VWAP for stock index futures trading? - futures io
futures io



VWAP for stock index futures trading?


Discussion in Emini and Emicro Index

Updated
      Top Posters
    1. looks_one JonnyBoy with 126 posts (915 thanks)
    2. looks_two bobwest with 32 posts (141 thanks)
    3. looks_3 jakobe with 23 posts (20 thanks)
    4. looks_4 joe s with 21 posts (6 thanks)
      Best Posters
    1. looks_one JonnyBoy with 7.3 thanks per post
    2. looks_two wldman with 6 thanks per post
    3. looks_3 bobwest with 4.4 thanks per post
    4. looks_4 Silvester17 with 4.4 thanks per post
    1. trending_up 107,620 views
    2. thumb_up 1,826 thanks given
    3. group 921 followers
    1. forum 524 posts
    2. attach_file 170 attachments




Welcome to futures io: the largest futures trading community on the planet, with well over 125,000 members
  • Genuine reviews from real traders, not fake reviews from stealth vendors
  • Quality education from leading professional traders
  • We are a friendly, helpful, and positive community
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts
  • We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

(If you already have an account, login at the top of the page)

 
Search this Thread
 

VWAP for stock index futures trading?

(login for full post details)
  #301 (permalink)
 JonnyBoy 
Market Wizard
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
 
JonnyBoy's Avatar
 
Posts: 1,559 since Apr 2012
Thanks: 706 given, 3,737 received


jakobe View Post
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.

It is either, or. As in; The open of RTH is within yesterday's range but where does it open within that range? In the upper part of the range or the lower part of the range?

OIR


Today we opened up inside of yesterday's range and inside of yesterday's value, a few points shy of yVWAP close, but still in the lower half of yesterday's range. So, looking at the stats you can gather a lot of probabilities of how the day might shape up. There was a 47% probability we would break the prior day low and a 36% probability we would break the prior day high - but a 75% probability we would break one of them.

When we sold off, I had to change up my strategy. Keep the long trades tight and let the short trades roll. That kind of thing..


stat


--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Reply With Quote
The following 7 users say Thank You to JonnyBoy for this post:
 
(login for full post details)
  #302 (permalink)
 jakobe 
Atlanta, Georgia
 
Experience: Beginner
Platform: Sierra Chart
Trading: MES
 
jakobe's Avatar
 
Posts: 112 since Sep 2016
Thanks: 69 given, 91 received


JonnyBoy View Post
It is either, or. As in; The open of RTH is within yesterday's range but where does it open within that range? In the upper part of the range or the lower part of the range?

OIR


Today we opened up inside of yesterday's range and inside of yesterday's value, a few points shy of yVWAP close, but still in the lower half of yesterday's range. So, looking at the stats you can gather a lot of probabilities of how the day might shape up. There was a 47% probability we would break the prior day low and a 36% probability we would break the prior day high - but a 75% probability we would break one of them.

When we sold off, I had to change up my strategy. Keep the long trades tight and let the short trades roll. That kind of thing..


stat


AH! Ok that clears that up.

@JonnyBoy just gotta say thank you again for the time you've put into this thread and sharing so much. You've given me a tool to sharpen.

Reply With Quote
 
(login for full post details)
  #303 (permalink)
 MiamiTrader 
Miami FL/US
 
Experience: Intermediate
Platform: NinjaTrader
Broker: NinjaTrader Brokerage
Trading: Futures
 
Posts: 29 since Jan 2019
Thanks: 8 given, 29 received


JonnyBoy View Post
It is either, or. As in; The open of RTH is within yesterday's range but where does it open within that range? In the upper part of the range or the lower part of the range?

OIR


Today we opened up inside of yesterday's range and inside of yesterday's value, a few points shy of yVWAP close, but still in the lower half of yesterday's range. So, looking at the stats you can gather a lot of probabilities of how the day might shape up. There was a 47% probability we would break the prior day low and a 36% probability we would break the prior day high - but a 75% probability we would break one of them.

When we sold off, I had to change up my strategy. Keep the long trades tight and let the short trades roll. That kind of thing..


stat


Hey JB. Are these stats gathered from a known source or did you gather them yourself?

Reply With Quote
 
(login for full post details)
  #304 (permalink)
 JonnyBoy 
Market Wizard
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
 
JonnyBoy's Avatar
 
Posts: 1,559 since Apr 2012
Thanks: 706 given, 3,737 received


MiamiTrader View Post
Hey JB. Are these stats gathered from a known source or did you gather them yourself?

From a known source. I actually started doing this myself years ago and then somebody else clearly was doing it so much better!

They are a couple of years old now but still valid IMO.

https://metricsmaestro.wordpress.com/

@jakobe thinking about it, I should have just given you this link instead - has listed virtually everything but the kitchen sink.

https://metricsmaestro.wordpress.com/2016/08/27/definitions/

Enjoy!

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Reply With Quote
The following 5 users say Thank You to JonnyBoy for this post:
 
(login for full post details)
  #305 (permalink)
 jakobe 
Atlanta, Georgia
 
Experience: Beginner
Platform: Sierra Chart
Trading: MES
 
jakobe's Avatar
 
Posts: 112 since Sep 2016
Thanks: 69 given, 91 received


JonnyBoy View Post
From a known source. I actually started doing this myself years ago and then somebody else clearly was doing it so much better!

