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Trade the Bollonger Band Squeeze

VWAP is the WORD

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dug
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Username: dug

Post Number: 2069
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Wednesday, January 24, 2007 - 10:18 am:Copy highlighted text to 'New Message' boxEdit Post Delete Post Print Post    View Post/Check IP (Moderator/Admin only) Ban Poster IP (Moderator/Admin only) Move Post (Moderator/Admin Only)



VWAP-Volume Weighted Average Price is calculated by dividing total Dollars Transacted by the Volume.Thus one gets the Average Price paid and this Average is more accurate than the current use of End of Day Close.

I'm advocating IC include a Moving Average based on VWAP in it's charting package developments and over the next few days will try to explain why and some benefits that MAY accrue over the use of ordinary Moving Averages.Anyone with their own angles on VWAP is most welcome to state them For or Agin.

Happy Trading.


tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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dug
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Wednesday, January 24, 2007 - 11:42 am:Copy highlighted text to 'New Message' boxEdit Post Delete Post Print Post    View Post/Check IP (Moderator/Admin only) Ban Poster IP (Moderator/Admin only) Move Post (Moderator/Admin Only)



On VWAP is the Professional Way-
In takeovers,it is always stated that the Price Offered for the Target is say 30% more than the previous 30 days VWAP.Seen that?
VWAP is also the cornerstone of Algorithmic[Algae]Trading.
Boutique Brokers offer to be able to sell/buy large parcels of shares especially in smaller companies within a period's VWAP.
Read anything about the current mechanics of Institutions,Funds etc and it's VWAP VWAP VWAP.Passe Moving Averages are rarely mentioned anymore other than in years since they were written tomes by d'Experts!Do we in IC have to wait to be told by some Yank in a book to use VWAP!!?!
Now I realise some brokers offer VWAP in their package.However as far as I know or have heard it's only Intra/Daily,it is NOT averaged over days.
One can not take say 10 days of VWAP dailys and average those because they are all being averaged on Different DAILY Volume$.
There is NO way to expedential or weight Average VWAP,one must add one days $ transacted to the Next Days and then divide by the running total of Volume to thus calculate the Average price the last periods Volume sold at.

The whole problem with doing it yourself is that there seems to be NoWhere one can get historical Dollars Transacted on a Daily Basis.If one doesn't tabulate this figure oneself on a daily basis,nowhere can give you the figure,the $$$ figures of the past.Volume you can find from Years Ago but you can't get yesterdays or last weeks Total of Dollar Transactions AnyPlace!!
Can Anyone tell me of a Site where Dollars Daily is found?Even a string of days VWAP's could be worked back to calculate Dollars but mostly I reckon the IC package should incorporate VWAP,I hate diddling round with figures.Much rather get into practical uses of this Superior Method of Moving Averages.
Just want 30 days,but I'll get back on why the Longer Time Frames may be irrelevant with VWAP later.







tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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philr
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Wednesday, January 24, 2007 - 12:16 pm:Copy highlighted text to 'New Message' boxEdit Post Delete Post Print Post    View Post/Check IP (Moderator/Admin only) Ban Poster IP (Moderator/Admin only) Move Post (Moderator/Admin Only)



While on the subject of improvements. I would like the ability to insert Fibonacci levels into charts. This would be useful for some systems I use.

This feature is available on some other charting packages.


Phil

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dug
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Wednesday, January 24, 2007 - 12:47 pm:Copy highlighted text to 'New Message' boxEdit Post Delete Post Print Post    View Post/Check IP (Moderator/Admin only) Ban Poster IP (Moderator/Admin only) Move Post (Moderator/Admin Only)



philr,
down in Feedback there's confirmation that Fibbo is a DEFINITE for the next package so you ain't helping to highlight VWAP,which is the Topic of this Thread,OK?

so seacadet,if ya can take being called that?well,just wanted you to know that YES,Colin will still package the definitive points that Pilgrims can use when applying the somewhat mystical Percents of some ancient Iti!!
wassamatter phil caint ya do division even by TWO!!
After all,ain't Fifty Percent the most Workable Fib percent?


tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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dug
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Wednesday, January 24, 2007 - 01:58 pm:Copy highlighted text to 'New Message' boxEdit Post Delete Post Print Post    View Post/Check IP (Moderator/Admin only) Ban Poster IP (Moderator/Admin only) Move Post (Moderator/Admin Only)



On the Topic of whether VWAP will be all that different to Moving Averages

I find VWAP will be most useful in Timing Entries and Exits on short term trades[14 or so days].

It will differ from any close based Moving Average especially in shares that regularly have wider ranging days ie Volatile probably smaller cap shares than say the Top 200.

See it is in the VWAP ability to precisely average the Big Move,Big Volume days that gives it superiority.
After all in no way or at least only rarely,does the Close of a Significant Day,that closing price giving much if any insight/useful information on what that volume sold at,at what price level.
I believe that retraces in some instances are predicated on Smart Money using VWAP;
NOT some calculation based on natural patterns of blasted Flowers or PineApples!!
[that's d'basis of fibonacci,pilgrims]

anyway,later.


tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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philr
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Wednesday, January 24, 2007 - 02:03 pm:Copy highlighted text to 'New Message' boxEdit Post Delete Post Print Post    View Post/Check IP (Moderator/Admin only) Ban Poster IP (Moderator/Admin only) Move Post (Moderator/Admin Only)



Dug

Sorry to intrude on your precious VWAP's but I am glad to know fib will be added in the next package thanks.

The system I have been reading about uses .618 and .382 as guide lines so its a bit more difficult to calculate using those two figures.


Phil

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dug
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phil,
you're the one of some that wanted me to write in plain english.
You deserve a Clip for just wandering in here babbling about a system based on petals in flowers and knobs on pineapples.
Just because you may be weak in Maths,don't think that the Fibo,based on the natural order of Vegetables is really important to the Principles of Price/Volume!

As to your "wider" use of percents,there'll be some figure 1 to 10 that you can divide by that you'll be in the field,ready for a minor fall from those calculations to Confirm what is only an interesting phenomena.
Sorry,I reckon you should do the maths yaself.Good Practise.

and it is so Vegetarian,I would rather be precious about VWAP than that cr..!
........................................................

To finish up on my VWAP Advocacy-

I think VWAP Averages may be more pertinent to all the Established Indicators that use moving averages and/or Volume Price Calculations.
That is in Shares that HAVE to differ from Established Moving Average because of their Ranging Pattern.

I got a couple of Negatives re VWAP that hamper it from being d'Holy blasted Grail but I'll write about them
later.
I'd really like to know what Technical Problems,disc space,whatever,Colin may encounter in programming this to me Simple Calculation as long as ya got d'DATA!

Happy Trading.


tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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trumpcard
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no need to be obnoxious Dug... gets a bit tiresome


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dug
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philr,
Fibonacci MAY be enhanced,defined by VWAP.
Isn't there debate as to whether to use the top of the High/Low wick or the Close?
Perhaps if the candles VWAP figure which is the average price of the Whole Candle was used,then a more 'scientific' level could be ascertained?
In our Big Day mutual system for watchlists,phil VWAP would be a real aid in determining pull back possibilities.

