Some Work In Progress: Pivot Points Using “VWAP” Instead Of “Close”

One thing I have sporadically messed around with is this: What if you made a new Pivot Points calculation, but instead of using yesterday’s High, Low and Close, you used yesterday’s High, Low, and End-of-Day VWAP? Wouldn’t that give you a more “value” based pivot point calculation?

I leave this as an exercise for the reader, as I kind of lost interest with my ADD self and didn’t want to write an article. But since it might be interesting to someone, here it is as a “beta”.

My initial looks said it made the pivot levels wider in general, which I’m not sure is what we would want. In any event, the code is freely available in my “Work in Progress” page under the name “NewPivotVWAPSTUDY.ts”. Mess around with it and feel free to comment on any ideas or observations you may have!

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5 Responses to “Some Work In Progress: Pivot Points Using “VWAP” Instead Of “Close””

  1. RappidFyre Says:

    Interesting concept –

    Suggestion: What if you were to take Welles Wilder’s approach to A.T.R. with an initial look back period of 9 days. Then calculated the data to give you a 3 day average, sliced into daily calculations (sort of a sqrt /3 concept) and used the averaged High to project a (F.P.H.) Future Pivot High off the current Pivot and an averaged Low to project the (F.P.L) Future Pivot Low?

  2. Prospectus Says:

    I don’t know. To me, indicators have to have some underlying thesis or model rather than just pulling some number or equation out of the air. What would be the dynamic that the ATR type method would be quantifying?

  3. RappidFyre Says:

    Volatility and Price Points. But for the matter of experimenting with the dynamics for your (W.I.P.) you implanted Volume Weighted Average Price. By suggesting A.T.R. I was simply looking at deriving at an overall daily range average based on the volatility of the day, price points and utilizing the result as part of the equation in the experimental pivot formula.

  4. Prospectus Says:

    Okay, I see what you’re saying now. I can see that possibly replacing the calculation for R and S levels. I don’t know what sense it would make as the pivot itself. I’d be interested to see what you find if you code that up and make some observations.

    Too many ideas, too little time!

  5. Sputnik Says:

    Just discovered your blog, very interesting approach.

    I tried something similiar too. I never found any value using the high and low, but the end-of -day closing value is very important in my trading. Here’s an example : http://www.sputnik.to/archives/87-Pivots-based-on-vwaps.html

    Thank you for sharing your ideas. Good Trading

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