Market Delta by bolter

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pitbull,

Here's an attempt. It is 75 'tick' chart from IB feed.

The bands on the candlestick chart are:

Red: VWAP +/- (HOD - LOD) / 2

Blue: Market profile developing upper and lower VA's. (Sort of - actually they are bands around 70% of volume).

Black: VWAP

Horizontal Blue Line: Yesterday's Lower VA.

I also put S1 around 1379.

Easy in hindsight isn't it ?
 

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Quote from dcraig:

pitbull,

Here's an attempt. It is 75 'tick' chart from IB feed.

The bands on the candlestick chart are:

Red: VWAP +/- (HOD - LOD) / 2

Blue: Market profile developing upper and lower VA's. (Sort of - actually they are bands around 70% of volume).

Black: VWAP

Horizontal Blue Line: Yesterday's Lower VA.

I also put S1 around 1379.

Easy in hindsight isn't it ?
More...


Hi DCraig....

thanks for posting... after your PM about Grey1 at T2W boards i dutifully read up on his comments about vWap +/- (H - L) /2

so i am glad that you are posting using an example of it for the ES...

and since i am charting the vWap for the whole SPX (i just add up all vWaps in the DDE feed from DTN that has vWap for each stock and then chart it) i will add the VWap H/L bands to that and see how that plays out...

i think the Delta divergences in the indicator area plus the Low band touches were interesting...

please keep dem posts coming...

cj...

:)


HAVE STOP <img src=http://www.enflow.com/p.gif> WILL TRADE
 
Edge,

Are you finding the aggregate VWAP for the whole SPX interesting ?

I'm not sure what I think about these VWAP bands. On strongly trending days, regarding them as turning points is folly. On some days they are effective. I need to study them some more.

However, here is something a bit interesting. The chart is for DAX, 50 IB ticks. The bottom subplot shows the total number of contracts showing in the book. Guess where the big blokes are trading.

The candles for book delta and book size are not quite right due to some err ... features in my tick/book replay code, but you get the general idea.
 

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Craig,

I like your charts and VWAP you're plotting. My question, for the benefit for everyone on this thread, would be regarding entries: how do you define entries on your charts using MD? E.g. I simplified the entry on 15m to trigger based on taking out previous bar hi/low (long/short). Entries based on divergences, be it oscillators, or in this case MD, can be tricky.

Cariocas
 
Quote from dcraig:

Edge,

Are you finding the aggregate VWAP for the whole SPX interesting ?

I'm not sure what I think about these VWAP bands. On strongly trending days, regarding them as turning points is folly. On some days they are effective. I need to study them some more.

However, here is something a bit interesting. The chart is for DAX, 50 IB ticks. The bottom subplot shows the total number of contracts showing in the book. Guess where the big blokes are trading.

The candles for book delta and book size are not quite right due to some err ... features in my tick/book replay code, but you get the general idea.
More...

Yes, i am keeping track of what the total vWAP and the AD/DECL for the sp500 stocks specifically is at higher lows in an uptrend and vice versa in a down trend... and it gives me a heads up when a trend may continue or fail...

example would be
Writing down the notations of 25 / 150 at a higher low - as in vWap is at 25 for the SPX and the Advance Decline for the SPX is 150 stocks out of 500... then i watch the next higher low... and note that... i do the high peaks too... so i am constantly seeing the relationship of institutional volume buying to adv or decl issues... for highs and lows...

also i watch when the vWap crosses from negative to positive or opposite... if it is at a important support point there can be a quick burst of institutional buying... need to watch it more / longer... these are my short term observations...

cj...
 
Quote from dcraig:

pitbull,

Here's an attempt. It is 75 'tick' chart from IB feed.

The bands on the candlestick chart are:

Red: VWAP +/- (HOD - LOD) / 2

Blue: Market profile developing upper and lower VA's. (Sort of - actually they are bands around 70% of volume).

Black: VWAP

Horizontal Blue Line: Yesterday's Lower VA.

I also put S1 around 1379.

Easy in hindsight isn't it ?
More...


Thanks so much...very cool...I appreciate it...can you point me to a link that explains the Vwap +- ( hod-lod_ /2..that looks interesting and of course It would be great to see more charts like this but I don't want to diverge from Bolters intentions.......so just say the word Bolter if you think any of this is outside the realm of your original intent of this thread,,,...I'll understand.......
 
VWAP is just another way to calculate value

MP theory places special importance on two measures of value

1) where (roughly) 70% of transactions occur - the "value area", also is 1 standard deviation from the mean of course

2) where the most volume (or in classic MP - time) occurs. that price is referred to as the POC - point of control

neither concept is "magick (tm)" but they do have utility.

so does VWAP. however, VWAP is not part of "classic MP theory" as far as i know

of course, whether something is part of classic MP theory is completely tangential to whether it has utility.

for example, i use (and pay attention) to MP. i also use floor trader pivots. both help add to my edge. i don't care if a MP dood says "floor trader pivots don't work", or if they are not "pure enough" for some sort of MP cultist. i also don't care that many who use floor pivots may feel the same way about MP.

iow, my point is. there are many ways to model price action, and find key reference areas.

and MP has great utility (imo) but one should never limit oneself to a narrow way of looking at the market
 
hi pitbull,

I'm happy for this thread to take any course that is constructive, particularly if involves some original ideas (eg: VWAP bands). So knock yourselves out.

Besides I have very little time to post at the moment. The best laid plans of mice and men .....

Regards,
bolter
 
Quote from bolter:

dcraig,

I like the VWAP bands - great idea. Definitely worthy of further investigation. Nice work.

bolter
More...

Can't take credit for them. Anybody that is interested could begin by reading gray1's stuff over on trade2win. It's geared to intraday pairs trading.
 
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