Trumpcard-So is being BLAND real Boring.Go pull your Emily Post routine someplace else than cluttering up this thread with ya wimpering.


tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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dug
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Thursday, January 25, 2007 - 11:49 am:Copy highlighted text to 'New Message' boxEdit Post Delete Post Print Post    View Post/Check IP (Moderator/Admin only) Ban Poster IP (Moderator/Admin only) Move Post (Moderator/Admin Only)



Practical VWAP-
You know when you get a Long Candle with a long wick?
Seen one of them?
ya pennant followers,who like d'Stick mannnn
even tho he is right scant with d'words?
probably most of all cos he is!!
Anyhow sometimes d'VWAP gives you a point on the WICK!
Ohhhh do you UnnerSTAND!!?!??!
A Valid point to draw ya blessed POINT from,
instead of sticking any old where?
ya stick it with ya VWAP!!
ohhh pilgrims it'll be Advanced.
Let's get VWAP!!

............................................
my emails ain't coming thru.Quelle Tragedy!
I notice there's been no posts this morning.
If you get this by email?
Could ya check in?
After all these hours,
it'd be really good if ya at least said 50 words but
Feel Free.


tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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cat_lady
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dug
I'm not getting nothing neither. must be the board.
cat lady


Without my morning coffee I might as well be a dog

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dug
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Thanks for giving us d'Word,catlady.
So it's only by coming to this Site direct,you get to read posts.It's happened before and there was that recent prob with Ads security.
Thanks all the same,I won't think I've been put in Coventry again!!
You're new here,cat lady,so you may not know all the sub plots happening.
Watch Captain Chassa in Markets while he stews over posting and not getting any replies,C_L.
It could be a HOOT,what with his last nights revelation of "I was a Mossad Agent" line,see he just Might Think that it's a PLOT!!!
ohhh cat lady if he did?I'd believe in Divine Justice!!!

I'd tell ya more but you did digress by not doin' d'requested 50 words so I Won't!!
nahmananahee!
2Thee.


tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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captain_chaza
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Ahoy Jr

I quite like your idea but feel it would be better positioned using the Left-Hand-Side "y" axis and not as another window

"An Overlay" would best do the job If ya know what I mean?

BTW "Sea-Cadet" is a Compliment not an insult!
Only Landlubber terms like Cub or Boy-Scout and Brownie or Girl Guide would be an insult from this Captain


Salute and Gods' Speed
Capn
PS However Intra-Day data would be required


"While we stop and think, we often miss our opportunity." Publilius Syrus, 1st century B.C.

"I believe the future is only the past again, entered through another gate."
Sir Arthur Wing Pinero 1893

"There are two times in a man's life when he should not speculate: When he can't afford it, and when he can." Mark Twain, 1897





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dug
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Thursday, January 25, 2007 - 02:17 pm:Copy highlighted text to 'New Message' boxEdit Post Delete Post Print Post    View Post/Check IP (Moderator/Admin only) Ban Poster IP (Moderator/Admin only) Move Post (Moderator/Admin Only)



well will wonders ever cease?
Email comes back and I got a CC missive on a Technical Point!!!
I was imagining,CC,that the averaged VWAP for 3-30 days would come up on the side like Moving Averages now but I don't pretend to have any computer nous whatsoever,so your point is out of my field.
However I do intra day VWAP by calculator say 3 times in a Day.It only moves often in the 3rd 4th decimal points unless there is significant intra day volumes at widening depths.
I agree that one should be able to get the passed Days individual VWAP. The History of each one as well as Averaging provision but I don't see the neccessity for having Intra Day complications in Implementing VWAP to the IC package.Even at a reasonable extra cost.

Problems with Volume affecting a VWAP calculation come from all those Broker Type Deals of Transfers,shifting parcels that register as Volume but are not NOT at Market Prices.Them Deals Dilute,warp the purity of VWAP.
...........................................................

anyhow,I see seacadet as patronising.Tell 'em what you truly reckon,that's what i try to do.

Happy Trading,
jr


tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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captain_chaza
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Ahoy Jr

I thought you wanted to establish a "True" 1 day VWAP
ie The ONE Day's VWAP to help establish a significant Daily Price Point to Draw in your magic lines
Also
I thought I read somewhere amongst all your palaver that you suggested a new Indicator Panel/Window
where you could play round with VWAP Golden Crossovers

A MACD type of approach if you know what I mean?

My apologies if I read too much between the lines

Salute and Gods' Speed
Capn

(Message edited by Captain_Chaza on January 25, 2007)


"While we stop and think, we often miss our opportunity." Publilius Syrus, 1st century B.C.

"I believe the future is only the past again, entered through another gate."
Sir Arthur Wing Pinero 1893

"There are two times in a man's life when he should not speculate: When he can't afford it, and when he can." Mark Twain, 1897





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colin_twiggs
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Great to see you two exchanging ideas on technical indicators.


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philr
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Dug

I agree with you VWAP would be a good addition to the charting package. Especially helpful if you are considering buying it would discount daily spikes and give you a price to aim for.

I guess it could also be useful in our Daily mutual system for watchlists.


Phil

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dug
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No CC,I'm pure luddite like I'm PROUD not to know about all the Technical Stuff.
I just imagine that Brokers and their ilk already have a VWAP MOVING AVERAGE indicator happening so I just want what THEY got!
Don't really think the Golden Cross will be so relevant as say the sighting of Institutional/BigBoys showing their tactics of steadily buying up the price,showing they're in and prepared to pay more say.VWAP will indicate Smart Money moves sheerly because VWAP is THEYre Method.
VWAP is how THEY who invest other people's Money justify themselves to the client.
"We got ya in ,Pilgrim x% under d'VWAP"
that's what they say [or so I've heard]so why not have VWAP in IC?
It ain't a case of either/or VWAP or Fibionnacci.We can have Both but if it comes to choosing?
Ditch d'Vegetables!!


tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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hilarius
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Colin, Dug and Forum Members

I would like to add my 200%, no 500%, no 1000% support to Dug's quite long standing campaign for VWAP

Not only has he explained his position with extreme clarity, but he is absolutely spot on correct

Having, for my sins, worked in a broker's office and an institution, and investment companies, in my mis-spent life, I can swear on a stack of holy charts that VWAP is the HOLY GRAIL by which major institutions and I mean MAJOR institutions, measure daily buying or selling pressure

Today's VWAP and volume compared to yesterday, and whether the daily change in VWAP is UP or DOWN is the holy trail, holy sail, holy grail of institutional stock watchers

It tells far more than open close high or low will ever tell, though plotting VWAP inside daily high and low works something like the BOLLINGER CHAMPAGNE BANDS, but much better imho

Colin Dug and I have been pleading, pleading, pleading for VWAP since Captain was a boy

Now I kneel and beg

Do you want me to prostrate myself before you singing 1000 Hail Chazzas?

Consider it done, if only we can have daily and weekly VWAP

This will be among Dug's greatest contributions to the Forum if only it can be done

Your Humbly Begging Beseeching Imploring Friar

Hilarius


I come in peace to share my thoughts and to shine my candle light on possible long term opportunities

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hilarius
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PS Dug

Where is the improvements poll?

I would like to vote early and often :-)

Hilarius


I come in peace to share my thoughts and to shine my candle light on possible long term opportunities

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adetsec
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Yep, I'm in for VWAP


Comments for discussion only. Not to be construed as advice.

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colin_twiggs
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Hilarius,
Your pleas do not fall on deaf ears. There are three steps required:
(1) secure the additional data (histories may be difficult)
(2) adjust existing database and datafeeds
(3) develop the necessary indicators in the chart

Let me see what we can do, but it will (unfortunately) take some time.