They are a couple of years old now but still valid IMO.

https://metricsmaestro.wordpress.com/

@jakobe thinking about it, I should have just given you this link instead - has listed virtually everything but the kitchen sink.

https://metricsmaestro.wordpress.com/2016/08/27/definitions/

Enjoy!

Very helpful.. thanks!

Reply With Quote
 
(login for full post details)
  #306 (permalink)
 ChartWarrior 
Toronto, Canada
 
Experience: Intermediate
Platform: Sierra, Jigsaw
Trading: ES
 
ChartWarrior's Avatar
 
Posts: 36 since Jan 2013
Thanks: 3 given, 14 received

@JonnyBoy
Question about weekly, monthly, etc. VWAP.
Do those include ETH session or only day? And what about holidays?

Thanks!

If your edge puts the odds in your favor, then every loss puts you that much closer to a win.
Reply With Quote
 
(login for full post details)
  #307 (permalink)
 JonnyBoy 
Market Wizard
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
 
JonnyBoy's Avatar
 
Posts: 1,559 since Apr 2012
Thanks: 706 given, 3,737 received


PavelFD View Post
@JonnyBoy
Question about weekly, monthly, etc. VWAP.
Do those include ETH session or only day? And what about holidays?

Thanks!

Those VWAPs are for RTH session only. I personally don't get too caught up in the weeds with respect to holidays. I have not found they skew things all that much, but I stand to be corrected.

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Reply With Quote
 
(login for full post details)
  #308 (permalink)
 CalvinoHobbino 
New York City
 
Experience: None
 
Posts: 3 since Apr 2020
Thanks: 9 given, 11 received

One thing I would add to this (for my first post ) is that if you collect data like this for yourself you can go one step further and calculate conditional probabilities once a level has been broken.

The metricsmaestro probability table tells you "if we open LIR, x level is broken y% of the time."

As the day evolves it can be useful to extend this kind of analysis to "if we open LIR, and the previous day's low is broken, then x level is broken y%" of the time.

You can keep layering these kinds of conditional probabilities on top of each other, but I've found that sample sizes can get too small to be meaningful after two conditions. I'm only using 5 years of data though so more data could let you extend this even further, with diminishing reliability and significance.

I've found that this type of analysis hasn't changed very much over time as well. Using this kind of information is really helpful for developing context as a day progresses.

Reply With Quote
The following 2 users say Thank You to CalvinoHobbino for this post:
 
(login for full post details)
  #309 (permalink)
Zakalwe
Cambridge, Cambridgeshire
 
 
Posts: 6 since May 2019
Thanks: 0 given, 26 received

If context is hard to gauge, then I donít see any problems in using volume profile in the way that Jerry Perl (mentioned some pages back) used for his Market Statistics idea.

For trend days, you typically have price one time frame along the 1st SD for a good chunk of the day. I saw this the past week on DAX and some FX pairs I trade. This usually comes with the move, build volume, then move layout on the profile, something I learned to look for off Peter Davies of Jigsaw.

The easier trades tended to be seen as the simple VWAP breakouts, that is, when a large base of volume has been made, usually a good hour or two into any session when VWAP has settled, youíll see the POC either above or below the VWAP. Thatís your skew, and price in relation to this gives you a trigger to go long or short based on whether it breaks out into a low volume area for the day, or carries on into the high volume for the day.

My only problem was with execution when I got caught out of false breaks that didnít make it to the 1st SD above/below VWAP, and the large stops. But from what I see of the method, itís sound. I base pretty much all my trading on this intraday way of assessing whether we have a trend, reversion to mean, or reversal.

Reply With Quote
The following 3 users say Thank You to Zakalwe for this post:
 
(login for full post details)
  #310 (permalink)
 paigow 
hamilton ontario canada
 
Experience: Intermediate
Platform: sierra
Trading: e-mini
 
Posts: 14 since Feb 2017
Thanks: 1 given, 2 received

Johnny Boy

For rolling vwaps, do you use weekends?

Reply With Quote
 
(login for full post details)
  #311 (permalink)
Zakalwe
Cambridge, Cambridgeshire
 
 
Posts: 6 since May 2019
Thanks: 0 given, 26 received

So, I wanted to just give an actual example of how I use the VWAP myself, having just closed a trade this morning on the spot DAX.



What the picture above shows is the market as I just exited. Now, I made the cardinal sin of waking and immediately checking my phone and seeing a setup already forming. I guess it being a bank holiday here, I was a little too eager to take anything I saw, so please don't be impulsive like I was. It's one of my biggest personal faults in trading.

The bands should be pretty self-explanatory. You've got the VWAP and 1st, 2nd, 3rd SDs, along with their 0.5 increment bands up to 2.5 SD. All VWAP calcs come from ETH start, but because volume is negligible, this has no impact on the main action in RTH. To avoid the large spread of trading FDAX, I trade the spot market. To get around the volume issue of this, the data feed is FXCM's, which is a suitably accurate one with Oanda's being a fairly good alternative.

The volume profile shows the Point of Control, or as Jerry Perl called it for this method, Peak Volume Price. The dashed line is historic PVP. As you can see, this was at 11217 around the start of the trading session in Frankfurt, before quickly moving with gusto to the downside. Friday had been an up day in the second half of the trading session, so I figured we were due a correction judging by the composite profile of the last week.

