intraday VWAP.

dzhxs3

90ufo

Brian Shannon sometimes mention 2-day VWAP, when he looks at 2-day price action.   
Do you find VWAP better than MA?  
I found the support/resistance that Brian Shannon mentioned usually match the support / resistance of 5min*50ema.  (didn't do thorough research, so I am not sure)
  
I've been using 5min*50ema.   My impression is more people use MA (EMA or SMA) than VWAP to identify support / resistance.    These potential support/ resistance levels are like a self-fulfilled prophecy, the more people follow, the more likely it will become true, so follow the one that most people use is better.

NumberRules

能不能把你的AmiBroker代码贴一下。谢谢！
CoolMax 发表于 2009-2-15 22:53

算法很简单， investorpedia有介绍，“VWAP is calculated by adding up the dollars traded for every transaction (price multiplied by number of shares traded) and then dividing by the total shares traded for the day.”

其中一种比较popular的coding 如下，用close price结算，

_SECTION_BEGIN("Intraday VWAP");

Intraday_Bars = 1 + BarsSince( Day() != Ref(Day(), -1));
StartBar = ValueWhen(TimeNum() == 093000, BarIndex());

IIf (BarIndex() >= StartBar,
VWAP = Sum (C * V, intraday_bars  ) / Sum(V,Intraday_Bars),0);

Plot (VWAP,"VWAP",colorWhite);

_SECTION_END();

当然也可以用（H+L）/2来算，就是如何取平均值的问题，差不离几。

NumberRules

Brian Shannon sometimes mention 2-day VWAP, when he looks at 2-day price action.   
Do you find VWAP better than MA?  
I found the support/resistance that Brian Shannon mentioned usually match the s ...
90ufo 发表于 2009-2-15 23:56

no arguement，我觉得2day vwap没啥用，因为有gap。

你应该用你觉得舒服的trending system。