Regards, Colin


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dug
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Colin,
Could the back history be Ditched and one just STARTS.In 3-30 days we May have it operational?
It's the inability to get the past even yesterdays Dollar Transaction figures that's d'Problem.
Anyway neareest'n'dearest is yelling My Time! at me
later.


tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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007
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Thursday, January 25, 2007 - 04:23 pm:Copy highlighted text to 'New Message' boxEdit Post Delete Post Print Post    View Post/Check IP (Moderator/Admin only) Ban Poster IP (Moderator/Admin only) Move Post (Moderator/Admin Only)



Colins reply like music to your ears hey Duggy.

I've come up with a reasonable slogan for the campaign:





VOTE 4 VWAP the indicator that turns Virgin Wagerers into Affluent Pimps !





Waddayareckon. Could get somewhere hey?

Regards


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hilarius
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Colin

I am not sure how you get even today's total value and volume unless you get the entire course of sales for all stocks and total them for each stock

It is kind of you to hear my pleas of those and others

I know you need no further encouragement, but here goes anyway!

At the end of World War 1 the French Premier, Georges Clemenceau, was considering a proposal to plant an avenue of trees in Paris to honour the soldiers who had died in the war

Some protested that it would take 100 years for the trees to reach maturity.

He replied "Then we should start to plant them right away !!!"

Thanks for all the recent improvements, by the way, which took nothing like 100 years and which were done with care and efficiency

With Best Wishes

Hilarius


I come in peace to share my thoughts and to shine my candle light on possible long term opportunities

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hilarius
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007, or should we make that Affluent Pumpers?






Ooooooops







Hilarius (SSBD)

.
.
.
.

(Shell Shocked by Dumpers)


I come in peace to share my thoughts and to shine my candle light on possible long term opportunities

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007
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Affluent Pumpers?

Yes, I think that could work.

Certainly adds more feeling to the slogan.

Regards


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starboard_tack
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Thursday, January 25, 2007 - 05:30 pm:Copy highlighted text to 'New Message' boxEdit Post Delete Post Print Post    View Post/Check IP (Moderator/Admin only) Ban Poster IP (Moderator/Admin only) Move Post (Moderator/Admin Only)



My vote has been in for VWAP for several years now.

Somehow we need to only use the "real" data though. For example, today's course of sales for BHP shows an exercise of a Call for 4,500,000 shares at 0.01. This has not only been included in the volume figures for the day, but on Commsec it has also been included in the calculation of the VWAP!. They are showing a VWAP of 23.08 for BHP today.

That would be completely useless for us.

I wonder if it is possible to only include the trades that occur during market hours?

Regards,
Starb'd


"The pessimist complains about the wind;
The optimist expects it to change;
The realist adjusts the sails."

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dug
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Can I come in with what is called d'Clincher?

Colin Twigg,
I figure that you should clear the Decks.
Work,Organise,do whatever is necessary to implement VWAP.
You COULD make a lot of Money,get a lot of Prestige,be World Shattering by the simple expedient of bringing VWAP to the Great UnWashed.
It is in NO WAY Unusual that the One who brings the Common Wisdom to d'People enjoys the Fruits of their work.
I don't know that you[Colin]can Patent VWAP but surely there is a BUCK in being the First to popularly "Introduce" it.
Personally,I don't need VWAP for the US,British,or damn German Bourses.I see you are trying to sell your Package into such markets but I only wonder WHY BOTHER?

Colin,sort out the problems in VWAP like the one star board tack identified?ohhh and mate,like cobber,you'll be able to License it to Any 'n' ALL ya Competitors here 'n' OS!!!

AHH like Instead of wishy-washin about with the methods of Dills![like Fibo]Colin,do it one more time,Do another Twiggs Money Flow based on VWAP and Colin,prats/fancy boys/Foreigners like Weinstein will be in ya DUST!!!

Ya live in Queensland,Colin.Do IT for ya STATE!!

......................................................
007-Bludger is d'Oz word for Pimp.
Hilarius-Work,Theorising should be Live2Air on this Site.Nix PM clubs!
philr-ya're a Gentleman
adetsec-you should post more often
starboard-Mosaic 1996 is the First to bring up Vwap as far as I know
and,well,trumpcard?ya're still a non-entity to me.GetAlife!!I've already had mine.


tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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ingot54
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Thursday, January 25, 2007 - 08:49 pm:Copy highlighted text to 'New Message' boxEdit Post Delete Post Print Post    View Post/Check IP (Moderator/Admin only) Ban Poster IP (Moderator/Admin only) Move Post (Moderator/Admin Only)



Highly entertaining and ground-breaking thread - I am hanging on every post! (Pieces of me anyway - can't get the grin off my dial!)

We have seen new highs and lows of humility, a moving average of consensus, and the herd following the hottest new thing.

As well, old acrimonies are fading fast, and Dug, you are rising to new heights - leadership is now in your sights!

I lend my full support to the VWAP indicator as espoused by Dug and Hilarius - the major instigators here.

Wilder would roll over in his crypt if he knew what he missed.

Photo of Welles Wilder Jr by courtesy http://www.deltasociety.com/index.aspx

Thanks for your great work Dug.

.

(Message edited by ingot54 on January 25, 2007)


Keep Smiling - Don't look back

Trading style: Chartist Artist _ Breakouts and Shakeouts.

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hilarius
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Dug

I will continue to support you 1000% on VWAP

I will NOT IN ANY CIRCUMSTANCES accept your quite irrelevant to this thread comment about what I prefer to call USER GROUPS which are actually warmly encouraged by the site owner

I also find that dedicated daily consistent researchers are hard to find, just as regular conscientious attendees at face to face user groups are at a premium

Now you appear to be saying that people in different states should not take advantage of modern technology to communicate on a research project where commitment and dedication are required

I also told you publicly the USER GROUP will decide when and if its findings are valid and able to be shared

It will not be my decision alone, whatever I might happen to believe personally on the merits or otherwise of your case

A user group is NOT REQUIRED to publish its minutes or research

Every one had more than a week to consider participating and making a commitment. Everyone had an equal opportunity to join and do the hard yards

PLEASE DESIST from UNFAIR CRITICISM

May we all derive the benefit you are seeking from VWAP where I absolutely and totally agree Colin has an opportunity to do something unique in the market analysis scene, even though the IC achievement to date is itself extraordinary

Hilarius


I come in peace to share my thoughts and to shine my candle light on possible long term opportunities

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ohkoolnutz
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It would be a little late to "patent" VWAP. Some code on how to calculate it has already been copyrighted:

http://www.tradingsimulation.com/resources/esignal_vwap.html


---
ohk

Lies, Damn Lies and Technical Analysis

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dug
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Thursday, January 25, 2007 - 10:14 pm:Copy highlighted text to 'New Message' boxEdit Post Delete Post Print Post    View Post/Check IP (Moderator/Admin only) Ban Poster IP (Moderator/Admin only) Move Post (Moderator/Admin Only)



Hilarius,
It's a Wild World.By taking away the thoughts,Nay,d'workings of members on a subject,as relevant as Sector Analysis is WRONG.
Ohh,Management might give d'OK but in Essence you YOU are denying the "Only Read" not Posters the,ANY,benefit of stimulation to THINK for themselves,to get a point of view to MAKE their OWN minds up about.
Oh yeah,Hilarius,I know how you want to think THINK you are doing "d'RIGHT/proper Thing",after all you got Religion right?to Back ya UP!!
but me?I'm just on d'Float.I really don't CARE if Colin makes a Motza from my Ideas,I ain't trying to hold d'So Called Secrets!
See,Hilarius,I'm already on another Plane;plain and simple.
I got there only cos I chose to be Different,being different was my Birth Right and I just don't pay any mind at all to Southern Pretension like paltry,old world BABBLE about Keep it Secret.Don't give any Illumination at ALL;

