styliten
303 posts
msg #154646
- Ignore styliten |
11/17/2020 12:53:18 PM
Is it really that good? Does SF have an equivalent to that?
Introducing Anchored VWAP in StockChartsACP | Brian Shannon, CMT
Any one? Please shed some light.
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risjr
229 posts
msg #154659
- Ignore risjr |
11/18/2020 11:12:06 AM
Way too much hype...stay with what you know that works!
Dood
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fotchstecker
304 posts
msg #154681
- Ignore fotchstecker
modified |
11/19/2020 5:04:40 PM
Don't know what you mean about "hype". VWAP is effective if you understand what it is, exactly like anything else.
I can tell you that I personally know professional quants (real pros managing 1B books, not retailers mucking about) and they use VWAP regularly. They use it primarily for layering-in large positions after the market cross for some of the models they run. The VWAP period and timeframe they use for those executions is typically on an intraday basis. But I don't think any one of them thinks there's "hype" around vwap; it's just another technique, and to be honest it's a pretty straightforward and simple calcuation.
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styliten
303 posts
msg #154684
- Ignore styliten
modified |
11/19/2020 8:34:47 PM
@ fotchstecker Thank you for your input.
I guess my question is that when I ran a sample code to test out VWAP, I really didn't see that much difference or benefits with vs without volume consideration:
Only in IBM's case did I saw a 1 day difference in timing, everywhere else timing signals seemed to have been almost identical between the simple EMA(9) and VWAP(9).
Did I misinterpret the power of or the formula for VWAP?
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Cheese
1,374 posts
msg #154685
- Ignore Cheese |
11/19/2020 9:01:04 PM
sty,
sF does not have VWAP
The VWAP that fotch wrote about above is called Traditional VWAP by Stockcharts.com
The VWAP that Brian Shannon is introducing is called Anchored VWAP by Stockcharts.com
More details about the two can be found here:
https://school.stockcharts.com/doku.php?id=technical_indicators%3Aanchored_vwap
fotch is right: Traditional VWAP is a popular and useful tool.
Your "hype" gut feeling about Anchored VWAP ia also right. Some of Brian's examples
appear to be back fitting. The choices of anchor points and the chart settings for Anchored VWAP
might seem arbitrary or evolving in order to support some pre-established conclusions.
Here's one chart example from Brian. There may be more.
https://twitter.com/alphatrends/status/1328893257447858177
Just my two cents.
WDIK
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fotchstecker
304 posts
msg #154702
- Ignore fotchstecker
modified |
11/20/2020 2:47:44 PM
I just dug up an old VWAP related calculation I used to use for initiating buys. YMMV:
AVG((O + H + L + C) * V, 90) / 4 / AVGV90
Where AVGV90 is average volume, 90 periods. I believe the above was TC2000 code.
The way I used this at the time was to initiate longs when close was under vwap. I can't remember what timeframe chart I was using this on, but it likely was a 90 minute chart.
The only reason I cared about VWAP was that it gave me rationale for a price to enter at. That's all. I didn't use it for anything other than to pay a price that generally the market was paying in that timeframe. Underneath this was the fact that whatever system I was using had triggered a signal. So, this was just a way to enter.
Regarding what and how you backtested and whether it had a benefit, I would say this is hard to answer. I don't think there's really a way to backtest this unless you have tick-level data on the bar, curvefitting everything else notwithstanding. If you don't have that bar resolution, you make a lot of assumptions on a daily bar.
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Cheese
1,374 posts
msg #154703
- Ignore Cheese
modified |
11/20/2020 3:16:56 PM
This is meant to be FYI and to apply only to me.
Just to be thorough and to make sure I did not ignore a potentially powerful tool,
I've tried to use Anchored VWAP with March 24, 2020 and Sep 22, 2020 as anchors.
In my very limited experience, I've found that using moving averages like MA(20)
and eMA(8) would have kept me on trend and out of the trades better than aWAP.
My two cents
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fotchstecker
304 posts
msg #154706
- Ignore fotchstecker |
11/20/2020 4:45:51 PM
Cheese, I know your note was to yourself, but I just wanted to say that I've used 8EMA in a lot of system, too.
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Cheese
1,374 posts
msg #154707
- Ignore Cheese |
11/20/2020 4:55:27 PM
Thanks, fotch.
I also got ema(8) from safetrade, nibor100 and davesaint86.
So many smart people like you here !
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fotchstecker
304 posts
msg #154709
- Ignore fotchstecker |
11/20/2020 8:40:38 PM
Cheese, I'm hardly in that company and am always learning. SF is where I test ideas but most of my dev is in Tradestation. If you ever move to it, let me know I'll get you started in easylanguage and some strategies you can test out.
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