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Trade the Bollonger Band Squeeze

VWAP Part Two.

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dug
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Friday, January 04, 2008 - 10:26 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)



Have done further "Investigation" of VWAP[Volume Weighted Average Price]so here's an Update.

a]Still have not found a Site that provides Historical Total Dollar$ Transacted even over the previous week.
All requests have directed me only to TODAY's Total $.Never can I find the Figure for Yesterday let alone each day for a Week.

b]In various shares I have manually kept a Daily Record and from these have worked out 3/5 day VWAP.
This has proved useful in trading some classes of share.

c]VWAP is a guide/indicator If/When a Share is Running "Hot".That is-
Large Volume actually Traded[not Transfer/Derivative orientated]
Large Single Transactions indicating Short Term Trading Interest by "Professionals" [professionals defined by the sheer Amount of Money they are prepared to Risk]

A "Buzz" happening ie it's being RAMPED.

Recent Examples -CVI,RAU,KAL,FDL,CNM.

Now I reckon these are the types of shares where VWAP comes into Prominence.Real Useful and I urge Any/All Traders in such shares to start keeping $'s Transacted figures Daily and the Volume so as to Use this VWAP figure for calculating a VWAP 3/5 day Moving Average.

Will come back later with some more FREE information on the Why's 'n' Whens.

Happy Trading.



Even 'til Jaded.

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sway
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Dug
As a starting point, E*Trade Pro gives real time VWAP for all stocks while the market is open and can be browsed at your leisure at end of day. They also have an Excel addin which allows you to capture data but I'm not sure if it can be set up to grab VWAP. Also the course-of-trades display can be set to retrieve historical data but only back a few days I think.
Cheers
Sway







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ohkoolnutz
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Saturday, January 05, 2008 - 10:06 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)



dug,

I apologise for hijacking your thread but I am very displeased with stock data, the accuracy, the data gathering and the data distribution. You bringing up the VWAP data triggered my gag reflex on this subject.

I work in the field of information management. You could call my a data tyrant. I get Steve Balmer chair throwing antics when data is not 100% right. I can't understand how disorganised stock data management seems to be.

Wouldn't it make sense to have a single entity manage the data?
Wouldn't it make sense that this entity be the exchange the stock is listed on?
If there are multiple clearing channels for a stock wouldn't it make sense to demand that all trades are mandated to be reported to the exchange for data accumulation, warehousing and statistics?
Wouldn't it make sense that the exchange charges a flat fee to all second level data users may they be hedge funds, banks, brokers, or end users?
Wouldn't it make sense to allow those second level data users to resell the data itself or with added services for profit?

It's so simple you can't possibly screw this up.

What seems to be happening instead is that we have hundreds of different trading channels independent from the exchanges. They all do their own measuring and reporting. There seems to be no central authority to gather the data. Some channels don't report to other channels and hence remove trades from the overall sum of activity depending on who you ask. We end up with a handful of data warehouses showing different volumes and OHLC values for the same stocks by various private unmonitored companies. These sell their dirty data to whoever wants it at whatever price they decide to charge. Other companies build charting tools around these and we end up with multiple charting tools displaying contradictory charts.

I am extremely disappointed to pull up American stocks on a daily basis in IC and ProRealTime and the OHLC differ again and again and again. It's so frequent it makes TA a joke.

(Message edited by ohkoolnutz on January 05, 2008)


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ohk

Lies, Damn Lies and Technical Analysis

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dug
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Sunday, January 06, 2008 - 08:06 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 for the Leads,but sway my Agenda is to be told Why d'Hell Incredible Charts doesn't institute VWAP.
I'm up against the Common Wisdom but I think that a lot of IC provided Indicators could be Cutting Edge if they used VWAP and NOT Ancient,Now IRRELEVANT Closing Price Data.

I'm talking Any and All Idicators that Include some form of Moving Average[MACD,RSI,Scholatsic slow/fast,whatever uses a Moving Average]are a FLOP without d'precious VWAP!

EG Your Weinstein would be vastly Improved if ya looked at VWAP rather than Closing Price Simple,Expotential blasted Weighted WHATEVER are IRRELEVANT without VWAP!!
[IMHO,i hang out to be Told WHY it ain't so!]

