Vwpa

[henry]

Hi

Appreciate much if anyone could advise how to write a formula (in NeoBreadth) to track a different basket of stocks and investigating how they are trading with respect to their volume-weighted average prices (VWAP). The idea is not just to track the absolute numbers, but to identify significant shifts in those numbers. to screen stocks for how they're trading relative to VWAP; the key is filtering moves above and below VWAP, so that you're not just catching random noise around a particular price.

Thanks

[Bruce DeVault]

There is a current day vwap indicator in formula available through the blog article at http://newsletter.neoticker.com/2006...-based-pivots/. With this, you could use indicator wizard to make a definition that compares the last price to the vwap value, and set the type to sum to sum those conditions (true will be equal to 1, so the effect will be to count the components where the condition is true). You can also use type percent to return the answer as a percentage instead if you prefer it to be normalized for the size of the symbol list.

[Lawrence Chan]

To find out the # of symbols trading above their respective current day VWAP is easy.

A simple comparison of the last price against the current day vwap will give you 0 or 1 answer.

Define your NeoBreadth breadth symbol to take the sum of the calculation will take care of the rest.

[henry]

Hi Bruce,
What I like is to compare specifically what is the last price value different from Vwap value of each Individual Stock (not true equal to 1 value; and calculate both either above or below Vwap value, and sum them up (example: S&P500 stocks) in real time. I guess Formula like "Last -CurrentDayVwap" wouldn't work as what I want, rigth? Appreciate much if you could enligthen me with the rigth Formula!

Thanks

[Bruce DeVault]

A formula like "last > DayVWAP" would probably do it in real-time, provided NeoBreadth is enabled all day. For a historical formula, you would be using close and CurrDVWAP instead.

[Support Team]

Test real-time formula in a quote window to verify syntax of the formula before putting it into NeoBreadth real-time calculation.

[henry]

How about those stock which are below Vwap, is that mean I had to use another Formula like 'Lask<DayVWAP" in NeoBreadth, and use Substraction indicator to get the ballance of the above and below VWAP's value on the third pane of the Charts; Or are there any single formula could calculate the ballance of the those stocks above VWAP and those are below?

Thanks

[Bruce DeVault]

If there are 500 stocks in the S&P 500, and there are X above their VWAP, then there would have to be 500 - X that are not above their VWAP, so the delta would be X - (500 - X) which would be 2X - 500 (with a result ranging from 2 * 0 - 500 or -500 to 2 * 500 - 500 or +500). Is that not what you are looking for? It should not require a second NeoBreadth unless the number of symbols in the list is unknown, or unless you need to account for price being exactly VWAP (neither above nor below, which is improbable unless VWAP is rounded.) However, NeoBreadth only does simple sums, percentages, or averages - it doesn't do post-sum formulas like "2X - 500". What I would suggest instead is that you consider looking at the percentage basis instead of counting them by selecting type percent, that way it simply fluctuates 0 to 100. That would be simpler, and have essentially the same interpretation.

[henry]

I tried both Last>DayVWAP and Close>DayVWAP on Neobreadth with style either Pct and Sum; all didn't work properly on 1m chart. Pls advise.

Thanks

[Bruce DeVault]

See also http://forums.neoticker.com/showthread.php?t=51301.

[voha]

I find VWAP intraday to be very useful in addition to just daily.