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VWAP for stock index futures trading?


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VWAP for stock index futures trading?

  #61 (permalink)
 
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 bobwest 
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srgtroy View Post
Also, remember, just because you're paranoid doesn't mean a liquidity seeking algorithm isn't out to get you.

A little intentional absurdity is good, after all the unintended absurdity that was bouncing around in this thread for a while.

Bob.

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  #62 (permalink)
 
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 Silvester17 
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indeed a very useful tool

there're already many threads with a lot of information. the main thread would be here:




another interesting one is this one. a setup I still pay close attention to:




also I would recommend to read the posts from @Fat Tails in the mentioned threads. very informative and the best you can find about this subject.

as a side note, I wouldn't put too many vwap's on your chart. if you use eth, rth, weekly and monthly, we are talking about 28 lines on your charts (including the bands). and then you could also add yesterday's, prior week and prior month. way too many reasons or excuses to take a trade or not to take a trade. of course all of them are valuable, and this is just my personal preference

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  #63 (permalink)
 
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 michaelleemoore 
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Silvester17 View Post
indeed a very useful tool

there're already many threads with a lot of information. the main thread would be here:




another interesting one is this one. a setup I still pay close attention to:




also I would recommend to read the posts from @Fat Tails in the mentioned threads. very informative and the best you can find about this subject.

as a side note, I wouldn't put too many vwap's on your chart. if you use eth, rth, weekly and monthly, we are talking about 28 lines on your charts (including the bands). and then you could also add yesterday's, prior week and prior month. way too many reasons or excuses to take a trade or not to take a trade. of course all of them are valuable, and this is just my personal preference

Since Silvester raised the idea of too many lines, let me clarify. I don't use SD lines. They're probably useful for traders with larger targets than I use, but for me, they're not that helpful. I do look at them on a larger timeframe chart early in the morning to get a basic idea of the day's range, but that's it. On my trading charts, I simply render all the SD lines transparent so they're unseen. Again, I am not saying this is how anyone else should use them. I am simply saying that if you a short-term trader looking for a place where there is almost a guaranteed reaction, the vwaps are it.

mlm

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  #64 (permalink)
 
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 Silvester17 
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michaelleemoore View Post
Since Silvester raised the idea of too many lines, let me clarify. I don't use SD lines. They're probably useful for traders with larger targets than I use, but for me, they're not that helpful. I do look at them on a larger timeframe chart early in the morning to get a basic idea of the day's range, but that's it. On my trading charts, I simply render all the SD lines transparent so they're unseen. Again, I am not saying this is how anyone else should use them. I am simply saying that if you a short-term trader looking for a place where there is almost a guaranteed reaction, the vwaps are it.

mlm

like I said, all of them are valuable. I just don't use them all. again only personal reasons.

I only pay attention to the current day. the simple reason is because of the nature of the vwap. in short it's a benchmark for executions. at least that's the one I'm interested in. you have many orders spread over a trading day. those orders can be measured for quality by the daily vwap (or of course as long as it took to execute your order). maybe in less liquid markets you'll see orders over several days. I don't think you'll see many orders in index futures spread over weeks or even months.

but I do realize a weekly or monthly vwap can be used as a trend filter or as support and resistance. no question about that.

also would like to add, for me as a short term trader, the sd bands are as important as the vwap itself. but all of that is covered in the above mentioned threads

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  #65 (permalink)
 
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 trendisyourfriend 
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The discussion is interesting. I do use both VWAP ETH/RTH but gives a little bit more weight to the RTH version as i find it represents the new developing value area that is emerging. As for the VWAP, i would consider it only if we are in a trending phase otherwise i use it as a target most of the time for a move back to the mean. I use the Flipchart indicator to switch from one set of VWAP quickly instead of putting every lines on one chart. Once in a while i do check the weekly VWAP charts still using the Flipchart tool. My entry chart, is pretty basic and contains the value area as a developing channel so that i can see the prior static VPOC whichprovides nice bounces too.

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  #66 (permalink)
 
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 JonnyBoy 
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This has actually been a very sensible and structured conversation about VWAP. A great thread in fact, albeit it took a bit of a detour but now seems to be back on track.

I have lots to share if people are interested but that will have to come later, my daughter is pestering me to take her swimming! In the meantime I will share 2 very simple monthly charts and you can draw your own conclusions.

The first I tagged a VWAP from the month of September 2018.
The second I tagged a VWAP from the month of January 2019.

Looking at the VWAP tag from January 2019, the observed lows of Feb 2019 and March 2019 are a very clear tagging of the rolling monthly VWAP. May 2019 is almost a reversion to the mean (after April didn't tag it at all) with a current low of 2799.75 and the monthly VWAP sitting at 2787.40, so 12.35 points away. I believe we will see this monthly VWAP tagged, but of course no guarantees.

