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@psmf: You do not need a separate DataSeries for _VWAP, but can use the plot series. If you replace "Default" under Properties in line 120 with "_VWAP", you can then delete the lines 90, 56 & 29 from bottom to top.
PSMF VWAP indicator is fast and works nicely. It would have been fantastic if PVP (Peak Volume Price) indicator is added with it. I would also request great master of futures.io (formerly BMT) forum Fattails to look at it. His ana series is simply fantastic!
Then NT user can also test the statistical experiment that went on traders lab forum sometimes back. According to that J.Perl's TRADING WITH MARKET STATISTICS threads: in normal situation if vwap>pvp then market has Long bias .. and it will be wrong to go short and vice versa. As such even without PVP indicator (which I feel is likely to be quite resource hungry), one can check that strategy by manually marking PVP line. However, ofc, with a fast PVP indicator it would be much better.
At first sight I do not agree with the idea that the market has a long bias if VWAP > PVP. There are several different cases to be considered:
(1) Days with unimodal distributions
If the point of control (POC, same as PVP) is significantly smaller than the VWAP, this means that the distribution is non-Gaussian and skewed to the downside. The tail points to the upside. If at all, this points to a short and not long bias, as the tail indicates price rejection. But the relative position of today's compared to yesterday's price volume distribution also matters. It is not possible to setup a quick and easy rule.
(2) Double distribution days (bimodal distribution)
Such days have seen a sudden shift in the value area during the trading session. The VWAP typically is located inside the trough between the two volume peaks. The POC is the higher of the two peaks and will typically be confirmed during the afternoon session. If I apply the rule above, this would favour a tendency to mean reversion. Again this depends on the prior days, and I cannot see how such a simple rule may work.
I have noticed the inner band area of your VWAP is very similar to the Developing Value Area indicator. Do you use the Inner Band extremes as "value high and low".
Yes the inner bands can be used as value area high and low. I do use them that way and display the value area from the prior trading day on my chart.
However, the value area calculated from a VWAP can be quite different from the value area as used with market profile. Market profile builds its value area around the mode (point of control), while the value area of the VWAP is based on the mean (VWAP). On single distribution days the two value areas usually align well, but on double distribution days (or triple distribution days, which are pretty rare) the value areas can be quite different. The reason is shown below. The market profile value area is built around the mode (second peak), while the VWAP value area is built around the mean (trough).
Both can be used. The value area calculated from market profile is probably better known. I hope that somebody else answers the question, maybe my friend @tigertrader.