I saw a setup after this, when price fell down to -1 SD, and where the PVP shifted down to just below the VWAP. This tells me two things: that there is a major player at this low building volume for a potential move up, and that should price break the VWAP with conviction, the likelihood of a momentum trade to at least +1 SD is a high probability trade.

Setting a buy stop at the VWAP targeting at least +1 SD, with a stop around -1 SD, I let it play out. Got filled within half an hour of this setup forming, and despite a bounce off VWAP initially, moving down to and halting at -0.5 SD, the trade played out as expected, though I moved to take a +1.5 SD profit after managing it actively, so my evolving R:R was better than 1:1 in the end.

If you check the market now, it kept going on and is now kissing the +3 SD, so I could have stayed in longer, especially as the probability of such a powerful move reaching the 2nd SD is fairly high with this skew and this early in the trading day. But alas, it was not to be.

Sometimes, if I use another chart layout that uses range bars and looks backward more, I may be able to stay in a trend better than using VWAP bands and HA candles.

For whatever reason, VWAP bands don't calculate on range bars here and I never really forced myself into looking as to why, since I figure they would still respect the calculation. Still, what I gain in less noise in range bars, I lose the momentum of the time element with the first chart layout.

That's me done for the day then. I cancel any other alerts for VWAP touches or PVP crossing VWAPs that may be on the FX majors or crude and go about my day. I hope this was useful for someone, it does help me focus when writing out trades like this, and having been the mod of a large FX Discord channel, it's nice to see some actual professionalism on display for once, rather than having to deal with a load of poseurs and clueless muppets.

Reply With Quote
The following 6 users say Thank You to Zakalwe for this post:
 
(login for full post details)
  #312 (permalink)
forexnetworth
Mirdiff+Dubai+UAE
 
 
Posts: 2 since Sep 2019
Thanks: 1 given, 0 received

Great thread.
Thanks Jonny Boy for the detailed explanation of VWAP.
Thanks everyone for the excellent information shared here.

Reply With Quote
 
(login for full post details)
  #313 (permalink)
 Freshstart17 
Switzerland
 
Experience: Intermediate
Platform: Sierra Charts
Trading: Emini, Crude, T notes, EU6, JY6
 
Posts: 4 since Jan 2017
Thanks: 3 given, 2 received

Dear JonnyBoy many thanks for the effort you have put in sharing your knowledge and "on the field" experience with VWAP.
It took me few days to go through the entire thread and I find it really really valuable. There is no doubt I'll give it a try and will likely have VWAP in my toolbox from now on.

Thanks to Jakobe for posting your chartbook from Sierra. I used it as a base to build another one on my own. I had no idea how to create shaded areas between SDs so that was super on your side. Well done :-). I'll attach mine to this post for whoever cares. No better no worse. Just different version.

I have some questions. Some are generic some are Sierra specific.

1) In the attached snapshot, from the first part of Friday June 5th, as some may notice, VWAP is anchored to 0830 New York time. I find there seems to be some "obedient" price action even before the open. It would be nice to have your opinion Jonny.....any reasons to favour 0930 instead of 0830 ?

2) For Sierra users. Please see my chart settings and study settings. Is this what you guys are using ?
3) Is there a way to anchor VWAP every day to the start of the current trading day automatically ?

Many thanks to All.

Rgds Gio





Beginning of Day


Chart Settings


Study Settings

Attached Files
Register to download File Type: cht VWAP987Vers3.Cht (67.8 KB, 13 views)
Reply With Quote
The following user says Thank You to Freshstart17 for this post:
 
(login for full post details)
  #314 (permalink)
 ChartWarrior 
Toronto, Canada
 
Experience: Intermediate
Platform: Sierra, Jigsaw
Trading: ES
 
ChartWarrior's Avatar
 
Posts: 36 since Jan 2013
Thanks: 3 given, 14 received


Freshstart17 View Post
Dear JonnyBoy many thanks for the effort you have put in sharing your knowledge and "on the field" experience with VWAP.
It took me few days to go through the entire thread and I find it really really valuable. There is no doubt I'll give it a try and will likely have VWAP in my toolbox from now on.

Thanks to Jakobe for posting your chartbook from Sierra. I used it as a base to build another one on my own. I had no idea how to create shaded areas between SDs so that was super on your side. Well done :-). I'll attach mine to this post for whoever cares. No better no worse. Just different version.

I have some questions. Some are generic some are Sierra specific.

1) In the attached snapshot, from the first part of Friday June 5th, as some may notice, VWAP is anchored to 0830 New York time. I find there seems to be some "obedient" price action even before the open. It would be nice to have your opinion Jonny.....any reasons to favour 0930 instead of 0830 ?

2) For Sierra users. Please see my chart settings and study settings. Is this what you guys are using ?
3) Is there a way to anchor VWAP every day to the start of the current trading day automatically ?

Many thanks to All.

Rgds Gio



Isn't VWAP already anchored automatically at the beginning of the day if you set the time?
This is what I have for VWAP:



(pasted screenshot)

If your edge puts the odds in your favor, then every loss puts you that much closer to a win.
Reply With Quote
 
(login for full post details)
  #315 (permalink)
 ChartWarrior 
Toronto, Canada
 
Experience: Intermediate
Platform: Sierra, Jigsaw
Trading: ES
 
ChartWarrior's Avatar
 
Posts: 36 since Jan 2013
Thanks: 3 given, 14 received


JonnyBoy View Post
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.

