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VWAP for stock index futures trading?


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VWAP for stock index futures trading?

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  #201 (permalink)
zManiac17
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I've been using VWAP a lot recently. Finding a good level near daily weekly and even yearly VWAP is a good method to ensure your entries and exits work out.

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  #202 (permalink)
 Finally 
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JonnyBoy View Post
Okay, so this is my chart for today using NT8 standard Order Flow VWAP indicator on a 987 tick chart. It is different to yours as you can see below. Just bear in mind this is with my VWAP envelopes showing as well so just ignore those and look at VWAP and the SDs.



And then I got to thinking why it was so different. So, I played around and coded up a VWAP from scratch and I get this. As you can see below it exactly matches the NinjaTrader indicator.



So, I then changed the calculation method for VWAP and hey presto I get this, which exactly matches your chart.



The VWAP itself is correct. It is to do with the calculation that generates the standard deviation multiplier from the VWAP itself. I don't know what platform you are on, but the calculation IMO isn't correct.

The correct way to calculate the standard deviation is like this:

SD = √∑ (X - M) 2 / n - 1

I think they are just multiplying VWAP by itself which isn't the same as the standard deviation of it. It is late and my eyes are blurry looking at this but I'll dig some more tomorrow. If anybody else wants to jump in here please do!

@JonnyBoy - at the outset many thanks for the elaborate post of the topic. You mentioned that you coded vwap which matched the NT vwap indicator. I donít have a paid NT version and am still using / exploring my trading via a free NT version. Would it be possible for you to share the coded vwap so I could explore your setups further.

Stay safe and happy trading.

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  #203 (permalink)
 joe s 
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I always liked VWAP I will have to look at this more

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  #204 (permalink)
 JonnyBoy 
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Finally View Post
@JonnyBoy - at the outset many thanks for the elaborate post of the topic. You mentioned that you coded vwap which matched the NT vwap indicator. I donít have a paid NT version and am still using / exploring my trading via a free NT version. Would it be possible for you to share the coded vwap so I could explore your setups further.

Stay safe and happy trading.

Have you searched for VWAP in the download section?

https://futures.io/local_links_search.php

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  #205 (permalink)
 paigow 
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Hi Maizietrader,

Could we connect directly?

dquick16@cogeco.ca

It would be interesting to chat about trading.

Be Safe and thanks again.

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  #206 (permalink)
 SunTzuTrader 
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@JonnyBoy First, thanks for sharing. I have used VWAP for some time, but not in the fashion you do. I found this thread to extremely helpful. Several questions:

1) I traded the ES today following your style, and had LOTS of trades, probably too many. Would appreciate you sharing your chart and trades from today, if possible.

2) I also applied this to the CL chart, on a 233tick basis and found it also fairly tradeable, not as easy to see as the ES is, but still some very good setups. I'm assuming this may be because Hedge Funds and Institutional Traders primarily apply VWAP to the ES and there is so much more volume, but appreciate your thoughts on the CL also. I know you have addressed before you primarily trade ES.

Thanks for sharing

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  #207 (permalink)
 JonnyBoy 
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SunTzuTrader View Post
@JonnyBoy First, thanks for sharing. I have used VWAP for some time, but not in the fashion you do. I found this thread to extremely helpful. Several questions:

1) I traded the ES today following your style, and had LOTS of trades, probably too many. Would appreciate you sharing your chart and trades from today, if possible.

2) I also applied this to the CL chart, on a 233tick basis and found it also fairly tradeable, not as easy to see as the ES is, but still some very good setups. I'm assuming this may be because Hedge Funds and Institutional Traders primarily apply VWAP to the ES and there is so much more volume, but appreciate your thoughts on the CL also. I know you have addressed before you primarily trade ES.

Thanks for sharing

1) What data series are you using? And what is your definition of lots of trades?

Attached is my chart for this morning's trading. What is shown here is my custom coded algorithm & strategy to define entries and targets along with my custom data series. You absolutely need to understand that not all of these trades will meet the criteria I have specified. Why? Well, depending on the type of day (and a few other factors) I think will develop (based on the metric harvesting I have discussed before) dictates which of my algorithms I will use. One reason is that I knew very early on the probabilities for a trend up day were high, so my targets are set differently from the 'base' setups (to catch larger moves) and in some cases the setups fall a little outside the 'base' setups, but I have coded it that way.

With that said, the majority of these entries fall within the sphere of VWAP/SD influence.



2. I have traded CL only a handful of times. I wish I could provide some more insight but I can't. I can give you a dissertation on why VWAP is so important to institutions, but that isn't for this thread.

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  #208 (permalink)
 SunTzuTrader 
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Thanks for sharing. I am on NT's Continuum Datafeed using a 987 tick. I suspect you have a different datasource than mine since I have a lot more candles than you do, I appreciate that this chart is your proprietary bar setup, With regards to how many trades is a lot, I had 9 today. Obviously this is relative but I typically run 3-4 setups in a normal day. Not saying this is good or bad, and thats why I wanted to see how many trade setups you saw. Very helpful.

Appreciate your response on CL.

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  #209 (permalink)
 JonnyBoy 
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SunTzuTrader View Post
Thanks for sharing. I am on NT's Continuum Datafeed using a 987 tick. I suspect you have a different datasource than mine since I have a lot more candles than you do, I appreciate that this chart is your proprietary bar setup, With regards to how many trades is a lot, I had 9 today. Obviously this is relative but I typically run 3-4 setups in a normal day. Not saying this is good or bad, and thats why I wanted to see how many trade setups you saw. Very helpful.

Appreciate your response on CL.

My feed is direct from CQG. Don't get me started on the differences between CQG and CQG Continuum! Not for this thread but plenty to say in this one...


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  #210 (permalink)
 mmaker 
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brakkar View Post
Hello,
in the stock world, vwap is an indicator widely used in particular with big professional money managers that use it to asses the performance of traders.

Is this indicator relevant in the stock index futures world? Is it used and watched by large professionals? Should I even bother watching in when trading intraday on the ES/MES?

I am not sure if your question was answered in the last 21 pages but i can provide an answer for it.

Try to take only longs above vwap and take only shorts below vwap.

Thats all.

This was worth 176k (net after comms) to someone in 2019, and ytd May 11 2020 has been worth 221k (net) on two contracts. No more no less. All in all out. Trading only the emini.

You might be tempted to go long below vwap or short above vwap however you might find these trades often fail and reduce your overall profitability. Prove me wrong!

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  #211 (permalink)
 drinkurmilkshake 
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SunTzuTrader View Post
@JonnyBoy First, thanks for sharing. I have used VWAP for some time, but not in the fashion you do. I found this thread to extremely helpful. Several questions:

1) I traded the ES today following your style, and had LOTS of trades, probably too many. Would appreciate you sharing your chart and trades from today, if possible.

2) I also applied this to the CL chart, on a 233tick basis and found it also fairly tradeable, not as easy to see as the ES is, but still some very good setups. I'm assuming this may be because Hedge Funds and Institutional Traders primarily apply VWAP to the ES and there is so much more volume, but appreciate your thoughts on the CL also. I know you have addressed before you primarily trade ES.

Thanks for sharing

3 out of the 4 (or 6 out of the 8 technically with the inverses added) of the setups that @JonnyBoy demonstrates follow that logic. Only the 'STANDARD DEVIATION REVERSION TO VWAP SHORT/LONG' setups take a trade in the direction contrarian to the VWAP. I'm interested if @JonnyBoy will reveal additional, more advanced, setups.

Over the past few days I've witnessed a few ES VWAP setups that he hasn't covered with fairly consistent results. The TPs and SLs would need to be relatively tight for these however, and maybe they're lower probability in the long run. I'd like to hear his opinion on scaling into trades using the established setups as well. @Lfx987 mentioned scaling into VWAP trades, but only if the trade beings to move against you.

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  #212 (permalink)
Juice24
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Would you recommend vwap or other institutional measures such as twap, or step trading algos be used only with a liquid instrument like ES or is something like the YM sufficient


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  #213 (permalink)
 SunTzuTrader 
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mmaker View Post
I am not sure if your question was answered in the last 21 pages but i can provide an answer for it.