In hindsight this is all very obvious of course and I am sure somebody could come up with a random line theory that will show the same. However, institutions don't care about random lines, they care about VWAP and this is a very clear case to pay attention...for me anyway.



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  #67 (permalink)
 
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 Silvester17 
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yes, there're so many different ways to use the vwap. daily, a few days, weekly, monthly, bimonthly, quarterly, prior day, rolling etc

another way is using different anchor points, like a swing high or low. very similar to the midas approach:


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  #68 (permalink)
 
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 SMCJB 
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I've always been surprised VWAP isn't more available, to the extent I'm a little surprised exchanges don't publish official VWAP numbers.

JonnyBoy View Post
Firstly, it is very simple to calculate

The problem is it's actually not. It's easy to put on a real time chart but that's the only way it can be calculated. If I pull up a CL daily chart how do I add the the 20 day average of the VWAP? I can't because the only way to know the VWAP is to have calculated it already. Sure I could actually have 20 days of 1 min buys and estimate the VWAP for each day from that. But what about when I'm pulling 10 years of daily bars to perform some calculations? I can calculate most (all?) indicators, but not the VWAP.

Maybe I'm in the minority but in several of the threads I follow @centaurer has, sorry had, been a nice addition. I don't know what he's said in other threads, or what his alts have said, but I didn't think he was that out of line in this thread.

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  #69 (permalink)
 
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 bobwest 
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JonnyBoy View Post
This has actually been a very sensible and structured conversation about VWAP. A great thread in fact, albeit it took a bit of a detour but now seems to be back on track.

Looking at the VWAP tag from January 2019, the observed lows of Feb 2019 and March 2019 are a very clear tagging of the rolling monthly VWAP. May 2019 is almost a reversion to the mean (after April didn't tag it at all) with a current low of 2799.75 and the monthly VWAP sitting at 2787.40, so 12.35 points away. I believe we will see this monthly VWAP tagged, but of course no guarantees.


Silvester17 View Post
yes, there're so many different ways to use the vwap. daily, a few days, weekly, monthly, bimonthly, quarterly, prior day, rolling etc

another way is using different anchor points, like a swing high or low. very similar to the midas approach:

The conventional thing is to anchor the VWAP at the start of the day. We like this because we're trading in the day's timeframe, and there's always the argument about big orders being benchmarked for performance against the daily VWAP, which is probably true.

But it's also a little arbitrary to prefer the current day (and, as has been discussed, there's the question of which "day" we mean -- regular hours, RTH, or Globex hours, ETH?) When we talk about anchoring in a weekly or monthly timeframe, the anchor point is a little more arbitrary. It's true that weeks and months are periods that matter, but it's still partly just a matter of convenience -- we like weekly and monthly periods.

When you start a VWAP, you start computing the average of the trading that begins at your starting point. Even if there were no significance to, say, starting at the beginning of the month, after a short while you would have a curve that is just telling you the best calculation of the average recent price. This is likely to be something that is worth knowing. If you started further away, like the beginning of the year, you would have the average price for a longer period, also probably worth knowing.

Also, while it's not really clear to me why it would be so, but -- as @JonnyBoy and @Silvester17 have pointed out -- if you anchor your curve at a significant past turning point or other feature of price, you will often get (I actually think you will usually get) a curve that subsequently interacts with price in interesting ways. It is hardly random, because it happens all the time. For whatever reason(s), an average price that begins at a significant point also is often significant.

One could always say something like, "I don't understand it so it isn't true," but we've already discussed that fallacy in this thread. ( ) I prefer to say, "I don't understand it (at least not completely), but it appears to be true," and then see if something can be done with it.

I've played with with this enough to be convinced of it, but eventually got cross-eyed from all the possibilities. You can, after all, only use so many things at one time....

Bob.

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  #70 (permalink)
 
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 JonnyBoy 
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SMCJB View Post
I've always been surprised VWAP isn't more available, to the extent I'm a little surprised exchanges don't publish official VWAP numbers.
The problem is it's actually not. It's easy to put on a real time chart but that's the only way it can be calculated. If I pull up a CL daily chart how do I add the the 20 day average of the VWAP? I can't because the only way to know the VWAP is to have calculated it already. Sure I could actually have 20 days of 1 min buys and estimate the VWAP for each day from that. But what about when I'm pulling 10 years of daily bars to perform some calculations? I can calculate most (all?) indicators, but not the VWAP.

Maybe I'm in the minority but in several of the threads I follow @centaurer has, sorry had, been a nice addition. I don't know what he's said in other threads, or what his alts have said, but I didn't think he was that out of line in this thread.

I think I understand what you are saying about the placement of VWAP at intervals other than the data series specified on the chart. For that very reason I coded myself a VWAP anchor indicator. I can place a VWAP anywhere on the chart and it will forward project it for me. For example, attached is the 20 day VWAP for CL.

This may or may not be what you are referring to, but I use it in the ES to anchor at LOD, HOD, month, week etc. or as you said a specified period in time you are interested in.


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