Without revealing too much of your secrets stuff, what would you suggest to look for when entering in terms of bar structure? Assuming no other indicators/delta/etc.

If your edge puts the odds in your favor, then every loss puts you that much closer to a win.
Reply With Quote
 
(login for full post details)
  #316 (permalink)
 JonnyBoy 
Market Wizard
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
 
JonnyBoy's Avatar
 
Posts: 1,559 since Apr 2012
Thanks: 706 given, 3,737 received


ChartWarrior View Post
Without revealing too much of your secrets stuff, what would you suggest to look for when entering in terms of bar structure? Assuming no other indicators/delta/etc.

I understand your question but my answer may not seem all that intuitive.

The snapshots below are of charts spanning the same 30 minute period. The first is a 918 tick chart, the second is my data series and the third is a 2000 tick. As you can see, they appear quite different even though they are displaying the same information.

If you take a look at the lowest swing low on the 918 tick chart, as price rotated upwards from the -2SD to the -1SD band, you could certainly consider that an SD continuation is forming for another leg lower because there are lots bar closes within the -1SD band itself and price did penetrate the band lower on a couple of occasions.

If you look at my data series (second snapshot) I have managed to virtually eliminate that visual. When you look at the open of the bar following for the first bar to close within the -1SD envelope after the swing low, it opened right on the upper -1SD envelope line. The wick shows that price protruded outside the envelope (to the downside) but ultimately retraced and price headed towards VWAP for a VWAP cross. So, this (on my data series at least) was not all that convincing.

This is what I mean by my answer not being all that intuitive.

However, if you are looking for something with respect to what to look for by bar structure, I would consider the same price action requirements for a 2nd entry. On the 2000 tick chart (I always found 2000 tick charts were excellent at showing 2nd entries) this is a very clear IMO for the same location as mentioned above. In that once the swing low was made, price retraced higher into the -1SD band and closed within it. The 1st entry short failed (very common) and the second entry didn't happen at all, which would have lead me to believe price is probably heading back to VWAP, or needs more time within the -1SD band. A second entry lower would have probably worked out nicely.

As I have mentioned many times, you need to live and breathe the price action inside these envelopes and discover what works for you. Second entries are a very common method of dissecting price action. In fact the more you go back over your charts, especially on a 2000 tick, you will be amazed at how many opportunities are valid ones within these envelopes.

Second entries can also be seen on the same bar, but these are little bit tricky to spot but are nonetheless valid.




--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Reply With Quote
The following 3 users say Thank You to JonnyBoy for this post:
 
(login for full post details)
  #317 (permalink)
 MiamiTrader 
Miami FL/US
 
Experience: Intermediate
Platform: NinjaTrader
Broker: NinjaTrader Brokerage
Trading: Futures
 
Posts: 29 since Jan 2019
Thanks: 8 given, 29 received


JonnyBoy View Post
I understand your question but my answer may not seem all that intuitive.

The snapshots below are of charts spanning the same 30 minute period. The first is a 918 tick chart, the second is my data series and the third is a 2000 tick. As you can see, they appear quite different even though they are displaying the same information.

If you take a look at the lowest swing low on the 918 tick chart, as price rotated upwards from the -2SD to the -1SD band, you could certainly consider that an SD continuation is forming for another leg lower because there are lots bar closes within the -1SD band itself and price did penetrate the band lower on a couple of occasions.

If you look at my data series (second snapshot) I have managed to virtually eliminate that visual. When you look at the open of the bar following for the first bar to close within the -1SD envelope after the swing low, it opened right on the upper -1SD envelope line. The wick shows that price protruded outside the envelope (to the downside) but ultimately retraced and price headed towards VWAP for a VWAP cross. So, this (on my data series at least) was not all that convincing.

This is what I mean by my answer not being all that intuitive.

However, if you are looking for something with respect to what to look for by bar structure, I would consider the same price action requirements for a 2nd entry. On the 2000 tick chart (I always found 2000 tick charts were excellent at showing 2nd entries) this is a very clear IMO for the same location as mentioned above. In that once the swing low was made, price retraced higher into the -1SD band and closed within it. The 1st entry short failed (very common) and the second entry didn't happen at all, which would have lead me to believe price is probably heading back to VWAP, or needs more time within the -1SD band. A second entry lower would have probably worked out nicely.

As I have mentioned many times, you need to live and breathe the price action inside these envelopes and discover what works for you. Second entries are a very common method of dissecting price action. In fact the more you go back over your charts, especially on a 2000 tick, you will be amazed at how many opportunities are valid ones within these envelopes.

Second entries can also be seen on the same bar, but these are little bit tricky to spot but are nonetheless valid.




For some reason I can only see one attachment (301695). Can you repost them?

Reply With Quote
The following user says Thank You to MiamiTrader for this post:
 
(login for full post details)
  #318 (permalink)
 Yan Vas 
Anapa, Russia
 
Experience: Beginner
Platform: TigerTrade
Trading: Emini ES, Curde CL
 
Posts: 8 since Nov 2019
Thanks: 2 given, 6 received


I have been using VWAP for a long time. But this interpretation has greatly improved the understanding of the market situation.