Try to take only longs above vwap and take only shorts below vwap.

Thats all.

This was worth 176k (net after comms) to someone in 2019, and ytd May 11 2020 has been worth 221k (net) on two contracts. No more no less. All in all out. Trading only the emini.

You might be tempted to go long below vwap or short above vwap however you might find these trades often fail and reduce your overall profitability. Prove me wrong!

Are these your results mmaker? or what is the background for the results? Trade setup? Just trying to follow your point. I don't disagree on the general issue of Long above VWAP and Short below, just trying to clarify. Thanks

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  #214 (permalink)
 paigow 
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are you using a rolling and what type of stops

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  #215 (permalink)
Lfx987
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drinkurmilkshake View Post
I can't begin to thank @JonnyBoy enough for his setups and explanation of VWAP. I had always only considered the actual VWAP itself, and never thought much of the SD levels (which are everything).

This would be interesting to use to script orders. We'd need (2) additional VWAP indicators (or however many divisible by the amount of entries) to print the SD levels (e.g. +SD 0.27, 0.32....). The trade would remain discretionary and the script would just place buy limits.

ES 5-7 VWAP


There are as many ways to trade as there are people. All about finding an approach that suits your personality and your trading style.


I never like to go all in on my first trade (my timing isn't that good), I much like to probe an initial entry and then add (quickly moving stops of the first entry to break-even).

Reason I prefer to scale in, especially when trade goes against me, is that I always have the option to cut the trade if price action and orderflow seem to be turning. Agreed, I will never make as much should prices suddenly take off but at the same time, I have more leeway to let the trade play out.

Whilst VWAP/SD and it's various micro levels give statistical areas to enter/exit positions, nevertheless, they are still lines and as such, I don't believe simply leaving orders at those levels is ever a good idea. One really has to understand how price approached the level, is bid volume or ask volume picking up, is price approaching the level with momentum or just meandering along, is liquidity stepping up and looking to defend a level or or is stepping away. These are all the nuances that are likely to give clues as to whether price likely to breach or bounce off. As JB stated, it's all about context.

There are times when a market seems to be very algo driven in which case these statistical levels will hold. But there are times when levels just do not matter, this is particularly true when other time frame players are at play and they see liquidity available that they need to transact.

Just my humble musings.

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  #216 (permalink)
Juice24
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So are vwap levels liquidity hunts


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  #217 (permalink)
 ChartWarrior 
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jakobe View Post
Alright @JonnyBoy, I think I've got this looking correctly and SD's charting correctly! Was able to fairly easily setup VWAP to calculate
Loaded up SC and have been setting everything up. Please take a look and share a snap shot of today's (4/30) session if you don't mind! Would like to compare.


Can you please share your SC settings of VWAP? I can't get it to match

If your edge puts the odds in your favor, then every loss puts you that much closer to a win.
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 paigow 
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hi PaveIFD

I am from the hamilton area and I am using SC, but I am having trouble recreating the chart.Maybe you could provide the SC settings?

Thanks

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  #219 (permalink)
 jakobe 
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PavelFD View Post
Can you please share your SC settings of VWAP? I can't get it to match

I've taken a screenshot of the VWAP study settings I am using. Be sure to have your sessions times set correctly otherwise it won't plot correctly.


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  #220 (permalink)
 ChartWarrior 
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jakobe View Post
I've taken a screenshot of the VWAP study settings I am using. Be sure to have your sessions times set correctly otherwise it won't plot correctly.


I had my VWAP bands set to "Standard Deviation". Why is it set to "Variance"? According to the setup it should be SDs

VWAP on the chart
RTH VWAP is displayed as the green and red dot-dashed line in the centre of the chart.
ETH VWAP is displayed as the dodger blue and magenta dot-dashed line.
+1, +2 +3 and -1, -2 and -3 standard deviations (positive and negative multipliers of VWAP essentially)

If your edge puts the odds in your favor, then every loss puts you that much closer to a win.
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  #221 (permalink)
 jakobe 
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PavelFD View Post
I had my VWAP bands set to "Standard Deviation". Why is it set to "Variance"? According to the setup it should be SDs

VWAP on the chart
RTH VWAP is displayed as the green and red dot-dashed line in the centre of the chart.
ETH VWAP is displayed as the dodger blue and magenta dot-dashed line.
+1, +2 +3 and -1, -2 and -3 standard deviations (positive and negative multipliers of VWAP essentially)

I couldn't tell you why.. I had played around with Standard Deviation and noticed it wasn't plotting correctly. It was just drawing lines +1 +2 SD's above VWAP, when the chart I was comparing did not display that.

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  #222 (permalink)
Lfx987
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Juice24 View Post
So are vwap levels liquidity hunts

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As with most things in the World of trading, that comes with a yes and no answer.

VWAP is the average price a security has traded at throughout the day, based on both volume and price. It is a simple calculation and therefore it allows funds to quickly determine if stock that has been bought/sold for them, was done so at (or near) a fair price for the day.

Liquidity is the passive volume of orders that is looking for buyers/sellers. You see them (not always) on the DOM or software like BookMap/Jigsaw Vista.

VWAP can act as an area of enhanced liquidity ie. if an institution has been told to transact large orders for clients, the client is going to want to know the institution has done their best to get a net fair price for them (often the compensation is measured against where the institution managed to transact). As such when price approaches the VWAP level, funds can increase the liquidity available around that area simply because any transactions at that level, will be deemed fair and they'll get rewarded. As such, large traders can attempt to bring price to VWAP to see if it brings in sufficient liquidity - in such a case, it could be deemed a liquidity hunt.

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  #223 (permalink)
 JonnyBoy 
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Juice24 View Post
So are vwap levels liquidity hunts


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Under particular conditions trying to base VWAP evaluation as liquidity hunts may be misleading and even harmful to portfolio performance. Most institutional trading occurs filling orders that exceed the daily volume.

When large numbers of shares must be traded, liquidity concerns are against price goals. Then trade evaluation becomes more complicated. Action traders watch the market for this reason and try to benefit from those trades. A naÔve investor could indiscreetly reveal her interest for the market or a particular stock. Action traders can then cut themselves in by capturing available liquidity and reselling it to an unskilled trader.

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 ChartWarrior 
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jakobe View Post
I couldn't tell you why.. I had played around with Standard Deviation and noticed it wasn't plotting correctly. It was just drawing lines +1 +2 SD's above VWAP, when the chart I was comparing did not display that.


(pasted screenshot)


I think I was able to make it work, this is the same day, 4/30/2020

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  #225 (permalink)
 jakobe 
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PavelFD View Post
(pasted screenshot)


I think I was able to make it work, this is the same day, 4/30/2020

Looks correct. Here is part of my 4/30 pit session. I'm using a 1234 tick chart.

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  #226 (permalink)
Juice24
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JonnyBoy View Post
Under particular conditions trying to base VWAP evaluation as liquidity hunts may be misleading and even harmful to portfolio performance. Most institutional trading occurs filling orders that exceed the daily volume.



When large numbers of shares must be traded, liquidity concerns are against price goals. Then trade evaluation becomes more complicated. Action traders watch the market for this reason and try to benefit from those trades. A naÔve investor could indiscreetly reveal her interest for the market or a particular stock. Action traders can then cut themselves in by capturing available liquidity and reselling it to an unskilled trader.



Sounds like itís better for futures but more difficult with stocks which can get a earnings call either which way


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  #227 (permalink)
 ChartWarrior 
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jakobe View Post
Looks correct. Here is part of my 4/30 pit session. I'm using a 1234 tick chart.

Is that on Sierra? I like your color settings and band shading. Do you mind sharing the chart?

If your edge puts the odds in your favor, then every loss puts you that much closer to a win.
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 jakobe 
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PavelFD View Post
Is that on Sierra? I like your color settings and band shading. Do you mind sharing the chart?

Attached.

