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Broker: Advantage, Trading Technologies, OptionsCity, IQ Feed
Trading: CL, NG
Posts: 1,038 since Jul 2010
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That's correct. VWAP value (area between the two 1st SD levels) is essentially the same as the other variations but provides a smoother point of reference.
We opened up in ON balance...right at yeaterdays POC
Saw inititave buyers on the open
went long at ETH vwap 1st Dev lows and yesterdays POC
From what i can see we could see a nice move up here if we can break and hold above GLOBEX highs
" I will follow my rules, I will take my stops, I will be disciplined and i will work with the market....NOT AGAINST IT! Professional mind control is the key"
I noticed that the ETH VWAP and the HVN for the same period were close to the same price level at the open. This implies that the distribution for the ON session was normal and not skewed. This has implication to trade the extremes, particularly when combined with a FBO from the ON high.
Question.. do you look at type of distribution of volume(i.e. normal or skewed) to help you to determine to fade extremes?
I bailed long when we came back into balance and broke below ETH vwap
Want went for a short as we rejected RTH vwap value
Perfect position as usual Ben ....thought we were going to go higher today from this morning open drive
" I will follow my rules, I will take my stops, I will be disciplined and i will work with the market....NOT AGAINST IT! Professional mind control is the key"
The chart attached has a volume profile that has changed since the open.. but at the open it was a normal (bell shaped distribution) with the highest volume node(HVN) being almost equal to the VWAP.
Since VWAP is based on volume and the distribution of the volume is bell shaped(normal) with the HVN and VWAP equal, it is the environment ripe for Reversion to mean(RTM) trading statisticially. When the ON high was a FBO, it made sense to go short as a RTM trade.
This would be in contrast to where the VWAP and volume distribution did not match and the distribution was skewed(either a "P" or a "b").. This would be more indicative of a trend and not a RTM possibly.
Anyhow, I am really just new to this MP stuff and trying to understand how to incorporate VWAP and MP into my trading at the open. Some of what I have said is conjecture on my part based on limited understanding of VWAP , but some basic understanding of statistics... I have never traded VWAP at all, so I may have all of this improperly framed.
So I would appreciate any insight you may have as to the conditions as when you look to trade the extremes(RTM) using VWAP. I would take it you do not look at VPOC and its relation to to VWAP or the volume profile.
....thought we were going to go higher today from this morning