Follow me on Twitter Reply With Quote
The following user says Thank You to Yan Vas for this post:
 
(login for full post details)
  #319 (permalink)
 Silvester17 
Market Wizard
Columbus, OH
 
Experience: None
Platform: NT 8, TOS
Trading: ES
 
Silvester17's Avatar
 
Posts: 3,585 since Aug 2009
Thanks: 5,079 given, 11,380 received


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 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.

@JonnyBoy,

if you haven't done the trial yet, there's a new version with some more cool stuff:

- self updating DrawCator VWAP, no need to manually drag end point beyond last bar to update

- provide multiple attach and roll modes for quick drawing directly from context menu

- support weekly, prior week, monthly n-th day, session, current bar mode

- support 1-click draw mode. single click on any bar make vwap up to current bar


I think this is already update no 5. I guess there's no limit when it comes to creativity


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

Reply With Quote
The following 3 users say Thank You to Silvester17 for this post:
 
(login for full post details)
  #320 (permalink)
 JonnyBoy 
Market Wizard
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
 
JonnyBoy's Avatar
 
Posts: 1,559 since Apr 2012
Thanks: 706 given, 3,737 received


Silvester17 View Post
@JonnyBoy,

if you haven't done the trial yet, there's a new version with some more cool stuff:

- self updating DrawCator VWAP, no need to manually drag end point beyond last bar to update

- provide multiple attach and roll modes for quick drawing directly from context menu

- support weekly, prior week, monthly n-th day, session, current bar mode

- support 1-click draw mode. single click on any bar make vwap up to current bar


I think this is already update no 5. I guess there's no limit when it comes to creativity


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

Very nice. I might actually have to check this out. It is certainly "cheaper'' than coding this all by myself!

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Reply With Quote
The following 2 users say Thank You to JonnyBoy for this post:
 
(login for full post details)
  #321 (permalink)
dekalog
Gdańsk Poland
 
 
Posts: 2 since Jan 2019
Thanks: 0 given, 1 received

I have been stalking this thread for some time and since there has been some reference to software/settings etc. I thought readers might be interested in my software setup, one screenshot of which is shown below

fx_majors

The software used to create this is the Scientific Programming Language Octave https://www.gnu.org/software/octave/. This is not trading specific software, but a https://en.wikipedia.org/wiki/Free_and_open-source_software alternative to MATLAB, but as readers can see it can be used for trading purposes.

Obviously the screenshot is of candlesticks (10 minute bars) with volume along the bottom and Volume Profile displayed as the horizontal histograms. The background heatmap shows normalised Volume Profile with the "current" POC being the bright yellow horizontal bar. The blue and red horizontal lines are the value lines wihin which approx. 70% of the Volume Profile histogram lies. The red bands that follow price are the VWAP and the plus/minus 1 Standard deviations, including the Standard error of the VWAP. This standard error is the ubiased error of a weighted moving average, i.e. VWAP.

The charts begin at the close of business 17:00 EST and the vertical green line shows 07:00 BST (London open). As the charts update other vertical lines will appear showing 07:00 EST (New York open) and 17:00 BST (London close) to easily distinguish between different trading sessions.

The data used for this is downloaded via the Oanda API and updates automatically via a cron job (https://en.wikipedia.org/wiki/Cron).

It is not my intent to criticise trading software per se or users thereof, but as readers can see it is not necessary to spend any money on trading software or monthly subscriptions to an online charting service. Of course I realise that coding the sort of thing above is not everyone's cup of tea, but for those traders who wish to "cut their losses," cutting charting costs is one option. I know that Octave is not a mainstream choice for this; perhaps the Python language https://www.python.org/ or R https://www.r-project.org/ would be better for most because of the greater availability of trading specific software add-ons/frameworks.

For more details readers are invited to view my blog at https://dekalogblog.blogspot.com/, which has code for the above.

Reply With Quote
The following 7 users say Thank You to dekalog for this post:
 
(login for full post details)
  #322 (permalink)
 joe s 
sacramento ca us
 
Experience: Intermediate
Platform: Ninja Trader,Trade Station
Trading: es
 
Posts: 117 since Aug 2015
Thanks: 96 given, 76 received

that is different looks interesting thanks

Reply With Quote
The following user says Thank You to joe s for this post:
 
(login for full post details)
  #323 (permalink)
 jakobe 
Atlanta, Georgia
 
Experience: Beginner
Platform: Sierra Chart
Trading: MES
 
jakobe's Avatar
 
Posts: 112 since Sep 2016
Thanks: 69 given, 91 received

What up @JonnyBoy !
Hope you've been doing well! So, I've been putting some time into SIM trading/live trading these VWAP setups and I've come across some situations that have left me scratching my head. Hoping you could help, if you're able/willing, explain how you approach these types of scenarios.


This screenshot shows one VWAP test long (#1) and SD continuation long (#2).
I've come across instances where price will wick into the bands signaling a particular setup and quickly move out in the intended direction never moving back into the band to present another opportunity to buy/sell. I'm wondering if all conditions are met are you taking that trade the moment price touches inside band and then comes out? It can happen in a flash and I've been left out at times sorta just sitting there like "uuhh well damn" - for now I've tried to just take those trades if all market conditions are met and been feeling like I might not be allowing price to show me if the setup is invalid. (ie: price wicks into band and then back out towards my target, but only to break down and hit my stop shortly there after; I'm just thinking I'm being too quick to take the trade?)