Attached Files
Register to download File Type: cht Chartbook1.Cht (123.8 KB, 30 views)
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 ChartWarrior 
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jakobe View Post
Attached.

Thank you!

If your edge puts the odds in your favor, then every loss puts you that much closer to a win.
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 jakobe 
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PavelFD View Post
Thank you!

NP.
Might have to play around with the Overlay study to grab your ETH VWAP. Hope it helps.

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 ChartWarrior 
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@JonnyBoy
Thank you for the setups. Do you mind providing dates for the examples you used in your parts 1-6? I want to open those days on my platform to follow your explanations.

If your edge puts the odds in your favor, then every loss puts you that much closer to a win.
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  #232 (permalink)
 JonnyBoy 
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PavelFD View Post
@JonnyBoy
Thank you for the setups. Do you mind providing dates for the examples you used in your parts 1-6? I want to open those days on my platform to follow your explanations.

I can't remember the exact dates, but prior to April 16th (ish) most probably. Your best bet is to just look at the price and work your way back through the charts until you match some price levels and dial it in from there.

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 ChartWarrior 
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JonnyBoy View Post
I can't remember the exact dates, but prior to April 16th (ish) most probably. Your best bet is to just look at the price and work your way back through the charts until you match some price levels and dial it in from there.

Thanks, I found one day. It's hard to match because your time zone is different and we also adjusted the clock not long ago.

Question about your post #109 (continuation long). Looks like the day you used was April 2nd, 2020.
Do you normally wait and trade after a certain time when vwap bands are more spread out? I see that the price came from 2SD to 1SD multiple times in the morning, but the first trade you took was after 10:13 EST.

(pasted screenshot)

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  #234 (permalink)
 sg72 
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Hi @JonnyBoy,

Once again thank you for this informative post.

When you look for your conditions, do you look for price to spend a certain amount of time or certain number of candles in each of the bands before exiting in order to trigger an order? I see some cases where a candle's wick will dip into the band and exit. If the other prerequisites are met, do you consider this a valid setup where the entry into the band and exit out of the band happened on the same candle?

What about the case where you get a very long candle that enters two consecutive bands. Would you consider that a valid setup if the candle didn't poke out from the opposite side?

Thank you

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 JonnyBoy 
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PavelFD View Post
Thanks, I found one day. It's hard to match because your time zone is different and we also adjusted the clock not long ago.

Question about your post #109 (continuation long). Looks like the day you used was April 2nd, 2020.
Do you normally wait and trade after a certain time when vwap bands are more spread out? I see that the price came from 2SD to 1SD multiple times in the morning, but the first trade you took was after 10:13 EST.

(pasted screenshot)

My intention with the charts was to depict examples. It doesn't mean the first trade of the day was the SD Continuation I marked up.

Here is my chart from the same day. Remember I have a custom data series so things will look different. There were 3 trades on that spike up to ETH VWAP. A VWAP test long and two SD CONT. entries. I very likely took the VWAP test long on the same bar and held a runner until ETH VWAP. I doubt I added to my position with the SD CONT. long entries. I'll have to check.

Making a read on the VWAP and their bands early on in the day is tricky as you don't have much to work with. It takes lots of practice. Equally as tricky are days with large expansion (think very wide volatile days).

EDIT: the reason I developed a custom data series was essentially to make these entries easier to spot and help reduce fake outs.


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 JonnyBoy 
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sg72 View Post
Hi @JonnyBoy,

Once again thank you for this informative post.

When you look for your conditions, do you look for price to spend a certain amount of time or certain number of candles in each of the bands before exiting in order to trigger an order? I see some cases where a candle's wick will dip into the band and exit. If the other prerequisites are met, do you consider this a valid setup where the entry into the band and exit out of the band happened on the same candle?

What about the case where you get a very long candle that enters two consecutive bands. Would you consider that a valid setup if the candle didn't poke out from the opposite side?

Thank you

Perfect timing. I just posted a chart (the post above) that shows the "dip of the wick". I do enter on the same bar and can exit on the same bar if the bar is wide enough. Again, this is on my data series.

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 sg72 
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Thank you for the quick response JonnyBoy.

Yes, I see the 3 back to back setups in your chart and I've seen it on various occasions on mine. The 2nd setup (SD reversion) often transitions into the 3rd one as price traverses across the VWAP band and exits the other end on strong directional moves. Instead of letting the 3rd position of the SD Rev setup to exit at Target 3, I think it's a good idea to let it run to take advantage of this back to back setup. It's true that you're not taking the last setup with a full position, but in my view, that's ok since you just had a good size winner and you're riding the runner.

I'm considering automating this in Strategy Builder in NT8, initially to generate alerts and/or run back tests. I'm pretty certain you've already done this work yourself. If so, is this automation something you are willing to share or is this part of your proprietary edge? I can understand if you don't wish to share all that work, but I figured you probably won't mind me asking before I dig in myself :-). Regardless of your response, I greatly appreciate all your work and for providing all the information in this thread.

Thanks again.

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  #238 (permalink)
 JonnyBoy 
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sg72 View Post
Thank you for the quick response JonnyBoy.

Yes, I see the 3 back to back setups in your chart and I've seen it on various occasions on mine. The 2nd setup (SD reversion) often transitions into the 3rd one as price traverses across the VWAP band and exits the other end on strong directional moves. Instead of letting the 3rd position of the SD Rev setup to exit at Target 3, I think it's a good idea to let it run to take advantage of this back to back setup. It's true that you're not taking the last setup with a full position, but in my view, that's ok since you just had a good size winner and you're riding the runner.

I'm considering automatic this in Strategy Builder in NT8, initially to generate alerts and/or run back tests. I'm pretty certain you've already done this work yourself. If so, is this automation something you are willing to share or is this part of your proprietary edge? I can understand if you don't wish to share all that work, but I figured you probably won't mind me asking before I dig in myself :-). Regardless of your response, I greatly appreciate all your work and for providing all the information in this thread.

Thanks again.

I have coded every single possible combination of VWAP you can think of. A mechanically based strategy on the setups I listed, irrespective of all the factors that go into determining the type of day that lay ahead etc. etc. etc., you will probably come out break even at best - which in itself probably isn't bad for new traders. But if you apply the right diagnosis of the day early on, you can really nail those trades home, and skip the ones that don't fit the profile for that day. So if you could code something that takes that into account...

...is why in the end I developed coding that was more quantitative towards VWAP setups. If I was to give a Readers Digest version of how some institutions approach VWAP trading, you could essentially split the approach into 3 qualitative models. We have more or less covered the first here. It is that second and third non static approach that reveals significant advantages and VWAP insight that I am not willing to share publicly.

Probably never, unless I win the Lotto Max $70 million dollar jackpot and then all best are off...

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 drinkurmilkshake 
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JonnyBoy View Post
...is why in the end I developed coding that was more quantitative towards VWAP setups. If I was to give a Readers Digest version of how some institutions approach VWAP trading, you could essentially split the approach into 3 qualitative models. We have more or less covered the first here. It is that second and third non static approach that reveals significant advantages and VWAP insight that I am not willing to share publicly.

Probably never, unless I win the Lotto Max $70 million dollar jackpot and then all best are off...

@JonnyBoy, I don't think it's reasonable for anyone to request the indicators or data series that you've likely spent hundreds of man hours developing. Could you point those interested at least though in the right direction to look into these other qualitative, non static models? I have had good luck so far confirming your VWAP signals and simply moves off/around SD levels using a custom cumulative delta order flow indicator.

Are these additional models using VWAP, but anchoring the VWAP to a swing high or low? I've read that 70% of all the session's (e.g. RTH) transactions take place within one standard deviation of the VWAP (value area). I hate to think that I only have a 1/3 of the picture with PA behavior and VWAP.

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 ChrisJff 
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JonnyBoy View Post
If you mechanically took every VWAP setup just because it was a "setup" then I think you will be disappointed with the results. However, if you provide yourself a basis as to the best time and reasoning to take them, trading can end up being the best job in the world.

