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Òåìà: Èíäèêàòîð VWAP

  1. #1
    ClusterDelta.com Team
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    Èíäèêàòîð VWAP

    Îáñóæäåíèå èíäèêàòîðà VWAP

    Èíäèêàòîð VWAP - ýòî öåíà Volume Weighted Average Price (VWAP), êîòîðàÿ îïðåäåëÿåòñÿ ïóò¸ì ñëîæåíèÿ ñóììû ïðîèçâåäåíèÿ îáúåìîâ íà öåíó (öåíà x îáúåì) è ïîñëåäóþùèì äåëåíèåì íà îáùåå êîëè÷åñòâî îáúåìà.

    Çíà÷åíèÿ VWAP ÷àñòî ïðèìåíÿþòñÿ â òîðãîâûõ ðîáîòàõ êðóïíûõ êîìïàíèé.

    Èíäèêàòîð íàõîäèòñÿ âìåñòå ñ îñòàëüíûìè èíäèêàòîðàìè: http://forum.clusterdelta.com/showthread.php?850

    In finance, volume-weighted average price (VWAP) is the ratio of the value traded to total volume traded over a particular time horizon (usually one day). It is a measure of the average price a stock traded at over the trading horizon.

    VWAP is often used as a trading benchmark by investors who aim to be as passive as possible in their execution. Many pension funds, and some mutual funds, fall into this category. The aim of using a VWAP trading target is to ensure that the trader executing the order does so in-line with volume on the market. It is sometimes argued[by whom?] that such execution reduces transaction costs by minimizing market impact (the adverse effect of a trader's activities on the price of a security).

    VWAP can be measured between any two points in time but is displayed as the one corresponding to elapsed time during the trading day by information provider.

    VWAP is often used in algorithmic trading. Indeed, a broker may guarantee execution of an order at the VWAP price and have a computer program enter the orders into the market in order to earn the trader's commission and create P&L. This is called a guaranteed VWAP execution. The broker can also trade in a best effort way and answer to the client the realized price. This is called a VWAP target execution; it incurs more dispersion in the answered price compared to the VWAP price for the client but a lower received/paid commission. Trading algorithms that use VWAP as a target belong to a class of algorithms known as volume participation algorithms.

  2. 3 ïîëüçîâàòåëÿ(åé) ñêàçàëè cïàñèáî: ÀëåêñàíäðÌîíåòà, Àëåêñåé111, Áàòûð
  3. #2
    Ïîñòîÿííûé ó÷àñòíèê Àâàòàð äëÿ Âåòàëü
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    è â ÷åì åãî ëîãèêà?

  4. #3
    ClusterDelta.com Team
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    Öèòàòà Ñîîáùåíèå îò Âåòàëü Ïîñìîòðåòü ñîîáùåíèå
    è â ÷åì åãî ëîãèêà?
    Ãðóáî ãîâîðÿ ýòî ñðåäíÿÿ âçâåøåííàÿ íà îáúåìå. Áîëüøîé îáúåì âñåãäà áóäåò ïðèòÿãèâàòü ëèíèþ VWAP â ñâîþ ñòîðîíó.

    Îäíîçíà÷íî ïîêà íå ìîãó ñêàçàòü, êàê èìåííî åå íàäî èñïîëüçîâàòü.  ñâîå âðåìÿ ÿ àíàëèçèðîâàë VWAP äàóíòðåíäà è àïòðåíäà. Îáðàòèë âíèìàíèå, ÷òî ìåñòî (öåíà) èõ ïåðåñå÷åíèÿ ìîæåò îêàçàòü ýôôåêò ñîïðîòèâëåíèÿ, íî ýòî òîëüêî ïðåäâàðèòåëüíûå ïîïûòêè.