Now,sway do ya follow?

Closing Price is Revered because that's d'Price ProFessionals SET,according to Legend that is.

and one quite often notes when doing d'VWAP on a Daily that Price DOES Close at VWAP
BUT
It's when it DOES NOT close at VWAP that I,like well,get a Issue.

Anyway,that's d'Plot,Sway.
Do ya wanna be "IN" what Unfolds?



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dug
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Saturday, January 05, 2008 - 02:58 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)



I tried to set up a seperate thread to cover Dirty Data,okh but it'd be confusing.
Anyhow,
Central One and Only Primary Data Banks-I'm against.

You're last comment re Price Data from IC about US shares-Could it be the Time Delay Factor?or is it even say a day later STILL not accurate?
Personally I'm confused by the Adjustments for Options where you look back to find a price and you find it Closed 20.8 cents,
.8 cents? but THEY are doing the Right Thing?I'm left wondering how come Historical got Ditched!!

In regards to VWAP-I can see the "Un-Economic" reason perhaps WHY IC has not pulled out ALL stops to Implement it[Instead we got Fibbionnacci Levels and Auto Trend Line Gizmos]
It,the Fabulously Useful VWAP tool,won't be much use in Bloody Blue Chips because of the Dirty,nay Filthy Volume Figures Corrupted by Blessed Derivative Transactions.

Personally I fail to see why Colin Twiggs puts his name to the Money Flow Indicator when it often happens that the VWAP is UP on the previous Day yet the Close is Lower thus whacking his indicator into Distribute rather than Price UP=Accumulation.Especially "Witching Thursday" each month is a real plot killer.

I think that the poor quality of Volume Figures including On Market Transfers,Derivative 'diddles' before the Market even Opens[in Blue Chips]is Ridiculous.No wonder the Captain sniggers at Volume Analysis.There is NO Volume ascertainable as Trading that doesn't include bloody Book Keeping!!

Sorry,I rant,perhaps you can sympathise ohkoolnutz?
As a Data Tyrant can you please stop my tirade re VWAP?

Tell me what the problem is with IC simply including the $ Total Transacted in a day.I had some [to me] gobbldygook muttered at me that this was some kind of IT problem to do with Band Width or some such "thing".
We never did get around to getting Volume Cleaned Up and whether there is a reason Why Not?
Let alone dispelling the Myth that Closing Price is still the most "satisfactory" Method of Moving Average Calculation.
Why? well because it's always been that way,everyone does it so it must be Proper?

ohhh,ohk,one must rise above Despair.

cheers.



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dug
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no need to apologise,ohk.I'm "flattered" that a Computer Whizz of your calibre would speak to a Luddite such as I,let alone one with such a perceived "Nasty" rep for flouting Rule#1.


I'll open a thread within this one on Dirty Data for a further reply to you,ohk and get back to sway and more on VWAP,later.



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sway
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Dug
Yes I understand what VWAP is and agree it could be interesting to compare using it in an indicator instead of closing price, but really only for short term stuff and reversals. My reasoning is that if there is a trend in place, the percentage change of VWAP over say 5 trading days is going to be very similar to that of closing price. Maybe VWAP would be more sensitive for "traders" than "investors" (see Weinstein's definitions in Chapter 1 of his book) in picking exit points.

Anyway, I'm interested to keep discussing and would be glad to hear more arguments for/against
Cheers
Sway


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philr
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Dug

Would the 'Weighted close' indicator on IC be a reasonable substitute for your VWAP. Would there be much difference? I'd doubt it at 1st glance.

Below is a chart of BHP for the last 6 mths with a 21 day ma
Weighted close is the Green line, 21 day ma the pink line.

The theory according to IC is to go long when Weighted close crosses above the 21 day ma and go short when its below.

However if you are like me and get nervous with shorting just going long you would have done quite well.

bhp


Phil

** Let blockheads read what blockheads wrote.
Warren Buffett

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ohkoolnutz
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dug,

I said everything I had to say about dirty data. I understand the problem, I put forth a solution. I am not in charge of the ASX or any other exchange so it will never get implemented.

IC and ProRealTime get their data from two different sources and hence the OHLC differ in many circumstances.