Hilarius,there's TRAGEDY unfolding,I'm just trying to make it unfold on some positive spin.
We agree VWAP is the Future.Let's get it[VWAP]first from IC!!!


tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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hilarius
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Thursday, January 25, 2007 - 10:39 pm:Copy highlighted text to 'New Message' boxEdit Post Delete Post Print Post    View Post/Check IP (Moderator/Admin only) Ban Poster IP (Moderator/Admin only) Move Post (Moderator/Admin Only)



Dug

Actually it's got nothing to do with religion .. just the sheer difficulty of getting a consistent daily research project off the ground, with jobs allocated clearly, and done consistently every day

Research projects don't get done overnight, and certainly are not validated quickly .. there can be man years involved

Everyone had a chance to be in it, but not many had the stomach for it

Sector watching can take many forms

If people start a thread on Sector Watching methods maybe something useful would come of it?

What ideas have people got?

Various writers say look for the best stocks in the best sectors

What constitutes the best sector?

What constitutes the best stock in that sector?

What forms of daily research would help to discover these "bests"

Everyone could contribute to such a thread

Hilarius


I come in peace to share my thoughts and to shine my candle light on possible long term opportunities

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davkell
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Well, I posted yesterday to this thread, and it was there when I posted, but seems to be nowhere now, and I get no emails 'responses'! Go figure.

Can anyone provide a chart of a sample of VWAP in action?

It all sounds quite nifty, but it would be great to see it in practice!

(Hopefully this post goes through!)


"Trade Your Way To Financial Freedom" - Van K Tharp

"Manage the downside; the upside will take care of itself" - Donald Trump

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tyche
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I like VWAP!

Stocknessmonster.com gives a good course of daily trades (20 minute delayed) with VWAP for individual stocks - no historical data. It's great for monitoring a particular stock or comparing to closing price on a wide ranging day. Today's BHP VWAP was $26.1181. (Closed $26.24)


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dug
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Tuesday, January 30, 2007 - 08:28 am:Copy highlighted text to 'New Message' boxEdit Post Delete Post Print Post    View Post/Check IP (Moderator/Admin only) Ban Poster IP (Moderator/Admin only) Move Post (Moderator/Admin Only)



GoHard sent me a chart once where he used a Moving Average VWAP.He'd rigged it up himself,using daily broker data.
Unfortunately I think he rigged it by taking yesterday's VWAP[and each day for a weeks VWAP]and averaged those single figures instead of a continuous record of $ transacted and volume.
I hope you can see that a single figure VWAP daily can't be averaged like a Close Price.The Volume changes day to day affect the figure,only Running Totals are effective.

However,I don't know for sure that GoHard made such an error but it also seems he's on Hols.Hopefully we can get him to post a VWAP chart on a wide ranging share to compare with a Ord Moving Average.
Let's pray Go doesn't do it on one of those fancy Candle Chart "innovations" of his!!

Happy Trading.


tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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moldy
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I have just recently seen VWAP on a 30 minute chart from GoHard. It is averaged and is in real time. It seems to work, I also saw it pick CBA today to within 5 cents of its 40 cent range today. And those fancy candles of his.......did the same.


Moldy




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moldy
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I should explain the Chart on the last post. It is GoHards fancy candles on CBA today. The arrow shows where the price intersected the VWAP.

Moldy


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dug
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Tuesday, January 30, 2007 - 04:19 pm:Copy highlighted text to 'New Message' boxEdit Post Delete Post Print Post    View Post/Check IP (Moderator/Admin only) Ban Poster IP (Moderator/Admin only) Move Post (Moderator/Admin Only)



thanks moldy for the intra day chart angle but we're talking about a Multiple Day VWAP average,over say at least a week,preferably 20/30 days.We wish to be able to compare it[VWAP] to a Closing Price Mover.

As for d'Fancy Candles?well,they aren't IC approved,like not in their Package so the less said about them the better,hey?You'll have Colin inundated with WE WANT FANCY CANDLES and he'll get distracted from what we Really Need ie VWAP!!!
When next you're chatting with GoHard,moldy,how about directing him here to give us d'Word on his VWAP indicator?

Happy Trading.


tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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gohard
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Hi gentleman,
Following are the charts for discussion, thanks M for the lead up.
First line closing monthly. Second normal candle. Third HA candle.Fourth minute std today.
Have added WMA9 if you want others I can adjust.Two minutes later they crossed and has moved down below the VWAP. all good G







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moldy
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Dug

I was just trying to contribute to your thread by showing a variation to where the VWAP worked. I won't bother again.

Moldy


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dug
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Wednesday, January 31, 2007 - 11:55 am:Copy highlighted text to 'New Message' boxEdit Post Delete Post Print Post    View Post/Check IP (Moderator/Admin only) Ban Poster IP (Moderator/Admin only) Move Post (Moderator/Admin Only)



Right gohard,
some questions-
a]This was devised by You.It isn't some part of an existing charting package,right?

b]So please confirm the formula used to come up with the Moving Average VWAP over 9 days that YOU,gohard are using?

c] Please provide an ordinary chart with an ordinary Moving Average simple or Exponential.I'm not sure of weighted and frankly couldn't be bothered to refresh my memory on a Average based on the Close.

See it's the DIVERGENCE between VWAP and the established Moving Average that MAY give the "Edge".

However when one considers that old cliche that the Close is made by the Professionals and adjunct that with Professionals use VWAP?
can you see that IF it is TRULY so about the close then often VWAP will mirror the standard moving average.

d]If [a] is how it is[you have rigged up your own data feed]then will you do it on a share with a bit more volatility?I started collecting figures yesterday for-ALU,MYO,ITE and HMC.ITE and MYO did a bit of a jump from "consolidating" so the coming week 10 days might highlight divergence and I think ITE and MYO will be up in Volatility for our experiment.

cheers,gohard,do whatever ya got time for.
..........................................................
moldy,i don't usually respond to d'precious.
but see I don't want to use just intraday VWAP to swing out a coupla bucks daytrading.
I want IC to put VWAP in it's package so ALL of us get a better insight into the Mechanism of the Market.
If you moldy don't want to contribute?No skinetc.
Happy Trading.


tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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gohard
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JR these are the latest Std charts for the ones you are following, Myob appears to be the interesting runner at this time having broken out of a period of consolidation!!!





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dug
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Wednesday, January 31, 2007 - 02:32 pm:Copy highlighted text to 'New Message' boxEdit Post Delete Post Print Post    View Post/Check IP (Moderator/Admin only) Ban Poster IP (Moderator/Admin only) Move Post (Moderator/Admin Only)



Ahhhhhh,at last we're getting somewhere.A visual sighting of the Future in Charts!!Colin,I really hope you don't shuffle this idea down to the bottom of the Pile,leave ya dedicated Subscribers to wait while some other mob steal the March of Innovation from ya!