This screenshot shows an example of what I was talking about. #3 shows price entering the VWAP band and quickly coming back out towards target. I took the long trade as we've been trending up all morning, had a sell off from 10:15 till the moment I took the long trade at 10:50 or so. It failed and price ultimately found OTH VWAP as support. Should I be giving price more time to show me if the setup will be invalid in these instances? #4 I actually took a long trade here and viewed it as a SD reversion long following my previous bias.


#5 is a SD continuation long. This question revolves around moving targets/stops. As price trends up/down the bands, VWAP and SD's will slope up and down. My question to you is, do you keep your targets/stops set while in a trade? Or do you dynamically move the targets as the VWAP/SD bands are changing/sloping up and down? In this example trade #5 if I were to dynamically move my stop up tick by tick hugging the bottom part of the SD band I would be stopped out. But if I kept my stop the same at the point of entry, not touching it, I would have hit my T1. Just curious if you move these around and keep them fluid inline with VWAP/SD sloping up & down or static.

As always, your time and knowledge are helpful and I greatly appreciate it!

Attached Thumbnails
Click image for larger version

Name:	Capture.PNG
Views:	93
Size:	31.2 KB
ID:	302122  
Reply With Quote
The following user says Thank You to jakobe for this post:
 
(login for full post details)
  #324 (permalink)
 JonnyBoy 
Market Wizard
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
 
JonnyBoy's Avatar
 
Posts: 1,559 since Apr 2012
Thanks: 706 given, 3,737 received


jakobe View Post
What up @JonnyBoy !
Hope you've been doing well! So, I've been putting some time into SIM trading/live trading these VWAP setups and I've come across some situations that have left me scratching my head. Hoping you could help, if you're able/willing, explain how you approach these types of scenarios.


This screenshot shows one VWAP test long (#1) and SD continuation long (#2).
I've come across instances where price will wick into the bands signaling a particular setup and quickly move out in the intended direction never moving back into the band to present another opportunity to buy/sell. I'm wondering if all conditions are met are you taking that trade the moment price touches inside band and then comes out? It can happen in a flash and I've been left out at times sorta just sitting there like "uuhh well damn" - for now I've tried to just take those trades if all market conditions are met and been feeling like I might not be allowing price to show me if the setup is invalid. (ie: price wicks into band and then back out towards my target, but only to break down and hit my stop shortly there after; I'm just thinking I'm being too quick to take the trade?)


This screenshot shows an example of what I was talking about. #3 shows price entering the VWAP band and quickly coming back out towards target. I took the long trade as we've been trending up all morning, had a sell off from 10:15 till the moment I took the long trade at 10:50 or so. It failed and price ultimately found OTH VWAP as support. Should I be giving price more time to show me if the setup will be invalid in these instances? #4 I actually took a long trade here and viewed it as a SD reversion long following my previous bias.


#5 is a SD continuation long. This question revolves around moving targets/stops. As price trends up/down the bands, VWAP and SD's will slope up and down. My question to you is, do you keep your targets/stops set while in a trade? Or do you dynamically move the targets as the VWAP/SD bands are changing/sloping up and down? In this example trade #5 if I were to dynamically move my stop up tick by tick hugging the bottom part of the SD band I would be stopped out. But if I kept my stop the same at the point of entry, not touching it, I would have hit my T1. Just curious if you move these around and keep them fluid inline with VWAP/SD sloping up & down or static.

As always, your time and knowledge are helpful and I greatly appreciate it!

I'll try. What is your data series? And your charts are from yesterday's session (June 22nd)?

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Reply With Quote
 
(login for full post details)
  #325 (permalink)
 jakobe 
Atlanta, Georgia
 
Experience: Beginner
Platform: Sierra Chart
Trading: MES
 
jakobe's Avatar
 
Posts: 112 since Sep 2016
Thanks: 69 given, 91 received


JonnyBoy View Post
I'll try. What is your data series? And your charts are from yesterday's session (June 22nd)?



1234 tick data series and yes these are from the RTH session yesterday 6/22

Reply With Quote
 
(login for full post details)
  #326 (permalink)
 ChartWarrior 
Toronto, Canada
 
Experience: Intermediate
Platform: Sierra, Jigsaw
Trading: ES
 
ChartWarrior's Avatar
 
Posts: 36 since Jan 2013
Thanks: 3 given, 14 received


JonnyBoy View Post
I understand your question but my answer may not seem all that intuitive.

The snapshots below are of charts spanning the same 30 minute period. The first is a 918 tick chart, the second is my data series and the third is a 2000 tick. As you can see, they appear quite different even though they are displaying the same information.

If you take a look at the lowest swing low on the 918 tick chart, as price rotated upwards from the -2SD to the -1SD band, you could certainly consider that an SD continuation is forming for another leg lower because there are lots bar closes within the -1SD band itself and price did penetrate the band lower on a couple of occasions.

If you look at my data series (second snapshot) I have managed to virtually eliminate that visual. When you look at the open of the bar following for the first bar to close within the -1SD envelope after the swing low, it opened right on the upper -1SD envelope line. The wick shows that price protruded outside the envelope (to the downside) but ultimately retraced and price headed towards VWAP for a VWAP cross. So, this (on my data series at least) was not all that convincing.

This is what I mean by my answer not being all that intuitive.

