);
        
        
        
sg.Input[0].Name  "Input Data";
        
sg.Input[0].SetInputDataIndex(SC_LAST);
        
        
sg.Input[1].Name "Display Historically";
        
sg.Input[1].SetYesNo(1);
        
        
sg.Input[2].Name "Use Chart Settings Start Time instead of 0:00";
        
sg.Input[2].SetYesNo(0);
        
        
sg.Input[3].Name "Number of Trading Sessions";
        
sg.Input[3].SetInt(1);
        
sg.Input[3].SetIntLimits(1260);
        
        
sg.Input[4].Name "Reset Running Average";
        
sg.Input[4].SetYesNo(1);
        
        
        return;
    }

    
long InputDataIndex sg.Input[0].GetInputDataIndex();
    
int DisplayHistorically sg.Input[1].GetYesNo(); // Display historically (Yes/No)
    
int Ucssti0 sg.Input[2].GetYesNo(); // Use Chart Settings Start Time instead of 0:00 (Yes/No)
    
int NumberTradingSessions sg.Input[3].GetInt();
    
int ResetRunningAverage sg.Input[4].GetYesNo();

    
    
int TsstCbd// Trading session start time / Current bar date
    
SCDateTime CbdtPbdtTssdt// Current bar date/time / Previous bar date/time / Trading session start date/time
    
    
bool NewTradingSession// New trading session
    
SCFloatArrayRef TradingSessionIndex sg.Subgraph[1].Arrays[0];

    
intFirstBarIndex sg.PersistVars->i1// New trading session bar index

    
    
SCFloatArrayRef InputData sg.Subgraph[0].Arrays[0]; // InputData
    
SCFloatArrayRef Vol sg.Subgraph[0].Arrays[1]; // Volume of bar
    
SCFloatArrayRef Rsidtv sg.Subgraph[0].Arrays[2]; // Running sum of (InputData) * (Volume)
    
SCFloatArrayRef Rsv sg.Subgraph[0].Arrays[3]; // Running sum of Volume
    
SCFloatArrayRef Vwap sg.Subgraph[0].Arrays[4]; // Volume weighted average price
    
SCFloatArrayRef Rssd sg.Subgraph[0].Arrays[5]; // Running sum of (squared deviations of InputData from Vwap) * (Volume)
    
SCFloatArrayRef Vwsd sg.Subgraph[0].Arrays[6]; // Volume weighted standard deviation
    
    
    
int Index sg.UpdateStartIndex;
    
    
    
// If "Use Chart Settings Start Time instead of 0:00" is "Yes", then if using the evening session times, then use evening session
    // start time otherwise use day session start time
    // If "Use Chart Settings Start Time instead of 0:00" is "No" then use 0:00 as start time
    
Tsst Ucssti0 ? (sg.UseSecondStartEndTimes sg.StartTime2 sg.StartTime1) : 0;

    
    if (
Index == 0)
    {
        
TradingSessionIndex[Index] = 0;
        
FirstBarIndex 0;
        
        
InputData[Index] = sg.BaseDataIn[InputDataIndex][Index];
        
Vol[Index] = sg.BaseDataIn[SC_VOLUME][Index];
        
        
Rsidtv[Index] = InputData[Index] * Vol[Index];
        
Rsv[Index] = Vol[Index];
        
        if (
Rsv[Index] > 0)
        {
            
Vwap[Index] = Rsidtv[Index] / Rsv[Index];
            
Rssd[Index] = pow(InputData[Index] - Vwap[Index], 2) * Vol[Index];
            
Vwsd[Index] = sqrt(Rssd[Index] / Rsv[Index]);
        }
        else
        {
            
Vwap[Index] = 0;
            
Rssd[Index] = 0;
            
Vwsd[Index] = 0;    
        }

        
        
sg.Subgraph[0][Index] = Vwap[Index];
        
sg.Subgraph[1][Index] = Vwap[Index] + Vwsd[Index];
        
sg.Subgraph[2][Index] = Vwap[Index] - Vwsd[Index];
        
sg.Subgraph[3][Index] = Vwap[Index] + Vwsd[Index];
        
sg.Subgraph[4][Index] = Vwap[Index] - Vwsd[Index];
        
sg.Subgraph[5][Index] = Vwap[Index] + Vwsd[Index];
        
sg.Subgraph[6][Index] = Vwap[Index] - Vwsd[Index];
        