GoHard-I thought you could only do it on shares you are personally following but I see you have got the whole range and gamut on tap and,mate,I'm in AWE!!
Now can you do a chart with the Volume included as well as the simple indicators?We'll then be able to relate the VWAP average price to particular days,etc blather,stuff like that.

ohkoolnutz-It is NOT VWAP that could be Patented but the filters of Volume to really purify VWAP that could be licensed/patented?

CChuck-I remembered what I said to prompt your comments about the Visualisation/Style of a VWAP indicator.I'd said some palaver about adapting VWAP into all existing Indicators that use either/or Price Averaging/Volume as a determinent.You used a MACD analogy.I'm not up on that so I won't comment from Ignorance but
VWAP could supersede Point'n'Figure in thin traded shares.
Also I think that maybe Fibonacci and those percents of philr could be made more accurate using VWAP.

Mostly I think the Advancement of Charting will be in Volume Analysis and I hope you,Charles,will not sidetrack any discussion of Volume with trite observations that someone is Selling to Buyers and thus Volume is pretty irrelevant as a even deal.

but mostly I want some comment from Colin and regardless wish to thank GoHard for doing the practical work.
Don't worry GoHard we don't think less of ya because you've got d'Biggest Wooden Spoon Collection!!


tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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captain_chaza
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Wednesday, January 31, 2007 - 04:49 pm:Copy highlighted text to 'New Message' boxEdit Post Delete Post Print Post    View Post/Check IP (Moderator/Admin only) Ban Poster IP (Moderator/Admin only) Move Post (Moderator/Admin Only)



Ahoy Jr

I said I quite like the Idea of VWAP

However it would never replace "Real P&F charts" where all the intra day sales are recorded and volume cancels itself out
Only the price is relevent and the rate of change in price one must go to to accumulate the desired quantity

Please note that the Big Boys get it wrong more often than us Little boys

They have "Big Volumes" to consider/position themselves and then must plan an exit strategy while the Turnovers are still there

We yachties can tack NE and SE as many times as we like

ie: hit and Run like a Pirate out of Hell

Salute and Gods' speed
Capn

Ahoy Officer Go-Hard
Could you produce 3 months "Hard" historical data charts for us to survey??
I think Any flaws in the riggings should show up in any 3 months at sea

We could then test these new found fittings & riggings on a small sample group of stocks/indecies /and sails


"While we stop and think, we often miss our opportunity." Publilius Syrus, 1st century B.C.

"I believe the future is only the past again, entered through another gate."
Sir Arthur Wing Pinero 1893

"There are two times in a man's life when he should not speculate: When he can't afford it, and when he can." Mark Twain, 1897





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hilarius
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Or even swim to Elsternwick after falling out of a dinghy in Port Phillip Bay in one of those fierce Pump and Dump squalls :-)

Hilarius


I come in peace to share my thoughts and to shine my candle light on possible long term opportunities

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dug
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Wednesday, January 31, 2007 - 06:12 pm:Copy highlighted text to 'New Message' boxEdit Post Delete Post Print Post    View Post/Check IP (Moderator/Admin only) Ban Poster IP (Moderator/Admin only) Move Post (Moderator/Admin Only)



An UpDate-
GoHard has rigged this up by applying FREE Software to approved Brokers Feed.Obviously this is then applied to his "Inferior " Charting Package to give one a VWAP calculation capability,and Voila we have our First Sighting of a Chart with a VWAP DMA.
Ain't it SWELL?!?!!
Now,I'm too computer illiterate at the Mo to Volunteer Nay SWOOP on this Opportunity but it'd be real Fabbo if an IC Chart Devotee could contact our Go HARD and implement his system using IC charts.Seems only minimal computer literacy is required but I figure there would be some jigging around with Compatabilities and you mightn't believe this but I got a Real Rep for not bein too hot on dat like
Compatability Jive.

So I'm off for the Night.Hope to see a VWAP on a chart,an Incredible Chart ASAP or at least in the If'n'When someone can getaround2it.


tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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ingot54
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What a fantastic development.

I congratulate all contributors, and give the Fox Terrier award to Dug for his sheer persistence and tenacity.

Go Hard, Moldy, Dug and Hilarius I'm speechless (unusual but true!) I see Captain Chaza's suggestion as having huge potential also.

Maybe soon we will be able to see WHEN and WHERE the large investors are moving their money a long time before it is apparent by conventional means of detection.

Well done guys.


Keep Smiling - Don't look back

Trading style: Chartist Artist _ Breakouts and Shakeouts.

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dug
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Ohh VWAP is the WORD[maybe shoulda done dat in Big'n'Purple]
Yeah,I really favour Purple but I look me best in Maroon'
like Marooned am I.
So I take pride in announcing a Timetable per Colin.
2 to 12 weeks and VWAP!!
no longer someging ya see in a Batman Comic
VWAP with air currents or maybe stars.
naaaaaaah VWAP to make ya next buck from!!!
enhance ys Luck,like GET VWAP!!
2/2!/12 weeks.Incredible Charts with
NEVER Scened B4
VWAP



So I got me computa going in to d'Shop.Assured it'll be Only a HUNDRED,a cc an d'compute can resume like I'll be able to read Announcements!!!! ohhh 'n'ise know KNOW youse use dat thingameee of Sweeeeeet FA,but....

Anyhow I'm taking me day off tomorra.
Will someone keep a paper record of $'s Transacted tomorrow in-
ALU;HMC;ITE;MYO.
The Volume is always available.
I really wonder why the $$Transacted isn't kept? and
that's starts me pondering,what's Why? and then again
Could it be THAT????
and that,oh yeah,dat THAT,well i ain't ashamed to say
It occupies the Mind.



tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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gohard
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Afternoon gentleman,
Well done jr in receiving notification from IC for the adjustment to allow VWAP to be included in the package.
CC didn't ignore your request time was not in my favour, following are a choice for your comments thanks M for the requests they are coming. Applied the 21/30 SMA for comparison on 3 month charts.
all good have fun G





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gohard
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opps blew that now they are SMA





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gohard
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Worth noting the difference between the two 30 day MA


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dug
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gohard,
thanks for more charts but what's the time frame of the VWAP?
I'm a bit confused by the wide disparity in all of these charts.Seems the VWAP is inordinately Down away from quite a lot of the action over significant time periods?

This could be what starboard tack means about Volume being inflated by one cent options?
I think that although such volumes may be included in the Volume figures[Usually pre and post the actual trading day],such abberations are never shown in the price action of the candles[ie we don't get prices fluctuating to take these Off Market transactions into account-BHP showing 1 cent to $25 as a days range!]

This is the stuff I meant about 'purifying' the Volume,such off market transactions are Not the Market.However by pointing out such problems I fear Colin may ditch the project.I want VWAP in the 1200 odd number of shares not Derivated at least once a month,but of course others want VWAP for their BlueChips.
It's a worry.

Anyhow,gohard can you clarify what is the day count for those VWAP calcs above?
cheers,
jr


tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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dug
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Here's MYO in the very short term.3 days MA with 4 days of individual data.The Volume on Thursday seemed "Legitimate" with at least 700k going thru in one parcel during the Day.I have no way of telling if it was just a transfer or a Sale,though but still it is Volume within the Price of the day parameters.