    Âîîáùåì ýòîò èíäèêàòîð ïðåäñòàâëåí â ðàìêàõ ñåðèè èíäèêàòîðîâ îáúåìà è åãî ïðîèçâîäíûõ. Êàê èìåííî èñïîëüçîâàòü è êàêîå îò ýòîãî ìîæíî ïîëó÷èòü ïðåèìóùåñòâî - çàâèñèò íå òîëüêî îò íàñ, íî è îò âàñ :)

  5. Ïîëüçîâàòåëü ñêàçàë cïàñèáî: Áàòûð
  6. #4
    Ïîñòîÿííûé ó÷àñòíèê
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    èíòåðåñíî, íå÷òî ïîäîáíîå êàæåòñÿ ÿ óæå ïðîáîâàë äåëàòü (ñîîòíîñèòü îáúåì è èçìåíåíèå öåíû, â òòî), íî ðóêàìè ýòî çàòðóäíèòåëüíî
    êîãäà ê òåáå ïðèäåò Áóääà, óáåé åãî..
    Ô.Íèöøå

  7. #5
    ClusterDelta.com Member
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    Ïðîáîâàë ýòîò èíäèêàòîð â ÒÎÑ- âûãëÿäèò òàê



    Åãî çíà÷åíèå ýòî óðîâåíü ïîääåðæêè ñîïðîòèâëåíèÿ è ïîëîæåíèå îòíîñèòåëüíî öåíû ýòî íàïðàâëåíèå òðåíäà
    Ýòî Ìóâèíã ó÷èòûâàþùèé Îáúåì
    Íåäåëüíûé

  8. Ïîëüçîâàòåëü ñêàçàë cïàñèáî: spacca
  9. #6
    Ïîñòîÿííûé ó÷àñòíèê Àâàòàð äëÿ Âåòàëü
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    íà áîëèíäæåð ïîõîæå)

  10. #7
    ClusterDelta.com Team
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    Öèòàòà Ñîîáùåíèå îò Mr.Bags Ïîñìîòðåòü ñîîáùåíèå
    Ïðîáîâàë ýòîò èíäèêàòîð â ÒÎÑ- âûãëÿäèò òàê
    Íåäåëüíûé
    Ýòî íå íåäåëüíûé, ýòî äíåâíûå(!!!) VWAPû çà íåñêîëüêî äíåé (â ðàìêàõ íåäåëè)

  11. 2 ïîëüçîâàòåëÿ(åé) ñêàçàëè cïàñèáî: Dimobile, vengo
  12. #8
    ClusterDelta.com Team
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    Öèòàòà Ñîîáùåíèå îò Âåòàëü Ïîñìîòðåòü ñîîáùåíèå
    íà áîëèíäæåð ïîõîæå)
    Íó, â ïðèíöèïå, â àíàëèçå VWAP èñïîëüçóþòñÿ 70%ûå êàíàëû, êàê çîíà,â ðàìêàõ êîòîðîé äîëæíà õîäèòü öåíà, ñ òåìè æå ïîëîæåíèÿìè, ÷òî âûõîä èç çîíû îáÿçàòåëüíî áóäåò ñîïðîâîæäàòüñÿ âîçâðàòîì.

