Sell or buy at vwap?

• 03/14/2020 at 2:04 PM #122118
  Bankman

  Hi,

  I’m new to ProRealTime and i hope my problem is easy to solve for some of you.

  I wonder if its possible to ad a sell condition to my long position when price crosses the daily vwap?

  Its easy to add the condition for MA for example, but i can’t get it to work with vwap, even though its possible to add the condition with an alarm..

  Any help is greatly appreciated!

  

  Bankman

  Participant

  Topics: 1

  Replies: 1

  Been thanked: 0 times
  03/14/2020 at 2:13 PM #122119
  GraHal

  You talking manual trade or auto trade?

  If auto trade then be loads easier all round if you post your code?

  

  GraHal

  Participant

  Topics: 204

  Replies: 8432

  Been thanked: 2048 times
  03/14/2020 at 2:34 PM #122120
  Bankman

  Okey,

  // conditions to exit long positions indicatorl = Average[50](close) c2 = (close CROSSES OVER indicatorl) IF c2 THEN SELL AT MARKET ENDIF

  1 2 3 4 5 6 7

  // conditions to exit long positions indicatorl = Average[50](close) c2 = (close CROSSES OVER indicatorl)   IF c2 THEN SELL AT MARKET ENDIF

  so this is how it looks for MA50. I basically want the same thing, but with vwap daily. I tried to change it to vwap but it didn’t work.

  

  Bankman

  Participant

  Topics: 1

  Replies: 1

  Been thanked: 0 times
  03/14/2020 at 2:46 PM #122121
  fifi743

  moy = (high+low+close)/3 W = (moy*Volume)/Volume return w

  1 2 3

  moy = (high+low+close)/3 W = (moy*Volume)/Volume return w

  The vwap formula is just that.

  1 user thanked author for this post.

  GraHal

  

  fifi743

  Participant

  Topics: 9

  Replies: 852

  Been thanked: 401 times
  03/14/2020 at 3:02 PM #122122
  GraHal

  Bankman … remember there is no volume on Fx.

  There is volume on Indexes and Shares.

  

  GraHal

  Participant

  Topics: 204

  Replies: 8432

  Been thanked: 2048 times
  03/14/2020 at 11:24 PM #122152
  Vonasi

  Also bare in mind that VWAP resets at the start of a day and is very volatile until there is a decent sized data sample to calculate the average on so if you trade early in the day expect any VWAP based exit to be easily hit.

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1810 times
  03/16/2020 at 11:07 AM #122230
  Nicolas

  VWAP formula is:

  d = max(1, intradaybarindex) VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume)

  1 2	d = max(1, intradaybarindex) VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume)

  (reset on each new day).

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20829

  Been thanked: 4742 times
• Author
  Posts