I've been thinking about these Off Market deals and how they must affect all Volume Indicators like TMF and OBV and weighted averages for that matter.
You've all seen what I'm rabbiting about?
You open your Brokers Site pre 10am and there's all this Volume sitting sold[or transacted] before the Actual Open.
It's often at really out of bounds prices like not yesterday's Close but well,"miles away"from any price that the share has recently traded at.
I've been told that it is mostly some BookKeeping Lurk for Derivative Trades mostly.
But it IS included in Volume Data even though it doesn't relate to any Price Data,Real Price Action.
When one sees it in a share you may be watching,you can discount it but when you first start checking a New Candidate the mechanics are lost,like one has no way of figuring this BookKeeping Transaction into your chart reading of the past AND I think such 'false' Volume would wreck any indicator that it's been fed into.

Yeah,I'm a Great One for spotting Problems,hey?Pity I can't work out Solutions!!

Happy Trading.

ps-the indiv VWAPs are 1.191;1.218;1.238;1.205.
Colin's got a improved caption system coming to IC soon too.


tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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hilarius
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Good Evening

It really upsets me that people who have good, even great, ideas like Dug with VWAP are utterly frustrated by dirty data

The data suppliers just haven't got the foggiest about how to present clean data ... but you can bet your bottom dollar that the smart money in institutions finds solutions ... and I am certain they would have people dedicated to data cleansing for a true VWAP

In all statistical systems there are outliers (abnormal data or errors) that distort the underlying trend

The early morning (and I add also late afternoon) off market transactions to which Dug refers are classic examples of dirty data

A simple fool like myself could (with access to original documents) probably trace the transactions to real trading prices on real trading days

This is why the Bureau of Statistics issues statistical revisions retrospectively

They are handling dirty data and cleaning it all the time

It just requires some BOFFIN somewhere in the ASX clearing house to identify the true date of the crossed trade

This would then enable re-allocation of the trade to its real trading reference date and real trades on that day

A better VWAP for that day could then be re-stated

Of course this would mean retrospective adjustments to VWAP but this would be better than NO ADJUSTMENT leaving the original day's data dirty and wrong

Another simpler solution which Dug has offered is simply to construct VWAP from today's real on market trades

The sad thing is that computers can do anything you tell them to, but many boffins can't be bothered to tell their computers what they should really be doing

So site providers like Colin are left to struggle with dirty data

SHAME SHAME SHAME on you lazy boffins who can't give Colin and Dug what they really need, but I am sure there is an algorithm that could exclude outliers from the course of sales before VWAP is derived

Each outlier would have to be individually assessed. What a chore and how totally unnecessary

BRING BACK THE BIFF ... BASH A BOFFIN TODAY

Colin, if you can solve this you are going to be an ACTION HERO as Dug has said already

Hilarius


I come in peace to share my thoughts and to shine my candle light on possible long term opportunities

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dug
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Hilarius-
Can you explain further on this Allocation of Off Market Transactions to their Correct days?
I suppose it would be quite easy to programme a computer to subtract any transactions not within the Trading hours of the ASX.However unless this was the new Standard,one would be confronted by constant queries as to why Your volume figure is not the same as in the paper,or as reported by Brokers and,well,you'd be doing d'Stoian,constantly trying to justify yourself.

Anyhow,I read now posts like Hershy's up in Candlestick Patterns,with all this credible Volume analysis re BHP and know that all Volume arguments are negated,kaput because of this Volume "plot".
Feel like a Mushroom!
regards,
jr


tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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msparks
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Dug
Re the myob v wap
If the clean data can be sourced.

Which of the 4 days is the most significant vwap figure.The second last day on your chart, had large comparative volume so how do you weight this days vwap against the other 3 low volume days vwap?
Is the vwap of low volume days as significant or meaningful as the vwap on a high volume day.
When the volume is large there is also a buyer, on the other side of the transaction, so is the seller or buyer the smart money ?

Plotting the daily vwap against the daily high,low,open,close, shows the price that most of the volume purchased at, and also, the price that most of the volume sold at.

Is volume by price charts more meaningful ?
Notice the 1 day and 2 day chart and the volume on those days on the last chart shown.
The 2 day vbp is much more significant.

10 year volume by price


1 year volume by price


6 mth volume by price daily


3 mth volume by price daily


1 mth volume by price daily


10 day volume by price , hourly


2 day volume by price ,15 min


1 day 15 min volume by price




PS apologies to the dial ups


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dug
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Msparks-
I haven't enough days of MYOB to make an opinion of,I'd prefer something like 10 days VWAP MA to figure with but obviously the price the Biggest Volume went thru at has "significance"-an effect on the following days and the MA for as long as it's included.
In MYO's case there was a 700k sold Thursday at 124 in the middle of the day.
But the Question is Was it a Proper Transaction something Worthy of Tracking or some Hershy transferring his shares to d'Super Fund and prepared to Pay Brokerage!!

Now we get to the Point,Msparks which is to do with Ways'n'Means and especially WHY!! Purify Volume Data.

Price by Volume applies all the Volume Data to the Closing Price.So do all current,conventional Moving Averages,OBV,Twiggs Money Flow and then ya have the use of closing price to determine RSI,MACD,AEX d'Whole Bloody LOT!

msparks they THEY are the Misbegoten,THEY Forget about Dirty DATA!!!
Donnayawurrybout dat!!It's just Blessed Conspiracy Talk.Everyone uses this rubbish of a Figure for Volume,so you,We msparks ,we may as well go along with it?
Realise it's built on dirty grit but just get on with it?

Is that how you see it,Msparks?
Is that REALLY what ya want?

If Colin can get his Boffins into Cracking This,Biff VWAP UP!!ahhhh msparks we might get free exclusive rights,here in d'Incredible Charts Con[sorry]Munity.


tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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gohard
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Jr,
I mentioned earlier my observations re the time 1,30,90,180 days produced different levels of VWAP results.
In relating to the figures you produced above none of them matched the same days on the monthly chart as you indicated. I will post the charts this time in MYOB to show what I mean the blue line can be basically read across in line with the above day to give some idea of the difference.
My indicator is set to accept trades from 1 to 10000000 shares or part there off in the total days amount it should be accurate but I will stress again the time seems to be a factor to the final location on the blue line.
The intraday chart would be different again, which may be the answer to match your figures.
I agree there must be consistency in the data otherwise the result are useless




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dug
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Gohard-
can you do a chart MYO with your 3day Vwap and Average clearly set out.
My concern is that you may be are averaging daily VWAP and not maintaining a running total of $$$ transacted to be divided by the chosen period[3/10 daysetc]Volume.

Gohard that Volume system you explained,It's not Filtering out the Off Market Sales prev mentioned.
I'm not talking about d'Opening Auction figures.
This is about when you open up in the morning and see say BHP,no price mentioned,Market not Open yet but
there's Volume sitting there already and
ya go to cos[Curseo'Sales] say at 9.30am and see some transactions,even one
but GoHard these are usually big Numerically for Big Dollars Transactions and
thus one gets to query their actual relevance.

anyway a 3DVwap on MYOB thanks,gohard.


tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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msparks
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Hi Dug
Quote
Price by Volume applies all the Volume Data to the Closing Price.So do all current,conventional Moving Averages,OBV,Twiggs Money Flow and then ya have the use of closing price to determine RSI,MACD,AEX d'Whole Bloody LOT!)

I included 10 day -1 HR, 2 day -15min, and 1 day-15min data in previous post.

Even if the data is "clean" , i cannot see how vwap is much use unless daily vwap is plotted in relation to the daily volume.

example
A vwap figure of say 10 dollars for 1 days with 10 shares traded ,and 8 dollars for 1 day with 20 shares traded,is much different from a vwap of 12 dollars with 100 shares traded the following day.
The vwap is then averaged by using the number of days ? not the amount of volume or dollars at the price.
Or am i just confused ?