  13. Ïîëüçîâàòåëü ñêàçàë cïàñèáî: vengo
  14. #9
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    ß ïîïðîáóþ ïðåäëîæèòü ñâîé âàðèàíò èñïîëüçîâàíèÿ VWAP, â ðàìêàõ òîðãîâëè íà 6Å. È òàê VWAP - Volume Weighted Average Price (VWAP) îïðåäåëÿåòñÿ ïóò¸ì ñëîæåíèÿ ñóììû êàæäîé ñäåëêè íà îïðåäåë¸ííûé àêòèâ («öåíà» x «êîë-âî òîðãóåìûõ àêöèé èëè êîíòðàêòîâ») è ïîñëåäóþùèì äåëåíèåì íà îáùåå êîëè÷åñòâî òîðãóåìûõ àêöèé èëè êîíòðàêòîâ. VWAP âêëþ÷àåò êîëåáàíèå öåí â òå÷åíèå òîðãîâîé ñåññèè (îò îòêðûòèÿ äî çàêðûòèÿ).
    ß èñïîëüçóþ Âèâàï ÒÎÑ ñ îòêëîíåíèÿìè ïëþñ îäèí , ìèíóñ îäèí è äîáàâëÿþ ïëþñ äâà è ìèíóñ äâà, ïîëó÷àåì íà ãðàôèêå êðîìå ñåðåäèííîé åùå R1,R2,S1,S2 .
     íà÷àëå êàæäîãî äíÿ ñìîòðþ íà VWAP èíòåðâàë ìåñÿö è çàïèñûâàþ òåêóùèå óðîâíè âèâàï ñåðåäèííóþ è R1,R2,S1,S2, òàê æå ñìîòðþ è îòìå÷àþ íåäåëüíûå ëèíèè âèâàï è R1,R2,S1,S2 íåäåëè.
    Ýòè ëèíèè ðàññìàòðèâàþ òàêèì îáðàçîì - åñëè ìû â äàííûé ìîìåíò íèæå íåäåëè è ìåñÿöà - çíà÷èò ñ÷èòàåì ÷òî ïîòåíöèàë âíèç è íàîáîðîò åñëè öåíà âûøå íåäåëè è ìåñÿöà ââåðõ,
    Ïåðåä íà÷àëîì åâðîïåéñêîé ñåññèè ñìîòðèì óðîâíè ñëåâà íà ãðàôèêå, íàñ èíòåðåñóþò óðîâíè çàêðûòèÿ âèâàï -ñåðåäèííîé ëèíèè è îòêëîíåíèé è ïðîåöèðóåì ýòè çíà÷åíèÿ íà ñåãîäíÿøíèé äåíü.
     ïîäàâëÿþùåì áîëüøèíñòâå ñëó÷àåâ èãðàþ îòáîè îò ñåðåäèííîãî Âèâàï è R1,R2,S1,S2. Î÷åíü õîðîøî îòðàáàòûâàþò óðîâíè ñåãîäíÿøíåãî äíÿ ïðè ñîâïàäåíèè ñ ïðîøëûì óðîâíåì â÷åðàøíåãî äíÿ, òàê æå íåäåëè è ìåñÿöà.
    Ïðèìåðû òîðãîâëè âíóòðè äíÿ íà ÷àðòàõ - Òîðãîâëÿ ïî Âèâàï, êàê áû ãîâîðèò, ñìîòðè íàëåâî èùè óðîâåíü Ïðîøëîãî âèâàïà è R1,R2,S1,S2 , èùè îòáîè. Âñå ýòî ïðèìåíÿþ íà 5ìèíóòêàõ è 233 òèêàõ. Ïîëó÷àåòñÿ , ÷òî âèâàï ïîçâîëÿåò çàõîäèòü ñ î÷åíü êîðîòêèì ñòîïîì, ñíèæàÿ ðèñêè è ïðè ýòîì âûñîêàÿ âåðîÿòíîñòü ïðîôèòà.

    Îáðàùàÿñü ê Äåíèñó, õîòåëà ñïðîñèòü - ìîæíî ëè äîáàâèòü ê Âàøåìó èíäèêàòîðó VWAP R1,R2,S1,S2 êàê â ÒÎÑ íà ñêðèíàõ?





  15. 8 ïîëüçîâàòåëÿ(åé) ñêàçàëè cïàñèáî: astanafx, cross22, pithit, slagger, Varela, vengo, winner108, Áàòûð
  16. #10
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    ×òîáû ðàçúÿñíèòü ïðèíöèï ïðèíÿòèÿ ðåøåíèÿ ñ ïîìîùüþ VWAP è èñïîëüçîâàíèÿ â òîðãîâëå ïðèâîæó ïðèìåð - òîðãîâëè â ïÿòíèöó - ñêðèí ïÿòèìèíóòêà

     ýòîì ïðèìåðå âñå ðåøåíèÿ ïðèíèìàëèñü îòíîñèòåëüíî Âèâàï â÷åðàøíåãî äíÿ(ÿ èñïîëüçóþ óðîâíè â÷åðàøíåãî äíÿ òå , êîòîðûå îáðàçîâàíû ïî çàêðûòèþ äíÿ) è Òåêóùåãî äíÿ òîðãîâëè.

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