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From: | "G Stolwyk" <stolwyk@wave.co.nz> |
Date: | Thu, 4 Oct 2001 13:36:00 +1200 |
Robin,
Traders will use VWAP and know the shortcomings
in those cases, you refer to.
The dumping of a very large parcel is a case in
point. Previous trades may have been small volume ones with say much higher
prices.
However, it remains a practical tool. Stockness
will show VWAP as well as actual trades and volumes. The trader will look at
both as well as his TA.
Guyana2 gives the impression that the
programming was done according to the concept. The definition of VWAP is
not new.
It is a common process in sales where volumes and
corresponding prices are used to derive a mean weighted price. I have used it
frequently to obtain other values.
By nature, trading never stops and VWAP is
constantly being updated.
An important contribution of yours, I feel. Your
post certainly defines the limits!
Gerry
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