However, if you are looking for something with respect to what to look for by bar structure, I would consider the same price action requirements for a 2nd entry. On the 2000 tick chart (I always found 2000 tick charts were excellent at showing 2nd entries) this is a very clear IMO for the same location as mentioned above. In that once the swing low was made, price retraced higher into the -1SD band and closed within it. The 1st entry short failed (very common) and the second entry didn't happen at all, which would have lead me to believe price is probably heading back to VWAP, or needs more time within the -1SD band. A second entry lower would have probably worked out nicely.

As I have mentioned many times, you need to live and breathe the price action inside these envelopes and discover what works for you. Second entries are a very common method of dissecting price action. In fact the more you go back over your charts, especially on a 2000 tick, you will be amazed at how many opportunities are valid ones within these envelopes.

Second entries can also be seen on the same bar, but these are little bit tricky to spot but are nonetheless valid.




Thank you very much! Need to read it carefully.

If your edge puts the odds in your favor, then every loss puts you that much closer to a win.
Reply With Quote
 
(login for full post details)
  #327 (permalink)
 JonnyBoy 
Market Wizard
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
 
JonnyBoy's Avatar
 
Posts: 1,559 since Apr 2012
Thanks: 706 given, 3,737 received


jakobe View Post
What up @JonnyBoy !
Hope you've been doing well! So, I've been putting some time into SIM trading/live trading these VWAP setups and I've come across some situations that have left me scratching my head. Hoping you could help, if you're able/willing, explain how you approach these types of scenarios.


This screenshot shows one VWAP test long (#1) and SD continuation long (#2).
I've come across instances where price will wick into the bands signaling a particular setup and quickly move out in the intended direction never moving back into the band to present another opportunity to buy/sell. I'm wondering if all conditions are met are you taking that trade the moment price touches inside band and then comes out? It can happen in a flash and I've been left out at times sorta just sitting there like "uuhh well damn" - for now I've tried to just take those trades if all market conditions are met and been feeling like I might not be allowing price to show me if the setup is invalid. (ie: price wicks into band and then back out towards my target, but only to break down and hit my stop shortly there after; I'm just thinking I'm being too quick to take the trade?)

I don't know if this is a $64,000 question or a $1,000,000 one. I used picture perfect examples to explain the concept, but reality is akin to navigating through a grey fog. Sometimes we meet a clearing and other times we can't see a damn thing. So, RE: (#1). On your data series (and mine actually) price only wicked into the envelope, literally by a smidge. A more granular tick chart will not help you here in instances like this.

Due to the way my data series works, I had some distinct advantages here; An anchored VWAP from the most recent swing low (orange dash-dot line). Placing an anchored VWAP on the swing low of 1234 tick chart doesn't help you here. We also had VWAP itself and underneath all of that was the ETH VWAP. I also have programmed in VWAP dots that tell me if the market is currently VWAP long or VWAP short regardless of price being above or below it.

#1


But, let's remove those "advantages" and look at #1 from the perspective of your 1234 tick chart. The first word that springs to mind is tricky. The market had just found buyers and the trend from down to up had potential but no confirmation yet. Some traders would have been caught out on the VWAP TEST SHORT, but this was right at the ETH VWAP so should have been avoided. So, with #1 you missed it and that is just that. It wasn't clear nor obvious.

#2 was a slam dunk. It was a perfect 2nd entry long on your chart. Now you could argue that #1 was also a 2nd entry long (albeit on the same bar) but the profit targets were tight. However, with #2 and the way the market had postured itself, the probabilities for continuing the upward trend were good.

I do prefer actual touches of the VWAP and SD lines, but sometimes the market is in such a hurry it just doesn't. Probability wise however the chances of it tagging that SD line and VWAP later in the session are higher. Presuming of course the open wasn't a bullish Open Drive in which case all bets are off.

With this in mind for your trade #3 you were anticipating the same thing would happen as the missed trade #1. In that the VWAP envelope was wicked, you entered only to get caught out by a losing trade because price actually touched and penetrated VWAP this time around! And where did price bounce? Right at the ETH VWAP, which isn't shown on your chart. This was also exactly a 61.8% retracement from the current day swing high to low.

If you had waited for a VWAP touch, you would not have got caught out. BUT, there was also a second entry long at VWAP which could have been tempting. So maybe just one of those trades that failed.

#3



jakobe View Post

This screenshot shows an example of what I was talking about. #3 shows price entering the VWAP band and quickly coming back out towards target. I took the long trade as we've been trending up all morning, had a sell off from 10:15 till the moment I took the long trade at 10:50 or so. It failed and price ultimately found OTH VWAP as support. Should I be giving price more time to show me if the setup will be invalid in these instances? #4 I actually took a long trade here and viewed it as a SD reversion long following my previous bias.

I like your logic here for #4. That was a good entry based on a VWAP CROSS from a bounce off the ETH VWAP (although you were not aware of this at the time, or maybe you were) and that 61.8% retracement. If you had held a running contract you could have probably paid for the loss you just took.


jakobe View Post

#5 is a SD continuation long. This question revolves around moving targets/stops. As price trends up/down the bands, VWAP and SD's will slope up and down. My question to you is, do you keep your targets/stops set while in a trade? Or do you dynamically move the targets as the VWAP/SD bands are changing/sloping up and down? In this example trade #5 if I were to dynamically move my stop up tick by tick hugging the bottom part of the SD band I would be stopped out. But if I kept my stop the same at the point of entry, not touching it, I would have hit my T1. Just curious if you move these around and keep them fluid inline with VWAP/SD sloping up & down or static.