@JonnyBoy

This is what I am struggling with in futures trading.

In it seems easier to do in Stocks with high RVOL and news etc to find good conditioning factors.

With futures it seems harder to frame conditions under which to test performance of setups. There are market profile conditions, gap days and then Fat Tail's range analysis indicator tools and even journaling and screen time to develop intuition about good market structure.

Do you have any further tips as to how to provide yourself a basis as to the best time and reasoning or is it one of those things where there is no magic sauce except to try things out, record the results and accumulate data?

I will check out metricsmaestro.

P.S. oops. I kept reading and saw you had answered these types of questions further on in the thread. Thanks for all the info!

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 JonnyBoy 
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drinkurmilkshake View Post
@JonnyBoy, I don't think it's reasonable for anyone to request the indicators or data series that you've likely spent hundreds of man hours developing. Could you point those interested at least though in the right direction to look into these other qualitative, non static models? I have had good luck so far confirming your VWAP signals and simply moves off/around SD levels using a custom cumulative delta order flow indicator.

Are these additional models using VWAP, but anchoring the VWAP to a swing high or low? I've read that 70% of all the session's (e.g. RTH) transactions take place within one standard deviation of the VWAP (value area). I hate to think that I only have a 1/3 of the picture with PA behavior and VWAP.

I have actually only ever read that statistic from LizardTrader. Sure, 70% is considered fair value.

I wouldn't say that anchored VWAPs are an additional VWAP model, but they can be important levels to watch. It is the "importance'' of the event that is key if it is to have reasonable significance. In stocks this is much easier to define because you have earnings, IPOs, management restructuring, FED announcements (if you're trading bonds)...that kind of thing.

For futures, I found that weekly VWAP, monthly VWAP and Yearly VWAP, work well as reference

If we look at the daily ES chart with 3 VWAPs anchored to 3 significant events, I'll leave it up to you to decide if the levels shown have significance...


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 josh 
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drinkurmilkshake View Post
I've read that 70% of all the session's (e.g. RTH) transactions take place within one standard deviation of the VWAP (value area). I hate to think that I only have a 1/3 of the picture with PA behavior and VWAP.


There's some lack of understanding of several things in your above statement.

"70% of all the session's transactions take place within one SD of VWAP" ... well, the standard deviation is itself based on the variance from the mean, so you're sort of stating the obvious.

In the market profile days of 30 years ago, the "70% rule" was first coined. It is based on the mode (POC) though, not the mean (VWAP) though. The algorithm for calculating the VA based on the mode is simple and what you see software programs do when they take a market/volume profile and show the value area.

I'm not sure what you mean by: "hate to think that I only have a 1/3 of the picture with PA behavior and VWAP" ...? But I think it's based on an incomplete understanding, and maybe the above clears that up also.

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  #243 (permalink)
 drinkurmilkshake 
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@josh

I mentioned the "70% rule" in the context of the profitability of trades/setups off the VWAP. Trades/setups further out in SD1.5/SD2.5 territory fall outside that zone. I was wondering whether these moves are more profitable.


josh View Post
I'm not sure what you mean by: "hate to think that I only have a 1/3 of the picture with PA behavior and VWAP" ...? But I think it's based on an incomplete understanding, and maybe the above clears that up also.

@JonnyBoy mentioned that VWAP could be used in 3 different qualitative models. The second and third are 'non static approaches' and according to @JonnyBoy "reveals significant advantages and VWAP insight". I like to think that they have something to do with accumulation and absorption around certain VWAP SD levels, and using PA/volume activity at those levels to make trading decisions. I'm currently applying a few order flow indicators to his setups to see where cumulative delta is @ potential reversals or setups.

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 JonnyBoy 
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The static model approach of using anchored VWAPs can provide some very important reference points for the market. Long term anchored VWAPS IMO are significant.

However, can they be used on a more granular level? Say during the RTH session? Well, yes they can. Although the market has a random effect working on it, it still has a memory. And although anchored VWAPs are not easily discovered during the RTH session, when found they can provide information that may help your trading decisions.

It was impossible to articulate this into a post or even multiple posts so I made a video instead. I apologise for the length, time kind of ran away with me.

You should not consider this to be any kind of trading advice. In fact, you might find this to be completely irrelevant to your trading. However, if one trader discovers one thing and finds it useful then I guess we can say that is a win as they say.

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 yoyotrader1 
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Are you kidding @JonnyBoy ? Apologizing for the length 30 minutes unbiased video (not selling anything)? I would take 30 hours of it - if you could record it .
Already stocking you and a few other Pros posts all over the forum. This content is golden. THANK you one more time!


JonnyBoy View Post
The static model approach of using anchored VWAPs can provide some very important reference points for the market. Long term anchored VWAPS IMO are significant.

However, can they be used on a more granular level? Say during the RTH session? Well, yes they can. Although the market has a random effect working on it, it still has a memory. And although anchored VWAPs are not easily discovered during the RTH session, when found they can provide information that may help your trading decisions.

It was impossible to articulate this into a post or even multiple posts so I made a video instead. I apologise for the length, time kind of ran away with me.

You should not consider this to be any kind of trading advice. In fact, you might find this to be completely irrelevant to your trading. However, if one trader discovers one thing and finds it useful then I guess we can say that is a win as they say.


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 joe s 
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great video lots of info thanks

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 drinkurmilkshake 
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@JonnyBoy great video! Did you code your anchored VWAP bar draw indy yourself or is it a 3rd party? I've been looking at a few different offerings and was wondering what you recommend.

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  #248 (permalink)
 JonnyBoy 
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drinkurmilkshake View Post
@JonnyBoy great video! Did you code your anchored VWAP bar draw indy yourself or is it a 3rd party? I've been looking at a few different offerings and was wondering what you recommend.

I made my own.

However, there is a very cool one here, that I have actually wanted to check out for some time. It has some pretty cool and neat features I perhaps haven't thought about myself.

And for $97.00 it is a steal. To replicate it will cost me way more than my "hourly" rate, so I might end up buying it once I have done the trial.

I know @devdas is on FIO and is the developer of it. I have no affiliation with him at all, but the fact he has a trial he gets my thumbs up! He has a cool website too.

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 Silvester17 
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JonnyBoy View Post
I made my own.

However, there is a very cool one here, that I have actually wanted to check out for some time. It has some pretty cool and neat features I perhaps haven't thought about myself.

And for $97.00 it is a steal. To replicate this is way more than my "hourly" rate, so I might end up buying it once I have done the trial.

I know @devdas is on FIO and is the developer of it. I have no affiliation with him at all, but the fact he has a trial he gets my thumbs up! He has a cool website too.

it's certainly a steal for $94. even after the price increase from a couple weeks ago. as mentioned @devdas is a member here since 2010 and he has done some remarkable work, like the famous "volume ladder metro edition". it's always a good thing to know a vendor. I know @devdas not only as a good programmer, but also as a good person.

there's a thread about his products:



I have no affiliation with him either, but I certainly trust him!!

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 martinhunting 
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Rancho Denero Acme Market Analytics sells a Range VWAP.Drawing Tool for $79 s, I have no affiliation with Ranch Denero ,I am using their Volume Profile indicators and I find their products very good.
Description from web site:

High resolution, efficient real-time VWAP calculation
Draw precise bar-to-bar VWAPs on any bars, anywhere on your chart
Sports 4 levels of configurable standard-deviation based envelopes above and below the VWAP, value range can be set to span any of the 4 envelope levels. The value range is conceptually similar to but not to be confused with a volume or TPO value area
Optional extended VWAPs
Configurable labels and colors


Acme-Range-VWAP-1-1

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 JonnyBoy 
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martinhunting View Post
Rancho Denero Acme Market Analytics sells a Range VWAP.Drawing Tool for $79 s, I have no affiliation with Ranch Denero ,I am using their Volume Profile indicators and I find their products very good.
Description from web site:

High resolution, efficient real-time VWAP calculation
Draw precise bar-to-bar VWAPs on any bars, anywhere on your chart
Sports 4 levels of configurable standard-deviation based envelopes above and below the VWAP, value range can be set to span any of the 4 envelope levels. The value range is conceptually similar to but not to be confused with a volume or TPO value area
Optional extended VWAPs
Configurable labels and colors


Acme-Range-VWAP-1-1

As long as any anchored VWAP placed continues to update and build with every bar (and you don't have to extend it manually), then yes this will be good too.