In regards to you...I may not understand everything you say, I may not like everything you say, I do like that you are committed in your views. I take a fiery argument between you and the Captain any day over an apologetic tangle between hilarius and ody. I have to laugh every time I read those two argue: "How dare you use those insulting words shaming me!?! Take it back, please, or I will have to punish you by not speaking to you in the future." Maybe it is the IC censoring filter which makes all fights read like two gay men striking each other with handkerchiefs.


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ohk

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sway
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Hey Dug, Where are you? I thought we were getting an interesting thread going?
Cheers
Sway


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dug
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sway,
In this Systems section there's a Thread VWAP is the Word.It's last entry was 7/3/07.At the end of it there is links by Lafee and Ingot 54 to illustrate HOW Vwap is being used by Brokers in the American Market.
I see you're an Engineer,sway so maybe your eyes won't glaze over like mine do,on reading High Level Maths.

Now to me this is PROOF that VWAP is at the centre of current Market Thinking.It's use in Algorithmic Trading[bot/algae/small parcel]is merely the "High Faluting", allowed to be published for general consumption,aspect of it[IMV]
but my only "proof" is anecdotal and also just my own pondering.

Anyway,we know what VWAP is but it's mighty difficult I find to get people to think about AVERAGING it.
I'm finding that,as you point out,that it is extremely Useful when a Share Turns.Turns in a three day[5 maybe]Confirmation Pattern.
One can glean Profit Taking Levels,Retrace Action,one can have an actual Handle on what's Reality when others are whimpering about Insider/Manipulation ie High to Rug Pull on d'Mums'n'Dads.
One gets this "Insight" IF/When Professional Traders are on d'Job!
because? well there is no Purer figure to work with/against than a VWAP.
The ambition for Trade is to buy Below VWAP and Sell Above.Any and All links to how a Broker works confirms absolutely this Fact.

By averaging the Volume to Price over a period one gets a much better mathamatical idea of Accumulation Price.
By using VWAP one avoids being Blind Sided by Close/Open Manipulation.
We all know how Opens and Closes are easily manipulated.We know that it is a Fact that Up and Down Plays occur Intra Day but it's a pretty looooong stretch to propose that VWAP can be so diddled,too.

Anyhow,I'm thinking about the Long Term[Year+]Superiority of VWAP.Get back to ya when it's clearer.
cheers.



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dug
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You have to know,philr that I'd never seen that IC indicator til you brought it up.
I did a KAL comparison and IC came up with WTC 16.3 for today while the VWAP was 16.4.
Close enough for this Pilgrim!!

So you,philr,may have cracked my Condundrum!!
The week/5 days may be sufficient for my purposes while the Month[21 days]can give some Long Term View.

Weighted Close for these 3 Periods[day/week/month];that's my GO.
cheers.
ps-how do I find How this Weighted Close 'gizmo' is calculated?



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dug
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Sway/ohk/anyone else,
Colin can't be bothered with the Flow.He's got better things to do with his time than worry about the CONTRIBUTORS to this penny ante Forum.
I can wait.
much better than I'd apologise.
Take Heart,Pilgrims,Hilarius and Ivan know[or at least,think] what THEY are doing.
If ya Dish it Out,ya gotta be able to Take it
[whatever It is defined ;let alone d'THEY!!]

Please take Note of WHO backs IC programme above ALL others.

cheers fans,
be careful who ya follow.

Weighted Close philr is not even "academic" enuf for me.



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philr
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Dug

Here is the formula as extracted from the site.

(High + Low + Close * 2 ) / 4


Phil

** Let blockheads read what blockheads wrote.
Warren Buffett

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dug
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Found that formula in the Indicator Guide of IC package,phil.
It's just an Averaging System right?Sets up Golden/Dead Cross scenarios supposedly causing fewer whipsaws.
I'm diddling round with it but I wonder how DYNAMIC the Weekly Figure is?Is it staid because it's only calculated Monday to Friday? or is it running Wednesday to Wed.?
Want to take bets it's the Former[staid]?

Besides there is no NO Weight given by Volume.I'm wanting to find a Wide Range Daily/Weekly Candle that I have 1/3/5 days VWAP on to compare this Weight Reading against.
Could well be coincidental in a small ATR Candle that it coincides close enough to VWAP
but it's all I got to use with d'Programme so it'll have to do.

