applying V-WAP to an index

[breadman]

I have being trying to apply my V-WAP analysis to an index on Tradestation using this code
[LegacyColorValue = true];

inputs:
UpColor(Blue),
DownColor(Red);

vars:
Answer(0),
U_MPD (0),
L_MPD (0);


Answer = VWAP_H;
U_MPD = VWAP_H + ((highD(0)-lowD(0))/2);
L_MPD = VWAP_H - ((highD(0)-lowD(0))/2);

if AvgPrice >= Answer then
SetPlotColor(1,DownColor)
else
SetPlotColor(1,UpColor);

Plot1(Answer,"VWAP");
Plot2 (U_MPD,"Upper");
Plot3 (L_MPD,"Lower");

However it does not want to plot on any of the indexes, it works fine on shares.
Any suggestions greatly appreciated

 

[Trader333]

Unless the index has accompanying volume then it wont work.


Paul

 

[breadman]

I was about to answer that the INDU on tradestation does have the volume with it, however it seems that although the volume appears on the quote screen and it updates on a regular basis this does not transfer to the chart, no volume data appears. Looking at it further it would appear only to show daily volume on the charts not intra-day volume.
i shall make some enqs with tradestation.
Cheers for your help

 

[garethb]

I think it's pretty common for indices not to have accompanying volume figures intraday but only to provide a daily figure after the event and often with quite some delay.

You could use either a futures contract or etf as a proxy for the index but I suspect the equivalent instruments for $INDU (@YM and DIA ) may not have very representative trading volume. QQQQ or @NQ on the Nas100 or Spy/@ES on the S&P might be better but not if you really want to model $INDU.

Regards,

Gareth