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 MiamiTrader 
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@JonnyBoy

I'm fairly new to FIO and have found this thread (AND COMMUNITY) very helpful and really appreciate the knowledge. This site reminds me alot of the 2+2 forums back in the day.

A quick question if I may. I did read the entire thread and apologize if i missed something but I recall you saying something to the effect of VWAP is giving you all the levels you need. Is this correct? Do you ever feel like you need to get daily / hourly levels? I'm asking because I actively rely on these and intra day levels for entry and exits.

Much appreciated,
IRV

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 JonnyBoy 
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bc24fl View Post
@JonnyBoy

I'm fairly new to FIO and have found this thread (AND COMMUNITY) very helpful and really appreciate the knowledge. This site reminds me alot of the 2+2 forums back in the day.

A quick question if I may. I did read the entire thread and apologize if i missed something but I recall you saying something to the effect of VWAP is giving you all the levels you need. Is this correct? Do you ever feel like you need to get daily / hourly levels? I'm asking because I actively rely on these and intra day levels for entry and exits.

Much appreciated,
IRV

Hi - congratulations on your first post.

It is not my intent to change the way anybody trades or approaches the market. On any chart posts, I try to strip them down in an effort NOT to force the levels that I use as reference on other traders and only show the levels that refer to what I am talking to. If that makes sense...

If something works for you successfully then it works for you. I do have a Planned Levels Visualizer that allows me to plug in all of the important levels from the prior day and any naked VWAPs, naked VPOCs, value areas etc. and display them on my chart. However, I personally have never found hourly levels to be of any use for me, but that doesn't mean they are not valid and doesn't mean you shouldn't use them.

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 simondul 
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JonnyBoy View Post
The static model approach of using anchored VWAPs can provide some very important reference points for the market. Long term anchored VWAPS IMO are significant.

However, can they be used on a more granular level? Say during the RTH session? Well, yes they can. Although the market has a random effect working on it, it still has a memory. And although anchored VWAPs are not easily discovered during the RTH session, when found they can provide information that may help your trading decisions.

It was impossible to articulate this into a post or even multiple posts so I made a video instead. I apologise for the length, time kind of ran away with me.

You should not consider this to be any kind of trading advice. In fact, you might find this to be completely irrelevant to your trading. However, if one trader discovers one thing and finds it useful then I guess we can say that is a win as they say.

Just want to say a really big "thank you" posting this video!

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 lawrence1021 
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big thanks to @JonnyBoy , its a great thread, very educational and informative about VWAP, I personally use VWAP for quite a long time now but can't figure out the best way to use it(I trade 1 min charts), after read all the comments here, i think im gonna be on a new exploring adventure of VWAP again.
I do have some more questions would like @JonnyBoy to share your thoughts about them if that's ok, I have seen people asked a lot of questions but nor the ones that im gonna ask, so if you could kindly share your thoughts to me and every hard working traders here i will be appreciate

1) I know that you have already shared your basie concept of how to use VWAP as entry and exit in 4 different ways, there is one thing that in my mind all the time and never cleared, that is the entry method (not talking about the timing or under what market condition to entry), may i ask would it be much better if we just enter the position when the price reached the VWAP/SD level or the bottom of the entry zone rather than entry after we get a confirmation when price bounce off from a VWAP or SD zone? because IMO the SL level would always be at a predetermined level or "stop zone" in your word, so if we consider any trade will be a losing trade, wouldn't that be less risk and more profit we take for each trade? or is the whole profitability or strategy would be ruin if we use that approach?

2) I have notice you will scale out of a position depending on the market condition, what hasn't been told regarding your VWAP market approach in this thread is your "rules" about when will you exit the entire position manually, what i mean by that is when do you consider the trade no longer have a reason to hold? im sure you move your SL to breakeven, but im not sure do you use trailing stop or not, if you do how much space do you leave and how do you work out whats the standard of the space you should leave?

3) at last, I'd like to have some advice on the psychological side of trading regardless of using VWAP strategy or not. I often find myself unlucky in trading, don't want to sound like someone can't do their job properly but find something to blame for but things always happened in a way that makes me feel that way, scenario 1: if I take my profit quickly then price will continue a lot further; scenario 2: if I hold on to that trade it just traces back and hit my stop loss at breakeven or at negative profit(even worse); I've missed large trades for 1 or 2 ticks which I knew it would be traded in a certain direction,(i know this happens all the time but it seems to happen to me quite often). I have noticed about myself quite Idealistic about some trades I make, what I mean by that is I often like to enter at a bottom or top of a price swing then exit at the end of that swing, I'm not saying I'd like to get the 100% of the swing, my strategy determines my entry will be at a swing high or low, but its my exit level or method often giving me this sense of unlucky because I always like to get the 80% out of 100% of the swing, I want to get this superstition sense out of my head hence I need someone can logically tell me what's wrong with me about my psychology in a professional way, how bad the impact is idealism in trading for me? are those scenarios happen because i was being too greedy or too fearful OR is my approach(in terms of strategy) is wrong in the first place? this question can be answered by anyone who has got enough trading experience to note that what my problem is, its important for anybody like me to have someone got a clue to tell me what should be adjusted properly to survive in this game, I appreciate if anyone can share their thought on these questions above.

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NStrade
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great content, thanks

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NStrade
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I will add. I have been using VWAP in my trading for several years. This is a really awesome tool and the best indicator (IMHO). This is an intraday probability map.

Understanding how it works and evaluating the probabilities, each trader can apply his own patterns and make them more profitable.


Follow the market context to avoid a fat tail. Good luck.

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 MiamiTrader 
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JonnyBoy View Post
Hi - congratulations on your first post.

Thanks. Hopefully I can contribute more going forward.


JonnyBoy View Post
It is not my intent to change the way anybody trades or approaches the market. On any chart posts, I try to strip them down in an effort NOT to force the levels that I use as reference on other traders and only show the levels that refer to what I am talking to. If that makes sense...

Makes perfect sense.



JonnyBoy View Post
If something works for you successfully then it works for you. I do have a Planned Levels Visualizer that allows me to plug in all of the important levels from the prior day and any naked VWAPs, naked VPOCs, value areas etc. and display them on my chart. However, I personally have never found hourly levels to be of any use for me, but that doesn't mean they are not valid and doesn't mean you shouldn't use them.

Right. Lately I've been doing less of those hourly levels and simply relying on the volume profile. That, along with watching the DOM has kept my charts cleaner. I also noticed that some of my levels conveniently line up with VWAP levels so that's nice too.

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 JonnyBoy 
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lawrence1021 View Post
big thanks to @JonnyBoy , its a great thread, very educational and informative about VWAP, I personally use VWAP for quite a long time now but can't figure out the best way to use it(I trade 1 min charts), after read all the comments here, i think im gonna be on a new exploring adventure of VWAP again.
I do have some more questions would like @JonnyBoy to share your thoughts about them if that's ok, I have seen people asked a lot of questions but nor the ones that im gonna ask, so if you could kindly share your thoughts to me and every hard working traders here i will be appreciate

1) I know that you have already shared your basie concept of how to use VWAP as entry and exit in 4 different ways, there is one thing that in my mind all the time and never cleared, that is the entry method (not talking about the timing or under what market condition to entry), may i ask would it be much better if we just enter the position when the price reached the VWAP/SD level or the bottom of the entry zone rather than entry after we get a confirmation when price bounce off from a VWAP or SD zone? because IMO the SL level would always be at a predetermined level or "stop zone" in your word, so if we consider any trade will be a losing trade, wouldn't that be less risk and more profit we take for each trade? or is the whole profitability or strategy would be ruin if we use that approach?