Phil you seem to be more actively trading some Momentum shares more than me.Would you collect some $ Total Transacted figures daily for this experiment?

or Sway with the Etrade Info History how about getting the total $ transacted Figures for say RAU,CNM,CVI any or all over the last 5 days?
Oh and can you check Course of Sales for any Major Numerical Volume Single Transaction or does Etrade Pro give Transfer etc data too so it can be eliminated?

I'm on 4th day KAL but will pick up on these others in the future.
One has to keep records daily to have the right ones 3/5 for a Turn "Trick".

cheers.



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sway
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Dug
It was a fairly painful process, but here is the last 5 trading day's data for the 3 stocks you mentioned.
application/vnd.ms-excelCNM
cnm.xls (260.6 k)

application/vnd.ms-excelCVI
cvi.xls (151.6 k)

application/vnd.ms-excelRAU
rau.xls (223.2 k)

I have calculated the VWAP for each day.
To answer your other question, yes you can filter the Course of Trades display by date/time, by number of shares traded, by trade $ value and by share price. You can specify max and/or min. One limitation is that you can only extract a maximum of 500 records.

By the way, the above was extracted using the standard E*Trade Pro display, not the MS Excel DDE addin (which I haven't played around with much yet).

Cheers
Sway


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dug
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Thanks very much,sway.
I've been able to glean these points from Opening RAU and checking it out.
a]Transfers[XT]intra day are at current price so don't need to be Eliminated.These wouldn't affect the VWAP calculation.

b]Transfers do occur sometimes at one tick under prevailing Price[ie XT at 10.5 when last sale 11 cents.]
I must get XT data from my Broker if I'm going to continue using Market Depth Watching intra-day.

c]Some of these XT's resemble Algae[Algorithmic]Trading.Small Parcels under say $1000[sometimes more].
Must get more on the Reasoning about such Transfers.[I like to have as much info as possible about the Mechanisms of the Market.Hows and Whys certain transactions occur.

d]I picked out RSL yesterday to check Weighted Close vs VWAP vs Closing Price.
RSL ranged .034H to .026 Close[23.5% Trad Range]
Weighted Close .028 [8% on 28 Close]
VWAP .0296 [14% on Close]

Conclusion-Lot of Buying on/above .03 because Mid point is 30 [34-26 /2=30]so candle wick wasn't just a flash on low volume.
a 14% difference between VWAP and Close will skew a 3 day average Significantly.

Will do the 3/5 day averages for RAU now with your figures,sway but you hopefully know that the Calculation goes-
Add ALL Days Total $$'s Transacted divide by All Days Total Volume=VWAP 3/5 days.
One does NOT average the day VWAP's because well,it just don't WORK that way.VWAP is not exponential either just Simple.

cheers.
RSL chart




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dug
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Further on RSL.
Opened today at 28 with 29 High[so far 11:30ish Southern Time]
This 28/29 shows more following of Weighted/VWAP than Close.Interesting that a Professional Open occured?
That all the fall below 28ish yesterday was Strong Buyers taking out Weak Sellers?The situation of when Tight Stops "caught" THEY who don't follow VWAP?
One swallow don't make it Spring,hey? but certainly there's anecdotal evidence that BigBoys use VWAP[see other Sites for example]
Probably though they are usually Intra Day Jockeys on 1/5 minute charts.As I see it,short time charts "suffer" due to Algae/Flickering Ploys.I prefer tracking Individual Transactions but that only works in Shares that don't go into dozens of transactions a Minute.
Anyway,back to my holidays.
cheers.



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dug
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A VWAP example-

I'm reckoning that VWAP is most useful in Break out situations and mostly in short term including Intra Day.

KAL showed a Determined Buying Pattern in Market Depth[Lines of Ask taken out often in one Gulp]The play went for 5 days with the Third day being a Dill Get Outerer,Down by "Amateurs"/BorderLiners/T3 try2hards, if you understand?


