manucastle
10-13-2011, 08:35 AM
Yet another technical indicator. I will keep an eye on it to see if it us useful :-
Trev
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Time-Weighted Average Price (TWAP): A New Approach
By Frederic Palmliden | CMT, Senior Quantitative Analyst, TradeStation Labs
Summary
The Time-Weighted Average Price (TWAP) is defined as the average price of a security over the course of a specified period of time. The TWAP is traditionally calculated by first averaging the open, high, low, and close prices for each bar and then calculating the average of those averages as time progresses. The problem is that there is often a difference between the open, high, low, and close prices and where a security actually spends the most time in any given bar. Therefore, the traditional TWAP may at times be incorrect, especially in the short run. The technical indicator introduced in this paper reveals a new approach to the TWAP calculation intended to improve its accuracy.......................
http://www.tradestation.com/education/labs/analysis-concepts/time-weighted-average-price
Trev
==============================================
Time-Weighted Average Price (TWAP): A New Approach
By Frederic Palmliden | CMT, Senior Quantitative Analyst, TradeStation Labs
Summary
The Time-Weighted Average Price (TWAP) is defined as the average price of a security over the course of a specified period of time. The TWAP is traditionally calculated by first averaging the open, high, low, and close prices for each bar and then calculating the average of those averages as time progresses. The problem is that there is often a difference between the open, high, low, and close prices and where a security actually spends the most time in any given bar. Therefore, the traditional TWAP may at times be incorrect, especially in the short run. The technical indicator introduced in this paper reveals a new approach to the TWAP calculation intended to improve its accuracy.......................
http://www.tradestation.com/education/labs/analysis-concepts/time-weighted-average-price