2) I have notice you will scale out of a position depending on the market condition, what hasn't been told regarding your VWAP market approach in this thread is your "rules" about when will you exit the entire position manually, what i mean by that is when do you consider the trade no longer have a reason to hold? im sure you move your SL to breakeven, but im not sure do you use trailing stop or not, if you do how much space do you leave and how do you work out whats the standard of the space you should leave?

3) at last, I'd like to have some advice on the psychological side of trading regardless of using VWAP strategy or not. I often find myself unlucky in trading, don't want to sound like someone can't do their job properly but find something to blame for but things always happened in a way that makes me feel that way, scenario 1: if I take my profit quickly then price will continue a lot further; scenario 2: if I hold on to that trade it just traces back and hit my stop loss at breakeven or at negative profit(even worse); I've missed large trades for 1 or 2 ticks which I knew it would be traded in a certain direction,(i know this happens all the time but it seems to happen to me quite often). I have noticed about myself quite Idealistic about some trades I make, what I mean by that is I often like to enter at a bottom or top of a price swing then exit at the end of that swing, I'm not saying I'd like to get the 100% of the swing, my strategy determines my entry will be at a swing high or low, but its my exit level or method often giving me this sense of unlucky because I always like to get the 80% out of 100% of the swing, I want to get this superstition sense out of my head hence I need someone can logically tell me what's wrong with me about my psychology in a professional way, how bad the impact is idealism in trading for me? are those scenarios happen because i was being too greedy or too fearful OR is my approach(in terms of strategy) is wrong in the first place? this question can be answered by anyone who has got enough trading experience to note that what my problem is, its important for anybody like me to have someone got a clue to tell me what should be adjusted properly to survive in this game, I appreciate if anyone can share their thought on these questions above.

I doubt I will be able to answer these questions concisely...

1) The advantage of what you're suggesting here is clear; You are going to get a better fill with a tighter stop. For the sake of argument let's put the underlying market structure aside and assume a VWAP TEST LONG is in the making. Price has entered into the VWAP band and you place a limit order at VWAP itself and you get a fill. Your stop is placed and will be tighter to your entry, but in no different a place than should you enter a few bars later on a BUY STOP ''if'' VWAP does become the turning point and the market rotates higher.

If price doesn't rotate higher and moves down towards -SD1, you will get stopped out. Versus not being in the trade at all as you were not swept in to price with a BUY STOP on the assumption a bullish move higher was expected.

If price does rotate higher, you have the opportunity to take your first target sooner and perhaps get the opportunity to achieve more profit at +SD1 should price rotate up there.

With this scenario I can't honestly tell you if statistically speaking you would be worse off or better off. Assuming this presumptive entry, your stop is 0.5 SD from VWAP vs. 1.0 SD from ''typical'' entry. So, in effect it is 50% "better''. Taking two of these presumptive trades that don't profit is equal to taking one of the ''traditional'' setup types that is also not profitable. You would certainly need to model this out.

I always approach every trade with the mindset that it will be a winning trade. Losing trades are part of doing business and of course I have them, but my expectation is that each trade I take will be profitable. I wouldn't however be able to place a trade ''just because'' without the rationale behind it.

I am not saying there is anything wrong with what you suggested, but testing it to find out what suits your trading style is the best approach.

2. If I framed out exactly when, why and how to manage each trade then this becomes more of a system and I'd be giving away years of research on a plate. Every trader will (and needs to) approach these setups differently and discover what works best for them. A 10 contract trader will have a different approach than a 4 contract trader for example.

3. The market knows where you live. Every time you enter a position the ID number of your trade is routed to a special department within the CME. This department's special task force ensure that you get shaken out of the market before the big move. Okay, I am joking but it sure feels that way sometimes right?

In reality and as far as the market is concerned, all traders are created equal. We all start out the day at zero. When the RTH session begins, how you conduct yourself from a behavioral standpoint will dictate whether you will make money on the day. If you follow the rules, you should do well. If you do not, you will do poorly. The market moves wherever it wants to go. It does not care about you or me. It does not play favorites. It does not discriminate. It does not intentionally harm any individual. The market is always right. You must learn to respect the market. The market will mercilessly punish you if you do not play by the rules.

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 lawrence1021 
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thank you so much for spending time to answer all my questions, appreciated it @JonnyBoy


JonnyBoy View Post
I always approach every trade with the mindset that it will be a winning trade. Losing trades are part of doing business and of course I have them, but my expectation is that each trade I take will be profitable. I wouldn't however be able to place a trade ''just because'' without the rationale behind it.

I think this is well said because you will take many factors into consideration whether that setup is tradeable or not hence the certainty of that setup is known before you enter it, so if anyone said they will think of any trade will be a losing trade, they just don't have confidence in their strategy, take me as an example, my win rate is low hence I will think of any trade as a losing trade subconsciously.


JonnyBoy View Post
A 10 contract trader will have a different approach than a 4 contract trader for example

very simple but straightforward answer, thanks


JonnyBoy View Post
3. The market knows where you live. Every time you enter a position the ID number of your trade is routed to a special department within the CME. This department's special task force ensure that you get shaken out of the market before the big move. Okay, I am joking but it sure feels that way sometimes right?

In reality and as far as the market is concerned, all traders are created equal. We all start out the day at zero. When the RTH session begins, how you conduct yourself from a behavioral standpoint will dictate whether you will make money on the day. If you follow the rules, you should do well. If you do not, you will do poorly. The market moves wherever it wants to go. It does not care about you or me. It does not play favorites. It does not discriminate. It does not intentionally harm any individual. The market is always right. You must learn to respect the market. The market will mercilessly punish you if you do not play by the rules.

almost got me here, I totally understand your point, I just want to be sure is it me not following the rules or is it my strategy just doesn't work. no one, no strategy can be 100% correct on any given trade, not even George Soros, so if VWAP got a 70% win rate but the rest of the 30% is still down to pure luck(hope you don't mind me put it that way), and I just want to make sure I don't fail at not being discipline to execute the 70% win rate strategy but fail for that 30% of the time being unlucky(you got no choice if things happen that way).

some market wizards often said to the quitters don't keep changing strategies just because it didn't work for a few times, so my question is at what stage or to be more specific, how many time it failed or how low the percentage of win rate the strategy is, we should consider the strategy no longer does its job?(every criteria has met before the trade has taken). simply speaking, at what point will you make some changes to your VWAP setup or stop trading VWAP for a while,(its a VWAP thread so maybe its better to stay with it), for example, in the summertime when the volume is much lower because of the institution guys are off to the beach(which is a month or two from now). personally, I've stopped trading VWAP for a long time in the past because it offer me only 20% of profitable trades, but the RR ratio is high, i've noticed if price bounce from VWAP it will move significant to the high(low), im talking about 70-100 ticks move, but it doesn't just "go" there but moved with lots of swings, and i only hold a position for minutes so can't handle the choppy before it can bring me the high reward as same as it couldn't bring me more profit before I lost too much trades with it. but of course, my result and yours can't really compare because my approach was different than yours at that time,i didn't even look at the SD levels as my entry/exit reference level, so my 20% win rate is not an objective reference for VWAP strategy because I skipped a lots of components of VWAP.

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 MiamiTrader 
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JonnyBoy View Post
With this scenario I can't honestly tell you if statistically speaking you would be worse off or better off. Assuming this presumptive entry, your stop is 0.5 SD from VWAP vs. 1.0 SD from ''typical'' entry. So, in effect it is 50% "better''. Taking two of these presumptive trades that don't profit is equal to taking one of the ''traditional'' setup types that is also not profitable. You would certainly need to model this out.

I quickly threw together a strategy on NinjaTrader with only the VWAP test long/short and so far with a risk/reward of 1:1 it's just above a third win rate. I'm trying several things but so far a 1:1.5 has a positive net expectancy.

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 richa61416 
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MiamiTrader View Post
I quickly threw together a strategy on NinjaTrader with only the VWAP test long/short and so far with a risk/reward of 1:1 it's just above a third win rate. I'm trying several things but so far a 1:1.5 has a positive net expectancy.