        
        ++
Index;
    }
    
    
    for (; 
Index sg.ArraySize; ++Index)
    {
        
Cbd sg.BaseDateTimeIn[Index].GetDate();
        
Tssdt COMBINE_DATE_TIME(CbdTsst);
        
Cbdt sg.BaseDateTimeIn[Index];
        
Pbdt sg.BaseDateTimeIn[Index 1];
        
        if (
Cbdt >= Tssdt && Pbdt Tssdt)
        {
            
NewTradingSession true;
            
TradingSessionIndex[Index] = TradingSessionIndex[Index 1] + 1;
        }
        else
        {
            
NewTradingSession false;
            
TradingSessionIndex[Index] = TradingSessionIndex[Index 1];
        }
        
        
InputData[Index] = sg.BaseDataIn[InputDataIndex][Index];
        
Vol[Index] = sg.BaseDataIn[SC_VOLUME][Index];
        
        if (
NewTradingSession)
        {
            if (!
DisplayHistorically)
            {
                
int Ptslbi Index 1// Previous trading session last bar index
                
                
int a Ptslbi 1;
                
                while ( 
int(TradingSessionIndex[Ptslbi] + 0.5f) == int(TradingSessionIndex[a] + 0.5f) && >= )
                {
                    
sg.Subgraph[0][a] = Vwap[Ptslbi];
                    
sg.Subgraph[1][a] = Vwap[Ptslbi] + Vwsd[Ptslbi];
                    
sg.Subgraph[2][a] = Vwap[Ptslbi] - Vwsd[Ptslbi];
                    
sg.Subgraph[3][a] = Vwap[Ptslbi] + Vwsd[Ptslbi];
                    
sg.Subgraph[4][a] = Vwap[Ptslbi] - Vwsd[Ptslbi];
                    
sg.Subgraph[5][a] = Vwap[Ptslbi] + Vwsd[Ptslbi];
                    
sg.Subgraph[6][a] = Vwap[Ptslbi] - Vwsd[Ptslbi];
                    
                    --
a;
                }
            }
            
            if ( 
int(TradingSessionIndex[Index] + 0.5f) >= NumberTradingSessions )
            {
                if (
ResetRunningAverage)
                {
                    
Rsidtv[Index 1] = 0;
                    
Rsv[Index 1] = 0;
                    
Rssd[Index 1] = 0;
                    
                    
TradingSessionIndex[Index] = 0;
                    
FirstBarIndex Index;
                }
                else
                {
                    while ( 
int(TradingSessionIndex[Index] + 0.5f) - int(TradingSessionIndex[FirstBarIndex] + 0.5f) > NumberTradingSessions )
                    {
                        
Rsidtv[Index 1] -= InputData[FirstBarIndex] * Vol[FirstBarIndex];
                        
Rsv[Index 1] -= Vol[FirstBarIndex];
                        
Rssd[Index 1] -= pow(InputData[FirstBarIndex] - Vwap[FirstBarIndex], 2) * Vol[FirstBarIndex];
                        
                        ++
FirstBarIndex;
                    }
                }
            }
        }
        else
        {
            if (!
ResetRunningAverage)
            {
                
SCDateTime FirstBarofRunningAverageDateTime;
                
int CurrentBarTime;
                
int FirstBarofRunningAverageTime;
                
int FirstBarofRunningAverageDate;
                
                
CurrentBarTime sg.BaseDateTimeIn[Index].GetTime();
                
FirstBarofRunningAverageTime sg.BaseDateTimeIn[FirstBarIndex].GetTime();
                
                if (
CurrentBarTime Tsst && FirstBarofRunningAverageTime >= Tsst)
                {
                    
FirstBarofRunningAverageDate sg.BaseDateTimeIn[FirstBarIndex].GetDate() + 1;
                }
                else
                {
                    
FirstBarofRunningAverageDate sg.BaseDateTimeIn[FirstBarIndex].GetDate();
                }
                
                
FirstBarofRunningAverageDateTime COMBINE_DATE_TIME(FirstBarofRunningAverageDateCurrentBarTime);
                
