My trades based on "new way of pivot trading" and vwap

[vijkris]

Few old posts...

FIRST it gave breakdown failure long at l1 but failed and came down below sterday low can short there.

vertical move up then failure at major pivot high short below that agg pivot.

some good setups today.

 

[jd1234]

Vijkris ji did u find data which u r looking for backtesting?

 

[rjshem]

This extended weekend will use the opportunity to increase my 300 charts bar replay to 600 atleast by loading 2014-2015 data.

This very important hope all do this the more charts u watch the better u become .

 

[vijkris]

Vijkris ji did u find data which u r looking for backtesting?

I use bnf data for backtesting purpose as it is easily available in 1 tf format.

did not load any eq. data.

for eod analysis, vagar11 spoon fed me with 10 yrs data.
Now the location is known, will load it later.

 

[vijkris]

This very important hope all do this the more charts u watch the better u become .

sir In the above pics, most of the entries have been done around pdh,pdl, its failures as well.
So if someone restricts himself to those setups, then win rate will cross 70% na ?
Profits along with adds will definitely follow, no doubts in that..

 

[rjshem]

sir In the above pics, most of the entries have been done around pdh,pdl, its failures as well.
So if someone restricts himself to those setups, then win rate will cross 70% na ?
Profits along with adds will definitely follow, no doubts in that..

Winrate success depends person to person each is different how one manages the trade will be crucial with mm. I think itll be better if someone other than me like niftytaurus whos using it for a while now comment on it .to achieve success one needs to do the basics right no matter what method he trades ie once u see ur entry setup u should pull the trigger with ur predefined mm without bothering trade will succeed or not and also do ppb exit as per ur rules in all trades.once u do these basics right therell be no stopping u .so these basics matter more than ur method in ones success.

 

[server2712]

Ok. Here it is. You can delete Bollinger band code if you don't like it.

_SECTION_BEGIN("Bollinger Bands");
P = ParamField("Price field",-1);
Periods = Param("Periods", 20, 2, 300, 1 );
Width = Param("Width", 2, 0, 10, 0.05 );
Color = ParamColor("Color", colorCycle );
Style = ParamStyle("Style");
Plot( BBandTop( P, Periods, Width ), "BBTop" + _PARAM_VALUES(), Color, Style ); 
Plot( BBandBot( P, Periods, Width ), "BBBot" + _PARAM_VALUES(), Color, Style ); 

a = BBandTop( C,20);
b = BBandBot( C, 20 );

buy=High>a;
sell=Low<b;

Colors = IIf(buy, colorYellow, IIf(sell, colorRed, colorPaleGreen)); 
Plot(Close, "Price", Colors, styleCandle | styleThick);

_SECTION_END();

_SECTION_BEGIN("rsionobv");
r = RSIa(OBV(),21);
Buy= r>50;
Sell= r<50;
Buy=ExRem(Buy,Sell);
Sell=ExRem(Sell,Buy);
cover=r>50;
short=r<50;
Cover=ExRem(Cover,Short);
Short=ExRem(Short,Cover);

Color =IIf(Buy,colorBlue,IIf(Sell,colorred,colorPaleGreen));
Plot(Close, "Price", Color, styleCandle | styleThick);

shape = Buy * shapeUpArrow + Sell * shapeDownArrow;
PlotShapes( shape, IIf( Buy, colorGreen, colorRed ), 0, IIf( Buy, Low, High ) );
GraphXSpace = 5;
_SECTION_END();


_SECTION_BEGIN("vwapmultiday");
// TerryH - [email protected] 3/9/2012
// Move AvgPrice computation before the loop so it's only done ONCE in an array.
// Replace SetBarsRequired with only computing visible bars...back to the start of the oldest time period even if it's "off screen".
// These 2 changes make it run in 1/12th the time. No doubt database dependent on how much time is saved.// VWAP code that also plots 3 standard deviations.
// I think more savings is possible, but will take a harder look to find.

// NOTE: the code is SLOOOOWWWW...can someone help speed it up?
// I tried my best, but can't really do much with the two for-loops...
//
// LarryJR - [email protected]

SetBarsRequired(-2,-2);
_TRACE( "!CLEAR!" );		//For trouble-shooting

//PlotOHLC( O, H, L, C, "Price", colorDefault, styleCandle );

//Just do this once as an array. Saves 40% the compute time from ~ 1 second to ~ .6 seconds
AvgPrice = ( O + H + L + C ) / 4;	

// Store true/false based on a new calendar day...
// Added Weekly, Monthly breaks. 
// Also for futures, need to add break at new trading Day, which is NOT midnight.

period = ParamList( "What period?", "Daily|Weekly|Monthly", 0 );

switch ( period )
{

case "Daily":
    newPeriod = Day() != Ref( Day(), -1 );
    break;

case "Weekly":
    newPeriod = DayOfWeek() == 0 AND Ref( DayOfWeek(), -1 ) != 0;
    break;

case "Monthly":
    newPeriod = Month() != Ref( Month(), -1 );
    break;
}

//--Setup-----------

bi = BarIndex();		// Just shorthand
StartBar = StrToNum("2");	//1st bar == 0. Set to 1 so Ref(xxx, -1) doesn't give an error
EndBar = BarCount -1; 
ExtraBarsRequired = 0;

