Now that trading for the year of 2016 is complete, Initial Balance stats for @ES have been updated and posted. If you haven't integrated the Initial Balance into your trading plan take a look at the statistics on http://indybyharvey.weebly.com/initial-balance.html and then consider subscribing to the indicator for Tradestation on the AppStore at https://tradestation.tradingappstore.com/products/InitialBalance
December 7, 2016 saw the SPY equity and @ES futures markets put in a strong uptrending day. When the day was done, the ESZ16 contract closed the RTH session 11 points higher than the RTH VWAP as can be seen in the following chart which has both VWAP and VWAP.Delta indicators inserted:
I wondered if that delta was unique or significant in any manner and whether it might serve as a guidance for what to expect in the following trading session. To do that I created a "down and dirty" indicator that listened for the VWAP value and printed the value when the time of the variable was 1515 (equity index futures closing time when the chart is in exchange timezone).
Click this link to download the text file for the indicator. The code includes some comments so that you can create the same or similar indicator for yourself. Start up the TradeStation development environment paste in the code as a new indicator, verify it and you should be ready to go.
Click here if you are not familiar with the TradeStation development environment.
The indicator prints the date, time, and vwap delta to the EasyLanguage Print Log (on your TS platform, click view->Easylanguage print log to open a window that displays the log).
Now to capture and analyze the data:
It took a while, but all products that I planned to update, or create, this summer have been released to the TradeStation AppStore, click here to see my indicators on that store. The changes are as follows:
An exclusive access beta of the next release of the Automatic Fibonacci Retracements Combination Pack is underway. The sole change to the indicators will be the support of share and tick charts by the indicators Fibs.RTH and Fibs.ETH. The following are pictures of Fibs.RTH on an ESU16.D chart with intervals of 5 minutes, 25000 shares and 2500 ticks:
If you are a paying subscriber, you can use the contact page to request participation in the beta test. The test period should last about one month and then the update will be available to all subscribers.
TradeStation created an ecosystem where they linked their PC trading platform with a web-based AppStore to allow third parties to extend the platform with indicators and strategies. I am one of those “third parties.”
As my subscriber base increased, it became obvious that I needed a more effective mechanism to communicate with, and to support those subscribers. This web site will be an evolving effort towards that end.
Please let me know if you have any ideas or suggestions.