So I'm saying that this was A Trader Rally.VWAP figures for 3/5 days show "They" got In at ~19.5 Average[at least] and then proceeded to Sell at Profit.10%ish at least.On even $20 grand that's quite acceptable.
Buy 17 to Sell 21/22cents is 24/27%.Real Acceptable,hey?So we can assume that Longer Term Chancers also came in.

Now a lot of Warm Pig BarBque types took this rally as Chart says Insiders on ForthComing News are on the Move.
18 resistance Broke so the Next Day "They" came piling in quite reassured[note Volume on 22 day]but They got caught[see chart]
3 cents above the 5 day VWAP [15%] proved too alluring to the ST mob.Especially in the Current Market so Sellers outnumbered Dedicated Buyers.
I think that the price move Below that 5 day run VWAP shows Traders Out and Stop Losses now in Play.
Current Interest should be in watching if 18 has turned from Resistance into Support.

Now,I realise a lot of VWAP chat is of "d'So What" category but so is say,MACD crossover.
If/When IC starts Intra Day Charts I reckon a Moving Average VWAP will put it's programme on the Cutting Edge.Especially if some Dedicated Type writes a Book about VWAP so d'Pilgrims to Mammon can follow Why/How VWAP is useful,.
Where can I GET It!! pilgrims will wail and I reckon it should be courtesy of d'Incredible Team.

Happy Trading.



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tryhay
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very good dug, so for them luddite vegetable types (me) your point seems to be that 18c is critical support and perhaps possible to get back to ~22 on a wing & prayer?

I am more comfortable with the standard MACD cross etc. (as shown below ~ could get a kiss of the zero line soon or transfix it :-(). VWAP is an oddity to some still dug ~ (but I do see it in them USA loony toons market wrap videos) - KAL is the only share in my toy portfolio in the green ATM...

I normally limit buying to max $5,000 parcels and sold 1/2 at 22c ~ the other tranch is sitting there till bounce up or down.

daily chart: they way i see it is if 18 don't hold then perhaps 15 will - but I expect to be out well before then..... particularly if XAO decides to bounce soon i expect kal to keep going (higher)..



super_kal

You been doing any buying lately dug, or sitting on the hands?


Happy trading DYOR

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dug
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Sunday, January 20, 2008 - 03:37 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)



no tryhay,no buying just waiting it out,holding what I had a month ago with only $10grand cash reserve.
I'm not buying this Gold Shares will do it again palaver.Them BarBque types don't seem to remember that in the 80's Gold had been de-regulated from it's $30 Fixed Price.So with the Crash and Oil etc the Pilgrims went skittering into any Gold Explorer cos that's what they thought would save them.Mass Move did they could Buy'n'Sell a Mania but I don't reckon History is gunner repeat with Gold,this time.

Gold's only use really is in Jewellery [Platinum's a completely different thing,though]and there's Substitute Product for Gold in Jewellery.Some stuff called PichBeck or such like got "invented" in the 19th Century Germany for one.And we've already seen that Gold Demand will drop from the Jewellery Trade when the Price rises too high.Geez the current Bling Fad appears to be switching to Diamond Encrusted G strings for Paris Hilton types already!

Anyhow I'm not gunner take my POV into debate with bloody Gold Bugs,tryhay.They[d'Goldies] are often a Mask for Survivalists,gun owning Weirdos.Frankly I don't want a Stash of Gold Bars so I can Survive with Them!!

No,I reckon when we've shaken out the Margin Boys;They who play money they will never have;They who will never be satisfied until they can live like Emperors with at least 3 Bathrooms!!Like really how obviously "retentive" is such ambition?
Don't take much to fleece such types,get a Jolt of Reality.
Then tryhay,it'll be time to buy what they're going to be "told" to get in the Future by those pretty boys'n'girls,ya see on TV SHAREmarket reports.

It'll be DYE and PHK!! Believe me?
cheers.








Even 'til Jaded.

Dig for the sake of it.

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coyotte
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Username: coyotte

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Registered: 12-2002

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Friday, February 01, 2008 - 08:01 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)



http://www.traderslaboratory.com/forums/f46/vwap-indicator-with-1sd-and-2sd-2175 .html

the above link may be useful to some


Cheers


The "Sea of Uncertainty" is defeated by the nimble vessel "Probability", not the unwieldy vessel "Prediction".

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