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gohard
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Even I am learning usage in the exercise.
Job done figures are now closer!!!!!!



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dug
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Msparks,
well,I'm afraid it's a YES you are well'n'Truly CONFUSED!!
you didn't pick up a pencil and run those Simple Figures thru did you,MSPARKS!!?!

Now go Do It on Paper using all ya Vegie Maths Skills and you'll Find-

The Daily Vwaps[Calculation] to get that that 10/8/12 VWAP is? a Utell Me.
The Price to sell those Volumes " "
Multiply PxV=$'s daily Transacted.
Add up your 3 day P,$T'n'V and Divide T by V totals and you Should Find that
3DVWAP=$11.25 while 3dSMA=$10.

The question is How Significant is VWAP to actual trading?

Oh and ya'll have to assume these were one transaction a day.

AHH Bugger it here's d'Figures MS
10 shares at $10= $100 transacted for a $10 VWAP.
ergo-20x$8=$160 ie$8 VWAP
100x$12=1200 Ie $12 Vwap
So Totat T is$1460 Total V is 130;\Divide/
VWAP is 1125.wid d'decimal point4Umsto put in.


tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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captain_chaza
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Ahoy Officer Go-Hard

I think the best place to start would be The "1 day" VWAP
It may then be beneficial to see the "Average Price" slicing through large Candlestick formations?

6 week (30days) and 4 week (21 days) old momentum figures are of not much use to me

Salute and Gods' Speed
Capn


"While we stop and think, we often miss our opportunity." Publilius Syrus, 1st century B.C.

"I believe the future is only the past again, entered through another gate."
Sir Arthur Wing Pinero 1893

"There are two times in a man's life when he should not speculate: When he can't afford it, and when he can." Mark Twain, 1897





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dug
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Good Suggestion,CC.
MYOB' 4 days went-
119.1;Tue
121.8;Wed
123.8;Thur
120.5 Fri.
These are the VWAPs,Thursday has the Volume Effect from 124.

Unlike my KISS set out for Msparks,one must think of VWAP application to Multiple Trades and volatility prices on a Given Day.
If this differs from EOD Close use,in MA's etc then we have Maybe another edge to play with.It'll be Cleaner,Clearer than what we do currently.
Like I may Buy more MYO if it trades thru 122 at the Open say.By learing to use VWAP.
Off 4Mynap.


tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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gohard
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CC,
Know your busy preparing for the honourable Friars visit so I have complied with your request and placed the day chart for NAV.
My comment with regard to the chart is that the VWAP appears to be more creditable in the short term we need to access this situation before the bigger picture is developed.
M comment is to this effect what do you think.
My return mails will be spaced due to time constraints.
All good G



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julles
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Ok Dug I know your going to hate me for this but, maybe you won't.
I can't see the benefit in charting the Vwap, I use the Chart then View the Vwap from my online broker service and that then gives me the Ace of spades.


Yep as I thought you didn't want to know that.


Julles


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dug
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julles,
One can't see the benefit of charting/averaging VWAP mainly because it hasn't been presented on a Range of Charts for one to contemplate.
IntraDay VWAP can be useful in that the price may pull back to that level so it gives a price to Bid instead of just hitting the Ask.
The MAIN Problem remains the distorting data chiefly in the Blue Chips.The pre-open volume transfers often,if not always,are outside that day's actual action and have a distorting effect all day on your BHP's etc.

julles VWAP will be Most Useful in our preference Micro2Mid Caps.I'll try over the weekend to "hypothesise" further.
cheers.


tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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julles
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Goodo Dug, I look forward to it. Julles


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dug
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This thread is getting pretty long,but it still hasn't come up with any conclusions?Not enough anyway.

So to recap-
There's problems in the Volume Data feed,chiefly due to Off Market Transactions being Included,and this problem especially affects Blue Chips and Shares that spawn Derivatives.
So I don't know WHY such Volume has any importance.Seems to me to be purely Book Entries that should have No Effect on trying to read intra and/or short term Market Action.

I'd really like to know from anyone more "au fait" with Options etc to argue,make some point in Favour of those Pre and Post Trading Hours Volume transactions.
Otherwise I figure that the Simple Elimination be that the Data Feed be adjusted to ONLY the Trading Hours say 10 to 4.15pm.

The Other thing we're trying to track is
a]If a VWAP moving average differs "significantly" from conventional ones.
and
b]If Vwap may be "purer" in use of various Volume/Moving Average Indicators.
[a]is I reckon only to be seen in more volatile,wide ATR stocks CLEARLY,with a percent difference significant.
I've been collating the figures on a few shares I hold but unfortunately since I started All of 'em have just Hung Round and not done a Rocket/Three Rising Candles Routine for me to "scientifically study" let alone Make me a Buck!!
but I have seen this point about VWAP.



On the chart marked [a] we have 3 candles with the VWAP for the Day drawn in Yellow.
Note the diff between VWAP and Close.
Remember that Volume Indicators[OBV for example]apply the Volume to the Closing Price.
+ if higher; - if lower and neutral the same.
Can you see how the diff between VWAP and Close would affect the application of this formula?

One just has to decide which is "purer",more effective?
Closing or Volume Weighted Average Price.
You should realise that the Off Market Volume is also hitting these Indicators.

As I said this Action is not volatile enough but the VWAP 5 day and 9 day for MYO is
1.199[5] and 1.214[9]
that's where I'm up to.

I'd really like some/any defence/reason for the general inclusion of Off Market Volume being vital/necessary/correct and not just some waffle about"Well Everyone Does it THAT way so are you[jr]odd or what?"


tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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dug
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I really thought I'd come up with a Fab Example of the Use of VWAP but I'd just taken the figures down EOD and not cleaned up the Volume[checked it for Off Market Transactions]so these VWAP figures are correct but I can't explain the "weird" positioning of VWAP yesterday[thursday]


So it's Wednesday til Today,I want to concentrate on.
I reckon one should hook VWAP calculation to a "Significant"event and use it to keep track of Professional/Institutional Reaction.
In this case the HALF Report came out pre-Open Wednesday and we see the price moves from there with each days VWAP marked with yellow line.
Why Thursday's is half down the Tail is confusing to me too.
BUT
when one calculates 2 day VWAP[wed/thur]one calculates 126.5cents 2DVwap and one sees how the price today retraced to that level.
Furthermore,there was Algae Activity both Buying and Selling going on which culminated in 1 million shares going thru ToDay at 126.5 on 1:52:44 pm.Algae Buying continued but the Selling by micro parcel stopped.
As an actual Holder of MYO,I'm tending to hold 126.5 as a Support Level,perhaps Stop loss because of this activity but the distinct possibility that Dirty Data has slipped past me,well,is not encouraging.

Happy Trading.


tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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julles
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So in theory Dug are you finding that the Vwap is working for you Intraday?


ie a buy or below the vwap an exit price?


I use it most of the time but not in my charting, just as an average buy or stop loss figure.

I am interested in your figuring.. Julles


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dug
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hey julles,
I'm not into Day Trading so much but I would think VWAP could be used in it-
a]Yesterdays VWAP could be a Level to watch the Open for.Does it equal or exceed in Price today,yesterday's VWAP?
[by 10:30/11am]
b]Yesterday's VWAP could have uses as a Stop or a price point to get concerned over.
c]The Intra Day VWAP calculation MAY provide a price point to Bid at in the afternoon,depends on the Bids Number at that point.
d]One may be able to use a stretched price beyond vwap daily as a Sell,on the assumption that price may return to VWAP.