//CalcRangeAll = ParamToggle( "Calc ALL or VISIBLE?", "VISIBLE|ALL", 0 );		//Option to compute all bars in case of Backtesting or Explore if you add this kind of code.

if ( Status( "action" ) < 3 )		// Limit to visible range unless we're doing Backtest, Explore, Scan, Optimize.
    // In other words, for viewing/commentary we only compute what we can see.
    // Saves add'l 85% the compute time from ~ .6 second to ~ .09 seconds.
{
    //This code finds only the VISIBLE chart area, which may or may not be the most recent day. This let's me look at any day for evaulation purposes.
    FirstVisibleBar = FirstVisibleValue( bi );
    _TRACE( "1st Visible: " + FirstVisibleBar );
    LastVisibleBar = LastVisibleValue( bi );						//Testing shows this returns BarIndex (0 based) values. So, if you want to use in a loop the last value IS the last bar.
    VisibleBars = LastVisibleBar - FirstVisibleBar;			//Used in trouble-shooting.
    _TRACE( "1st Visible: " + FirstVisibleBar + "    Last Visible: " + LastVisibleBar + "    #bars: " + VisibleBars );

    StartBar = FirstVisibleBar;		//We get variable results when there are not 2 periods of data available so we won't show them at all.
    EndBar = LastVisibleBar;
    flag = StrToNum( "0" );				//Force a numeric value

    for ( k = FirstVisibleBar; k > 0; k-- )
    {
        if ( newPeriod[k] )
        {
            flag++;

            if ( flag == 2 ) 							//Need to lookback 2 periods if possible
            {
                StartBar = k;							//Set starting location
                k = 0;										//End the loop
            }
        }
    }

    if ( flag < 2 )												//We have less than 2 periods of history to the left, so we must start displaying no sooner than the 1st newPeriod that is on-screen
    {
        for ( k = 1; k < EndBar; k++ )
        {
            if ( newPeriod[k] )
            {
                StartBar = k;
                k = EndBar;
            }
        }
    }
}

_TRACE("1st Required: " + StartBar + "    Last Required: " + EndBar + "    Extra Bars: " + ExtraBarsRequired + "    Bar in Database: " + BarCount );

// Initialize loop variables
SumPriceVolume = 0;
totVolume = 0;
VWAP = 0;
stddev = 0;
newPeriodindex = EndBar;		//Move way out until we find a "real one"
Variance = 0;
//Initialize the plotted variables for early data we cannot compute without getting variable results.
VWAP = C[1];
stddev_1_pos = stddev_1_neg = stddev_2_pos = stddev_2_neg = stddev_3_pos = stddev_3_neg = C[1];

// we must use a loop here because we need to save the vwap for each bar to calc the variance later

for ( i = startBar; i <= EndBar; i++ )
{
    // only want to reset our values at the start of a new period
    if ( newPeriod[i] )
    {
        SumPriceVolume = 0;
        totVolume = 0;
        newPeriodindex = i;  // this is the index at the start of a new period
        Variance = 0;
    }

    // Sum of Volume*price for each bar
    sumPriceVolume += AvgPrice[i] * ( Volume[i] );

    // running total of volume each bar
    totVolume += ( Volume[i] );

    if ( totVolume[i] > 0 )
    {
        VWAP[i] = Sumpricevolume / totVolume ;
        VWAPtemp = VWAP[i];
    }

    // now the hard part...calculate the variance...
    // a separate calc from the start of each day - note it requires the vwap from above
    // also note, we calculate starting at the first bar in the new day to today to the curent bar
    Variance = 0;

    for ( j = newPeriodindex; j < i; j++ )
    {
        Variance += ( Volume[j] / totVolume ) * ( Avgprice[j] - VWAPtemp ) * ( Avgprice[j] - VWAPtemp );
    }

    sqrtVariance = sqrt( Variance );

    stddev_1_pos[i] = VWAPtemp + sqrtVariance;
    stddev_1_neg[i] = VWAPtemp - sqrtVariance;

    stddev_2_pos[i] = VWAPtemp + sqrtVariance * 2;
    stddev_2_neg[i] = VWAPtemp - sqrtVariance * 2;

    stddev_3_pos[i] = VWAPtemp + sqrtVariance * 3;
    stddev_3_neg[i] = VWAPtemp - sqrtVariance * 3;
}

//Prior period VWAP centerline
PPC = ValueWhen( newPeriod == True, Ref(VWAP, -1), 1);
Plot ( PPC, "PPC", colorBlue, styleDots|styleNoLine|styleNoRescale );
Plot ( VWAP, "VWAP", colorPink, styleLine );
Plot ( stddev_1_pos, "VWAP_std+1", ColorGrey40, styleDashed );
Plot ( stddev_1_neg, "VWAP_std-1", ColorGrey40, styleDashed );
Plot ( stddev_2_pos, "VWAP_std+2", ColorGrey40, styleDashed  );
Plot ( stddev_2_neg, "VWAP_std-2", ColorGrey40, styleDashed  );
Plot ( stddev_3_pos, "VWAP_std+3", ColorGrey40, styleDashed  );
Plot ( stddev_3_neg, "VWAP_std-3", ColorGrey40, styledashed );
_SECTION_END();