Are you adding in a bias for the day based on price action or you just taking every touch.

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 Scalpingtrader 
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MiamiTrader View Post
I quickly threw together a strategy on NinjaTrader with only the VWAP test long/short and so far with a risk/reward of 1:1 it's just above a third win rate. I'm trying several things but so far a 1:1.5 has a positive net expectancy.

So in other words, 2 out of 3 times (based on whatever sample you used) we cross VWAP for at least 0.5 SD before reversing back through by 0.5 SD?

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 joe s 
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Has anyone seen hit the bid multiday vwap each day the vwap starts on the previous days close and keeps aggregating day by day. they said you can look back years if you want has anyone seen something available like this they use a standard vwap and the multiday vwap together to trade

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 JonnyBoy 
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joe s View Post
Has anyone seen hit the bid multiday vwap each day the vwap starts on the previous days close and keeps aggregating day by day. they said you can look back years if you want has anyone seen something available like this they use a standard vwap and the multiday vwap together to trade

Yes. This is called rVWAP or Rolling VWAP. I have 7 days worth of roll, but in theory you can have more than that. After a while they all flatten out and statistically speaking I haven't gone beyond 7 days worth of rVWAP to ascertain their validity. Within the 7 days though, you betcha.

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 MiamiTrader 
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richa61416 View Post
Are you adding in a bias for the day based on price action or you just taking every touch.

Yes, only trade from 10am to 3pm. I suspect a better way is to do it by the height of the VWAP purple area. VM was acting up so i could only run a couple of months so very little data at this point.

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 MiamiTrader 
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Scalpingtrader View Post
So in other words, 2 out of 3 times (based on whatever sample you used) we cross VWAP for at least 0.5 SD before reversing back through by 0.5 SD?

VM was acting up so i could only run a couple of months so very little data. With a stop and a buy order at the stop/buy zone respectively it reached the T1 target just over 30% of the time. Criteria is what JonnyBoy boy described in previous post where it had to at least touch VWAP but never break the VWAP purple area zone.

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 joe s 
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Thanks JonnyBoy I will look that up

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 Silvester17 
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joe s View Post
Has anyone seen hit the bid multiday vwap each day the vwap starts on the previous days close and keeps aggregating day by day. they said you can look back years if you want has anyone seen something available like this they use a standard vwap and the multiday vwap together to trade

7 day rolling vwap:


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 joe s 
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Silvester17 thanks for the pick

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 MiamiTrader 
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Silvester17 View Post
7 day rolling vwap:


How are you getting VWAP(s) to display date and value in NinjaTrader? I don't see an option for that?

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 Silvester17 
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MiamiTrader View Post
How are you getting VWAP(s) to display date and value in NinjaTrader? I don't see an option for that?

this is not a default nt indicator. got it from here:

https://www.edevaay.com/tool-box/drawcator-vwap/


also already mentioned it here:


Silvester17 View Post
it's certainly a steal for $94. even after the price increase from a couple weeks ago. as mentioned @devdas is a member here since 2010 and he has done some remarkable work, like the famous "volume ladder metro edition". it's always a good thing to know a vendor. I know @devdas not only as a good programmer, but also as a good person.

there's a thread about his products:



I have no affiliation with him either, but I certainly trust him!!


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 jakobe 
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I feel like this is a classic long VWAP test setup that just developed this morning. I took it and got 3.75 pts. Only 1 lot, otherwise I would have hit all targets.


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 mtzimmer1 
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jakobe View Post
I feel like this is a classic long VWAP test setup that just developed this morning. I took it and got 3.75 pts. Only 1 lot, otherwise I would have hit all targets.


I took the same setup and am still holding my runners targeting 2970 and 2976. Cheers!

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I took the same setup and am still holding my runners targeting 2970 and 2976. Cheers!

Great trade! Was watching this and saw tons of absorption right at that 2970 level. Was wondering if you took all runners off at that point?

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 mtzimmer1 
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jakobe View Post
Great trade! Was watching this and saw tons of absorption right at that 2970 level. Was wondering if you took all runners off at that point?

Had an order out at 2970.5 but was far back in the queue and did not get filled. Still holding runners currently.

Edit: Added on SD Continuation and targeting 2976.25 if I can get it.

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Had an order out at 2970.5 but was far back in the queue and did not get filled. Still holding runners currently.

Edit: Added on SD Continuation and targeting 2976.25 if I can get it.

ES keeps giving great setups. This is the SD continuation you're referring to?

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 mtzimmer1 
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Flat now @jakobe

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 Oriole 
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jakobe View Post
I feel like this is a classic long VWAP test setup that just developed this morning. I took it and got 3.75 pts. Only 1 lot, otherwise I would have hit all targets.


What charting platform are you using and is that VWAP indicator with the standard deviation bands a freebie on it? Thanks for sharing.

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 JonnyBoy 
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mtzimmer1 View Post
Had an order out at 2970.5 but was far back in the queue and did not get filled. Still holding runners currently.

Edit: Added on SD Continuation and targeting 2976.25 if I can get it.


(pasted screenshot)


I am targeting 2974. :-)

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JonnyBoy View Post
(pasted screenshot)


I am targeting 2974. :-)

Nice trade! How were those targets determined? I know your stats-based model probably suggested a high likelihood of a trend-up day today but how are your target prices actually determined? They don't look to be VWAP based but perhaps they are. +4SD at the time of the entry for that third target 2974 perhaps?

Thanks!

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 JonnyBoy 
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mtzimmer1 View Post
Nice trade! How were those targets determined? I know your stats-based model probably suggested a high likelihood of a trend-up day today but how are your target prices actually determined? They don't look to be VWAP based but perhaps they are. +4SD at the time of the entry for that third target 2974 perhaps?

Thanks!

That I can't share. They are VWAP based but not static VWAP based. And we got stuck at 2974.25 too. Nice.

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 mtzimmer1 
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That I can't share. They are VWAP based but not static VWAP based. And we got stuck at 2974.25 too. Nice.

Understood and completely respect your answer. You've shared more than enough here and I believe you've provided the tools necessary for anyone to dig deeper and figure out how to further improve this edge for themselves.

Thank you.

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 jakobe 
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What charting platform are you using and is that VWAP indicator with the standard deviation bands a freebie on it? Thanks for sharing.

Hey @Oriole

I am using Sierra Chart. Several pages back I posted some charts to have compared with Jonny's and was able to get it damn near exact. I also shared the chartbook several pages back in case you want to play around with my exact chart. The VWAP indicator is built into the platform and is in all packages.

If you have never used Sierra Chart you'll find it might be overwhelming. However, there are a lot of resources via Sierra Chart support board, google, and their extensive help docs that you can find the answer to anything. Let me know if you have any questions about it.

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 JonnyBoy 
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Understood and completely respect your answer. You've shared more than enough here and I believe you've provided the tools necessary for anyone to dig deeper and figure out how to further improve this edge for themselves.

Thank you.

Did you move your target to the 74s?

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Did you move your target to the 74s?

I went flat around 10:26 EST unfortunately! Still good trades nonetheless.

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 lawrence1021 
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this thread is becoming a trade ideas sharing thread, shall someone start a telegram or discord group(that's the only two i know is good for group chat), @JonnyBoy @mtzimmer1 ? im sure it will gets hot.

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lawrence1021 View Post
this thread is becoming a trade ideas sharing thread, shall someone start a telegram or discord group(that's the only two i know is good for group chat), @JonnyBoy @mtzimmer1 ? im sure it will gets hot.

I'll defer to @JonnyBoy on that. I consider myself an intermediate trader some days and an amateur on most. I will think about starting a discord once I have confidence in my profitability and the ability to offer valuable advice and insight.

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this thread is becoming a trade ideas sharing thread, shall someone start a telegram or discord group(that's the only two i know is good for group chat), @JonnyBoy @mtzimmer1 ? im sure it will gets hot.

