Thoughts on Day/Swing Trading

ST this is how its calculated... i havent referred anywhere but was a little good in maths.. well actually im still a lil good..... hey i scored centum once in college

allrite enough of the kidding.... heres how its calculated....

lets assume the following scenario....

9.30 - 50 qty of nifty traded for 5000.00
10.00 - 100 qty of nifty traded for 5050.00
10.30 - 200 qty of nifty traded for 5100.00

the average of above @ 10.30 would be = ((50*5000)+(100*5050)+(200*5100))/(50+100+200)

=1775000/350

=5071.43

I hope im clear....

Krishna.

u are 100 % right !!!it is calculated in same way as you explained,but on tick to tick basis,weighted of every tick is calculated ,and then calculated as you explained

yup.... i just put it that way so that it remains simple and easy t o understand and calculate......

I think it is calculated on 1-minute data.

On 1-minute data, Typical price is arrived at .

Typical Price = (H+L+C)/3 (for each 1 min data)

This TP is multiplied by Volume to get VP.

And cumulative VP divided by cumulative Volume is the VWAP.

I calculated this VWAP for yesterdays data on 1-minute charts and arrived
at the same figure (5100.xx) available on nse website.

Hi HNI, you can pm me now! Thanks

any idea how simple moving average calculated.. i guess volumes are not considered here ?

My 2 cents on VWAP calculation
tick, 1min, 30min, day is our own perception. Using average of H,L,C is another such by product of left brain people. Once can alway challange why open is excluded, why don't give move weight to closing price and use H,L,2*c etc.

IMO, most precise calculation shd be on based on Time and Sales date that takes into consideration the price and volume of each trade. If I am not mistaken, Even tick data accumulates value from few trades and give OHLC prices for it.

I started this excerciese once upon a time, and finally gave up due to different conflicting arguments confusing me. Though VWAP is one of important input used by Algo traders/Bots besides heavily using other Statistical analysis techniques.

Happy trading.

...........Professionals go broke by taking small profits.

I keep getting many pms and though I do not consider that I have answers /solutions for all trading problems I try to help because I had similar questions when I started out in trading many years back as full time trader and I had no one to ask these doubts.

One such pm came today and I am quoting the same without disclosing the name of the sender ....as I thought many will have this question in their minds.

Dear Smart_trade,

"I am having problem managing my trades. I have been able to make consistent profits of about 500 Rs to 1000Rs in 1/2 lots of Mini-nifty.
I don't want to go for nifty because i am not yet fully confident.
But i have a problem now, even though my profits are good, due to STT/brokerage and other charges are high for futures.
So my account has been in negative even though profits are positive due to multiple entries and exits.

Is there any advice? I know basics of options . Seeing futures , can i trade in option?
I have traded options before.
Your advice on the same would be helpful.

Thank you "

My reply to him is as under :

Hello ****,

I do not accept that because of STT and brokerage,the account goes into loss. It goes into loss due to too many small trades,and ocasional large loosing trades......avoid both these. When you take a Nifty Futures trade you should normally expect atleast 10-12 points minimum run ( unless you are scalping ).The STT and other charges will take away Rs 2 to 2.5 max......you should also catch some trades which will give you 30-35 or 40 points.

There is no problem in trading with options. But that is not a solution to your problem as 10 points move in futures will give you only 5 points move in options.....so trading futures is no way restricts the profitability as out of 10 points move we make 8 points in future ....but in options the same move will give you 5-.05 or 4.5 points profits....

Your problem is not STT/brokerage but too many trades and small trades...try to overcome that and you will be fine.

But if you so desire, you can trade options.But make sure options do not give you false sense of security and you dont make large losses by overstaying in options positions.

We must have some big trades to take care of small profit/loss/scratch trades we will always have.

My signature which says "While amateurs go broke by taking large losses,professionals go broke by taking small profits...... William Eckhardt in New Market Wizards aptly describes the problem which is very basic problem in trading........every trader has to address this before he achieves trading success.

Smart_trade