                
                while (
FirstBarofRunningAverageDateTime >= sg.BaseDateTimeIn[FirstBarIndex] && 
                
int(TradingSessionIndex[Index] + 0.5f) - int(TradingSessionIndex[FirstBarIndex] + 0.5f) == NumberTradingSessions)
                {
                    
Rsidtv[Index 1] -= InputData[FirstBarIndex] * Vol[FirstBarIndex];
                    
Rsv[Index 1] -= Vol[FirstBarIndex];
                    
Rssd[Index 1] -= pow(InputData[FirstBarIndex] - Vwap[FirstBarIndex], 2) * Vol[FirstBarIndex];                
                    
                    ++
FirstBarIndex;
                }
            }        
        }
        
        
Rsidtv[Index] = InputData[Index] * Vol[Index] + Rsidtv[Index 1];
        
Rsv[Index] = Vol[Index] + Rsv[Index 1];
            
        if (
Rsv[Index] > 0)
        {
            
Vwap[Index] = Rsidtv[Index] / Rsv[Index];
            
Rssd[Index] = pow(InputData[Index] - Vwap[Index], 2) * Vol[Index] + Rssd[Index 1];
            
Vwsd[Index] = sqrt(Rssd[Index] / Rsv[Index]);
        }
        else
        {
            
Vwap[Index] = 0;
            
Rssd[Index] = 0;
            
Vwsd[Index] = 0;
        }
            
            
        if (!
DisplayHistorically && Index == sg.ArraySize 1)
        {
            
int Ctslbi Index// Current trading session last bar index
            
            
int a Ctslbi 1;
            
            while ( 
int(TradingSessionIndex[Ctslbi] + 0.5f) == int(TradingSessionIndex[a] + 0.5f) && >= )
            {
                
sg.Subgraph[0][a] = Vwap[Ctslbi];
                
sg.Subgraph[1][a] = Vwap[Ctslbi] + Vwsd[Ctslbi];
                
sg.Subgraph[2][a] = Vwap[Ctslbi] - Vwsd[Ctslbi];
                
sg.Subgraph[3][a] = Vwap[Ctslbi] + Vwsd[Ctslbi];
                
sg.Subgraph[4][a] = Vwap[Ctslbi] - Vwsd[Ctslbi];
                
sg.Subgraph[5][a] = Vwap[Ctslbi] + Vwsd[Ctslbi];
                
sg.Subgraph[6][a] = Vwap[Ctslbi] - Vwsd[Ctslbi];
                
                --
a;
            }
        }
        
        
        
sg.Subgraph[0][Index] = Vwap[Index];
        
sg.Subgraph[1][Index] = Vwap[Index] + Vwsd[Index];
        
sg.Subgraph[2][Index] = Vwap[Index] - Vwsd[Index];
        
sg.Subgraph[3][Index] = Vwap[Index] + Vwsd[Index];
        
sg.Subgraph[4][Index] = Vwap[Index] - Vwsd[Index];
        
sg.Subgraph[5][Index] = Vwap[Index] + Vwsd[Index];
        
sg.Subgraph[6][Index] = Vwap[Index] - Vwsd[Index];
        
sg.Subgraph[7][Index] = Index;
        
sg.Subgraph[8][Index] = FirstBarIndex;
        
sg.Subgraph[9][Index] = TradingSessionIndex[Index];
    }

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  #22  
Old 06-16-2009, 08:06 AM
User Account
 
Join Date: Jun 2007
Posts: 363
Default Re: Creating a 5 day VWAP

Thank you very much SME. It is now up to SC admin to include this in the test correct?
  #23  
Old 06-16-2009, 02:48 PM
sme sme is offline
User Account
 
Join Date: Feb 2009
Posts: 254
Default Re: Creating a 5 day VWAP

You can use it as is.
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  #24  
Old 06-16-2009, 03:14 PM
DTrader
Guest
 
Posts: n/a
Default Re: Creating a 5 day VWAP

Excellent work, sme - and thanks for sharing with everyone.
  #25  
Old 06-17-2009, 12:09 AM
User Account
 
Join Date: Mar 2008
Posts: 238
Default Re: Creating a 5 day VWAP

Thanks sme, great job. This was definitely something on my wish list but I try not to go overboard on my requests.


AHHHHHHHH, I can't help myself :rolleyes:....Admin is there a possibility of adding a running volume value area lines study. I'll never have to manually draw a horizontal line again.
 

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