Agreed. A new thread should be started to cover trades that are placed/working/ideas etc. using the VWAP methodology. Good point. We don't want to distract from the main focus of the thread.

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 drinkurmilkshake 
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Understood and completely respect your answer. You've shared more than enough here and I believe you've provided the tools necessary for anyone to dig deeper and figure out how to further improve this edge for themselves.

Thank you.

You should look into an anchored VWAP drawing indicator. @JonnyBoy recommended https://www.edevaay.com/tool-box/drawcator-vwap/ as a good solution. I'm still experimenting with the indicator, but it is to be used as a supplement to the RTH/ETH VWAP and SD levels. You have to pick the bar you anchor the VWAP to however, that is not done for you.

I think the most interesting part of the anchored VWAP is determining WHICH bar(s) is significant. From a human perspective, you'd only know once you'd anchored and drew the VWAP and analyzed whether price respected or disregarded the VWAP line. Now it is somewhat obvious which bars could potentially be significant. Swing highs and lows are generally good bars to anchor to as they represent levels where supply/demand changed. I wonder whether an indicator could be designed that would run calculations and compute VWAPS for EVERY bar dynamically, and determine whether the VWAP was significant. I'm manually doing this now using a proprietary indicator that determines intraday highs/lows and anchoring the VWAPs there.

The anchored VWAPs aren't 100% neccessary to be successful trading primarily based of VWAP imo. The setups provided by @JonnyBoy off the RTHs (i'm using ETH) are plenty to generate consistent profits. I think it's important not to overcomplicate VWAP trading, and use it as a guide to determine the short-term direction of price action. Watching what the bars do around SD levels is very interesting, and you'll find yourself more immersed in the PA behavior rather than the actual VWAP/SD level. That's where the anchored VWAPs become extremely interesting, as they allow you to dynamically assign a VWAP to 'interesting' bar groups. For me, this is currently more an art than a science. The less reliant on indicators you are the better usually. THe VWAP and SD levels allows me to focus on the PA without the clutter of a bunch of indies potentially clouding my decision making.

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 bobwest 
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lawrence1021 View Post
this thread is becoming a trade ideas sharing thread, shall someone start a telegram or discord group(that's the only two i know is good for group chat), @JonnyBoy @mtzimmer1 ? im sure it will gets hot.


mtzimmer1 View Post
I'll defer to @JonnyBoy on that. I consider myself an intermediate trader some days and an amateur on most. I will think about starting a discord once I have confidence in my profitability and the ability to offer valuable advice and insight.


JonnyBoy View Post
Agreed. A new thread should be started to cover trades that are placed/working/ideas etc. using the VWAP methodology. Good point. We don't want to distract from the main focus of the thread.

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 JonnyBoy 
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Before today I didn't know what Discord really was! I had heard of it but didn't know what it was actually for. I must be getting old.

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 lawrence1021 
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I didnít know there is such limitation, sorry for bring that suggestion up. My initial intention was to make the communication more connected and efficient

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 bobwest 
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JonnyBoy View Post
Before today I didn't know what Discord really was! I had heard of it but didn't know what it was actually for. I must be getting old.

Yeah, me too. I didn't know anything about it either until recently.



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I didnít know there is such limitation, sorry for bring that suggestion up. My initial intention was to make the communication more connected and efficient

Not a problem. This is just the world we live in.

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raskol
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seems the general idea is to only take sells when price is above vwap and buys when price is below vwap anticipating price reversion to mean

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 michaelleemoore 
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I've enjoyed this discussion of vwap-based trades, as I take them quite often myself. I'd love to just see a new thread devoted to the trades themselves. In part, that's because I'd rather not have to open up yet another application -- Discord, whatever --as it's hard enough to keep track of charts, FIO, and so forth. My brain has a limited capacity, which is quickly closing in.

mlm

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 jakobe 
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@JonnyBoy I'll try and get the thread back on topic by sharing something that hit me today. Hopefully a new thread will be created to share setups/trade ideas. My intentions of sharing that long setup I took wasn't to derail anything, sorry about that!

Today while I was trading I realized how important the context of the day really is. Without that type of context and just taking a long trade because price is going from SD+1 to VWAP is a way to fail using this strategy. You said it yourself, "If you mechanically took every VWAP setup just because it was a "setup" then I think you will be disappointed with the results."

In an effort for me (a noob) to understand more about "types of days" & context to look for I want to ask if you could explain a tad bit about the column titles for the metrics you posted here. (post #139)
Open In Range/Open Out of Range of what?
Also, what are the sub categories in the two columns: higher & lower, higher (HIR), lower (LIR) ?

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 JonnyBoy 
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jakobe View Post
@JonnyBoy I'll try and get the thread back on topic by sharing something that hit me today. Hopefully a new thread will be created to share setups/trade ideas. My intentions of sharing that long setup I took wasn't to derail anything, sorry about that!

Today while I was trading I realized how important the context of the day really is. Without that type of context and just taking a long trade because price is going from SD+1 to VWAP is a way to fail using this strategy.

In an effort for me (a noob) to understand more about "types of days" & context to look for I want to ask if you could explain a tad bit about the column titles for the metrics you posted here. (post #139)
Open In Range/Open Out of Range of what?
Also, what are the sub categories in the two columns: higher & lower, higher (HIR), lower (LIR) ?

No harm done with the chart. That happens every once in a while when we get excited.

There is a plethora of information ''out there'' and in FIO but you can break it down like this.

Open In Range [OIR] - for the RTH session the open is within the range (High to Low) of the prior trading day.
> the subset Higher In Range [HIR] - for the RTH session the open is inside yesterdays range but in the upper part of that range.
> the subset Lower In Range [LIR] - for the RTH session the open is inside yesterdays range but in the lower part of that range.

Open Out Range [OOR] - for the RTH session the open is outside of the range (High to Low) of the prior trading day.
> the subset Higher Out Range [HOR] - for the RTH session the open is outside yesterdays range to the upside
> the subset Lower Out Range [LOR] - for the RTH session the open is outside yesterdays range to the down side

Context is absolutely a fundamental part of assessing what kind of day you expect. The type of day and type of open can affect how you approach the market. For example, if you OIR at the prior days volume point of control (VPOC) would you expect the day to trend or not? Meaning it will lower my expectations for targets.

I hope that helps.

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 jakobe 
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JonnyBoy View Post
No harm done with the chart. That happens every once in a while when we get excited.

There is a plethora of information ''out there'' and in FIO but you can break it down like this.

Open In Range [OIR] - for the RTH session the open is within the range (High to Low) of the prior trading day.
> the subset Higher In Range [HIR] - for the RTH session the open is inside yesterdays range but in the upper part of that range.
> the subset Lower In Range [LIR] - for the RTH session the open is inside yesterdays range but in the lower part of that range.

Open Out Range [OOR] - for the RTH session the open is outside of the range (High to Low) of the prior trading day.
> the subset Higher Out Range [HOR] - for the RTH session the open is outside yesterdays range to the upside
> the subset Lower Out Range [LOR] - for the RTH session the open is outside yesterdays range to the down side

Context is absolutely a fundamental part of assessing what kind of day you expect. The type of day and type of open can affect how you approach the market. For example, if you OIR at the prior days volume point of control (VPOC) would you expect the day to trend or not? Meaning it will lower my expectations for targets.

I hope that helps.

This helps immensely thank you!!

However, I'm a bit confused by the Higher & Lower subset. I'm not sure how price could be opening higher and lower of a range at the same time? Very confused on that one.

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 josh 
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jakobe View Post
However, I'm a bit confused by the Higher & Lower subset. I'm not sure how price could be opening higher and lower of a range at the same time? Very confused on that one.


Not sure what you see that implies this. He's saying that a "HOR" is opening above yesterday's range an a "LOR" is opening below yesterday's range, and he's categorizing both of these as "OOR", opening outside of yesterday's range.

This stuff has been around for decades -- see a very old but good book, "Mind Over Markets" (you can find the PDF around I'm sure), for open auction in-range, out of range, etc. It's old but concepts are still good, at least many of them are.

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