_SECTION_BEGIN("pivotstext");
GraphXSpace = 5 ;
SetChartOptions(0,chartShowArrows|chartShowDates);

Plot(C,"Close",colorBlack, styleCandle);
ppl = ParamToggle("Plot Pivot Levels","Off|On",1);

numbars = LastValue(Cum(Status("barvisible")));
fraction= IIf(StrRight(Name(),3) == "", 3.2, 3.2);
hts = -33.5;

/* This code calculates the previous days high, low and close */
Hi1 = IIf(Day()!=Ref(Day(),-1),Ref(HighestSince(Day()!=Ref(Day(),-1),H,1),-1),0);
Hi = ValueWhen(Day()!=Ref(Day(),-1),Hi1,1);
Lo1 = IIf(Day()!=Ref(Day(),-1),Ref(LowestSince(Day()!=Ref(Day(),-1),L,1),-1),0);
Lo = ValueWhen(Day()!=Ref(Day(),-1),Lo1,1);
Cl1 = IIf(Day()!=Ref(Day(),-1),Ref(C,-1),0);
C1 = ValueWhen(Day()!=Ref(Day(),-1),Cl1,1);

//----------------------------------------------------------------------------------

/* This code calculates Daily Piovts */

rg = (Hi - Lo);
bp = (Hi + Lo + C1)/3; bpI = LastValue (bp,1);
r1 = (bp*2)-Lo; r1I = LastValue (r1,1);
s1 = (bp*2)-Hi; s1I = LastValue (s1,1);
r2 = bp + r1 - s1; r2I = LastValue (r2,1);
s2 = bp - r1 + s1; s2I = LastValue (s2,1);
r3 = bp + r2 - s1; r3I = LastValue (r3,1);
s3 = bp - r2 + s1; s3I = LastValue (s3,1);
r4 = bp + r2 - s2; r4I = LastValue (r4,1);
s4 = bp - r2 + s2; s4I = LastValue (s4,1);

if(ppl==1) {

PlotText("                                                  Pivot = " + WriteVal(bp,fraction), LastValue(BarIndex())+(numbars/Hts), bpI +0.05,colorwhite );
PlotText("                                                  r1 = " + WriteVal(r1,fraction), LastValue(BarIndex())+(numbars/Hts), r1I +0.05, colorwhite);
PlotText("                                                  s1 = " + WriteVal(s1,fraction), LastValue(BarIndex())+(numbars/Hts), s1I +0.05, colorwhite);
PlotText("                                                  r2 = " + WriteVal(r2,fraction), LastValue(BarIndex())+(numbars/Hts), r2I +0.05, colorwhite);
PlotText("                                                  s2 = " + WriteVal(s2,fraction), LastValue(BarIndex())+(numbars/Hts), s2I +0.05, colorwhite);
PlotText("                                                  r3 = " + WriteVal(r3,fraction), LastValue(BarIndex())+(numbars/Hts), r3I +0.05, colorwhite);
PlotText("                                                  s3 = " + WriteVal(s3,fraction), LastValue(BarIndex())+(numbars/Hts), s3I +0.05, colorwhite);
PlotText(" r4 = " + WriteVal(r4,fraction), LastValue(BarIndex())+(numbars/Hts), r4I +0.05, colorwhite);
PlotText(" s4 = " + WriteVal(s4,fraction), LastValue(BarIndex())+(numbars/Hts), s4I +0.05, colorwhite);
}

//--end---------------------------

Getting following error on Ami 6.00

sqrtVariance = sqrt( Variance );

stddev_1_pos = VWAPtemp +

Error 29.
Variable 'vwaptemp' used without having been initialized.

Some one can help.

Thanks.....

 

[ankur07090]

Winrate success depends person to person each is different how one manages the trade will be crucial with mm. I think itll be better if someone other than me like niftytaurus whos using it for a while now comment on it .to achieve success one needs to do the basics right no matter what method he trades ie once u see ur entry setup u should pull the trigger with ur predefined mm without bothering trade will succeed or not and also do ppb exit as per ur rules in all trades.once u do these basics right therell be no stopping u .so these basics matter more than ur method in ones success.

Sir,

How much filter points should be used while taking entry in Stock Futures.
Ideally what points it should be like 0.20, 0.50 or 1 Rs...?

 

[rjshem]

Sir,

How much filter points should be used while taking entry in Stock Futures.
Ideally what points it should be like 0.20, 0.50 or 1 Rs...?

U can use .20 or .50 whatever suits u.

 

[vagar11]

I use bnf data for backtesting purpose as it is easily available in 1 tf format.

did not load any eq. data.

for eod analysis, vagar11 spoon fed me with 10 yrs data.
Now the location is known, will load it later.

That is 16 years data.

Earlier I had data from 80's and 90's too. Might be still there in the old laptop.