VWAP - Volume average weighted price

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megarain
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I know nothing, so forgive me if this is all bollox.

Playing around with the new stored values VWAP feature, I created (based on a Dallas crib), this desktop, which shows the VWAP at various timestamps.
vwap example 1.jpg
Here are the graphs associated with the runners.
vwap example graphs.jpg
It seems to me, the VWAP is heavily distoted by whats happened, much, much earlier.

Wouldnt it be better, to just turn on the VWAP, at say 15 mins before the event ? or have the option to ?
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jimibt
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VWAP is an interesting data element. On its own, it only provides an overview of the trend (but not always). Where it becomes interesting is where you examine the crossover on the VWAP and LTP. Of course, this isn't a secret sauce that works time after time, but given the right underlying setup, this crossover can be a pretty valuable signal and more often than not (given the setup being in place), the price will react aggressivley to this encroachment. the trick is knowing how to measure not just the target runner's VWAP/LTP but to also be able to monitor the subtle nuances of the interplay between the other runners when such cross overs (and other mechanics) occur.

the exposure of this element as a stored value was (for me) an excellent move on BA's part as this was something that I've dallied with for quite some time. still experimenting, but hopeful that a simplified model can be derived and implemented via excel integration.
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megarain
Posts: 2041
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Thx for the info.

Am sure u probably aware, the release now includes the ability to do some calcs within guardian.

Just playing around quickly, u can create this :
vwap with division example.jpg
vwap didion guardian rules.jpg
Will no doubt waste a few hrs, looking for the rainbow ...
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The Griffin
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jimibt wrote:
Mon Oct 01, 2018 8:23 pm
VWAP is an interesting data element. On its own, it only provides an overview of the trend (but not always). Where it becomes interesting is where you examine the crossover on the VWAP and LTP. Of course, this isn't a secret sauce that works time after time, but given the right underlying setup, this crossover can be a pretty valuable signal and more often than not (given the setup being in place), the price will react aggressivley to this encroachment. the trick is knowing how to measure not just the target runner's VWAP/LTP but to also be able to monitor the subtle nuances of the interplay between the other runners when such cross overs (and other mechanics) occur.

the exposure of this element as a stored value was (for me) an excellent move on BA's part as this was something that I've dallied with for quite some time. still experimenting, but hopeful that a simplified model can be derived and implemented via excel integration.
Hi jimibt

I have been wondering about this VWAP/LTP crossover but am doing it by eye (I have LTP & VWAP as stored values and have them displayed in my Additional Info at the top of my ladder) and tracking them to see if VWAP forms support/resistance or signal for a reversal - I am currently unclear how useful it is although I've seen evidence for both.

I am sure the answer is on here somewhere but how do I capture this data live in Excel and chart it/analyse? If someone could point me in the direction of the right thread I'd be grateful

Thanks
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