Quote from: Aido on June 05, 2013, 09:26:10 PM

I'll let the code answer this:

https://github.com/aido/AidoATP/blob/master/src/main/java/org/aido/atp/TrendTradingAgent.java#L267

Code:

if (currentBid.isGreaterThan(vwap)) {
tradeIndicator.put("VWAPCross_Up",true);
} else if (currentAsk.isLessThan(vwap)) {
tradeIndicator.put("VWAPCross_Down",true);
}

So, VWAPCross_Up is true when last price > VWAP (i.e. current price has crossed up above VWAP, up trend) and VWAPCross_Down is true when last price < VWAP (i.e. current price has crossed down below VWAP, down trend).

~~Maybe~~ Probably my choice of terms 'up' and 'down' was not the best.

The VWAP Cross indicator should probably be used in tandem with one of the other indicators.

Although, looking at the code now my description in the README isn't quite accurate. It uses current bid and current ask instead of last; a slight difference.

This taken into consideration if I want to use vwapcross algo correctly should my ask and bid logic look like this:

ask_logic: ADS_Down && VWAPCross_Down
bid_logic: ADS_Up && VWAPCross_Up

Or did I completely misunderstand the readme:

Quote

The trend observer functionality constantly monitors the market for trends. A combination of the Advance/Decline Spread, SMA and EMA algorithms decide what way the market is trending.

Market Trending Down = Look at buying
Market Trending Up = Look at selling
Once it is decided the trend is up (ask) or down (bid) it then compares the last transaction to the VWAP.

The ratio of last price versus VWAP is used as a waterline to make the final determination that we will take an action.

If trend = down & last < VWAP then buy
If trend = up & last > VWAP then sell