It's all in whether the VWAP does Actually reflect the "Professionals" basis of trading.Professionals aren't Only Institutions but of course prices/volume and VWAP can run away from them,d'Mob may be running the ACTION not d'Pros and this could contribute to false readings of VWAP.

I notice you do warrants,julles.
While derivatives are much more "professionally" orientated than ordinary shares which are 'mucked up' by mum'n'dads perhaps,I don't know[or actually care to know]their[derivatives]price connection with the Underlying shares.
There is a post this section about VWAP and derivatives but I haven't got round to reading it yet.
I find the above posts on the Pre/Post Open Volume not being explained or given a context disappointing.
Such Volume[as you see every day listed against Blue Chips pre-Open] completely warps the intra day VWAP.
That Volume AND it's Dollar$ Value should be discounted,Removed from Intra Day VWAP considerations,I reckon anyway.
Further I think any non-transactions even Intra Day should probably also be given d'Chop.I can't see the purpose of Insto Bookkeeping/Transfers etc being included,I think these only Cloud.
Anyway,it's in the pennies,micro/mini/mid cap shares,the ones not used for derivatives that may give VWAP insights for me personally.
I just wish that Someone who knew the Reasons for Outside Volumes and the Prices set in them would explain/stand up for their Validity or Not.

I can think of No Reason why Moving Averages esp short term,should be based on Close instead of VWAP.VWAP that is Clean and Pure like Properly calculated.A cleaned Volume would also be of great Enhancement to all volume based Indicators ie Twiggs Money Flow.

anyhow,me of all people,is getting too academic,hey julles?
Happy Trading,
jr


tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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ingot54
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Username: ingot54

Post Number: 1682
Registered: 05-2004

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Sunday, February 18, 2007 - 02:45 pm:Copy highlighted text to 'New Message' boxEdit Post Delete Post Print Post    View Post/Check IP (Moderator/Admin only) Ban Poster IP (Moderator/Admin only) Move Post (Moderator/Admin Only)



Link:

http://www.cis.upenn.edu/~mkearns/papers/vwap.pdf


Keep Smiling - Don't look back

Trading style: Chartist Artist _ Breakouts and Shakeouts.

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dug
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Username: dug

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Did you read this,Ingot?
Pretty High Faluting maths,is that your new bag now you're a trainee FX dealer?
Anyway,I noted the passivity of Algae and use of VWAP.Did you see the bit about Major Massive New Yaaark StockBrokers working for 1 ONE cent/share commission for selling a single percent1% of a US share?
oh it was one percent of MicroSoft but ya havta DIG that the Yank Market is soooo out of our League.All them Books are filled with a lot of complete Irrelevancy to us here in Oz slogging away.
Ingot why didn't ya stick with our Shares?Why have you done such a classic as going further and further up the Glam Chain without doing the Grind of Grasping the Basics of the "OutCasts"[NIX d'ASX 100].
No,ya had to go d'wander off into MACD ain't a Wonder,BHP and it's Ilk via cfd's,wack in dem Options for a Term,explore holding Long Term a cfd'ed RIO,flirt about Fundamentals,be an ASIC wannabe,"WHY Don't Someone DO Something!!"
,and then ya stop posting here but keep up with other failing chat sites,to Return with some YEN FX rabbit,and state as ya best qualification
I don't Sleep MUCH!!!

I don't know.
Ya're only ONLY saving grace,Ivan is ya come from Kingaroy!!
Only explanation that works for me!
Ya come from Kingaroy so ya gotta be Forgiven!
[that and a curse ya know Hannay!]

Anyway,VWAP ain't gunner go over til some twat writes a book about it,A Decade from Now i reckon.
N ibetcha it's some prat from New Yaark!
regards,
jr


tick [1] VWAP in the upcoming "Whata we Want" subscriber poll of additions to d'Value 4 $'s IC chart programme.
VWAP is d'Tool of Professionals,TRUE!!

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lafee
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Post Number: 361
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A link to a discussion on VWAP

http://wilmott.com/messageview.cfm?catid=4&threadid=46194&FTVAR_MSGDBTABLE=&STAR TPAGE=1

Cheers Lafee


If nobody can be certain of anything, how can I be certain of that?

Ayn Rand

When I was young people called me a gambler. As the scale of my operations increased, I became known as a speculator. Now I am called a banker. But I have been doing the same thing all the time.

Ernest Cassel

"My major hobby is teasing people who take themselves & the quality of their knowledge too seriously & those who donít have the guts to sometimes say: I donít know...." (You may not be able to change the world but can at least get some entertainment & make a living out of the epistemic arrogance of the human race).

Nassim Nicholas Taleb

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dug
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Username: dug

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Wednesday, March 07, 2007 - 11:46 am:Copy highlighted text to 'New Message' boxEdit Post Delete Post Print Post    View Post/Check IP (Moderator/Admin only) Ban Poster IP (Moderator/Admin only) Move Post (Moderator/Admin Only)



Lafee,
well that's a real high tone site,hey?
Maybe Capt'n Chuck could be exiled there so he learns how to talk proper,like.
Do you know about these data filters discussed,lafee?How IC could maybe incorporate some variations?
Dark Pool bit was interesting but d'Yank Market is so much more complicated than ours.
cheers,
jr


You know you're in a Hick place,
when there's nowhere you can Go,
that you shouldn't!

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lafee
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Username: lafee

Post Number: 363
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Dug,

I don't really know anything much about it. Other than for whatever reason it is being used by the Vig takers. The experts here will be the CFD providers.

If there is an advantage it won't in the way the brokers use it. You will need a heap of data to test to determine how to use it.

I have long believed that low volatility rises in the market can often be seen before 'trend' momentum. Maybe the practice of splitting up of orders to work (utilizing the VWAP) is the the reason why?.... the accumulation of shares by longer term players worked by the brokers determine the shape of the chart??? Once they have them supply dries out.




Nevertheless I have not been able to 'prove' my theory in testing. It's a hard thing to quantify.

Cheers Lafee







If nobody can be certain of anything, how can I be certain of that?

Ayn Rand

When I was young people called me a gambler. As the scale of my operations increased, I became known as a speculator. Now I am called a banker. But I have been doing the same thing all the time.

Ernest Cassel

"My major hobby is teasing people who take themselves & the quality of their knowledge too seriously & those who donít have the guts to sometimes say: I donít know...." (You may not be able to change the world but can at least get some entertainment & make a living out of the epistemic arrogance of the human race).

Nassim Nicholas Taleb

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captain_chaza
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Username: captain_chaza

Post Number: 2489
Registered: 02-2003

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Wednesday, March 07, 2007 - 04:47 pm:Copy highlighted text to 'New Message' boxEdit Post Delete Post Print Post    View Post/Check IP (Moderator/Admin only) Ban Poster IP (Moderator/Admin only) Move Post (Moderator/Admin Only)



Please Note:
Cap'n Elvis has left the building

Please pick on somebody else in future!

Salute and Bon Voyage

Capn


"While we stop and think, we often miss our opportunity." Publilius Syrus, 1st century B.C.

"I believe the future is only the past again, entered through another gate."
Sir Arthur Wing Pinero 1893

"There are two times in a man's life when he should not speculate: When he can't afford it, and when he can." Mark Twain, 1897




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