In general I place my targets at the price the SD bands were at on the bar in which I enter. Else, you'll be continually nudging them and may not get filled. The only exception is holding a running contract which I might just keep nudging as the trade is working.

As for moving the stop (as long as we are not talking about adding additional breathing room), too early can really eat into your potential profits. Too late and you miss the profit. This is really down to the individual trader and your risk profile. I can't really give you a good answer to this one.

In addition, late day expansion of the VWAP bands really leaves you with a predicament. It will project really good/profitable targets from your entry, but if the average range of these types of trades is 3 points, why would the market suddenly do 7 points? Mmm, perhaps I haven't explained that well enough. Think ATR. And how you could use it.

There were 3 points on offer for trade #5 I believe.

I have to run and I might make some edits to this post if I get the time. I haven't read through it yet...

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Reply With Quote
The following 6 users say Thank You to JonnyBoy for this post:
 
(login for full post details)
  #328 (permalink)
 sg72 
Orange County, CA, USA
 
Experience: Intermediate
Platform: NinjaTrader, Fidelity ATP
Trading: ES/NQ/RTY, Equity ETFs, Options
 
Posts: 28 since Sep 2018
Thanks: 23 given, 32 received


JonnyBoy View Post

I also have programmed in VWAP dots that tell me if the market is currently VWAP long or VWAP short regardless of price being above or below it.

Hi JonnyBoy,

Assuming this isn't part of your proprietary secret sauce, may I ask what you mean when you say the market is VWAP long or VWAP short? And in this statement are you referring to ETH or RTH VWAP?

Thank you in advance.

Reply With Quote
The following user says Thank You to sg72 for this post:
 
(login for full post details)
  #329 (permalink)
 jakobe 
Atlanta, Georgia
 
Experience: Beginner
Platform: Sierra Chart
Trading: MES
 
jakobe's Avatar
 
Posts: 112 since Sep 2016
Thanks: 69 given, 91 received

Hey @JonnyBoy
Thanks for the insight on this! I appreciate it.

Definitely a challenge navigating these setups in certain instances but I am doing my best to apply the context of the day and realizing what type of market conditions we're seeing.

In regards to the anchored VWAP - why would that not work on a regular tick chart?

Reply With Quote
 
(login for full post details)
  #330 (permalink)
 forestcall 
Tokushima, Japan
 
Experience: Beginner
Platform: Tradovate + Tradingview
Trading: Futures + Stocks
 
forestcall's Avatar
 
Posts: 57 since Jun 2020
Thanks: 65 given, 93 received

I know this comment is over a year ago. I'm an avid scalper. I make my entire income from trading futures. Scalping to "me" is the ultimate risk management style of trading. VWAP is critical to my trading process. I have developed some custom scripts that I use to sync Bookmap and NT8 and part of the sync process is based around VWAP. I don't connect Bookmap to NT8 to make trades but more so I can see investor volume, investor type/class and size (iceberg and various sizes that I have funny names to specify size) in NT8. Its still a work in progress. I have Bookmap and Tradingview working very smoothly but sadly TradingView's API development is slower than ice melting on the North Pole.

VWAP is a huge part of the math that makes Bookmap so amazing, and combining all that yummy data into NT8 seems like a winning strategy. I have been dreaming about creating the dream retail platform. Problem is some of my developer friends are senior management for the biggest companies in the world and to bring them onto such a project would easily cost $200-$300k a year in salary for such top talent. It would be hard to imagine a $10 million development budget in todays times :-) I can dream :-)



JonnyBoy View Post
VWAP is the ONLY moving average you need on your chart. The VWAP is a key measure of execution quality for large orders used by institutional investors. There is no playing down its importance.

There is so much more to VWAP. Some traders either don't know or have undervalued its importance. It goes way beyond the VWAP for the current day. You can use static historical VWAPs, historical rolling VWAPs, static ETH VWAPs, rolling ETH VWAPs, a developing VWAPs pinned to a swing high or swing low as key reference points. You can determine a VWAP test, a VWAP cross, a VWAP reversion and of course you can apply these to the STD DEV of VWAP too. And so much more!


Follow me on Twitter Reply With Quote
The following 3 users say Thank You to forestcall for this post:
 
(login for full post details)
  #331 (permalink)
 JonnyBoy 
Market Wizard
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
 
JonnyBoy's Avatar
 
Posts: 1,559 since Apr 2012
Thanks: 706 given, 3,737 received


jakobe View Post
Hey @JonnyBoy
Thanks for the insight on this! I appreciate it.

Definitely a challenge navigating these setups in certain instances but I am doing my best to apply the context of the day and realizing what type of market conditions we're seeing.

In regards to the anchored VWAP - why would that not work on a regular tick chart?

Indeed. When the trading day starts our job is to determine what the market is trying to do and if it is doing a good job of doing it. This is key to determining the best VWAP approach.

With respect to the anchored VWAP question, I meant to come back and edit that post with an example. The 2 snapshots below are from the trade #1 location as discussed prior. On my data series the anchored VWAP (from the swing low bar) gives much better definition vs. anchoring one from swing low on the 1234 tick chart. In that when the wick dipped for me there were 2 layers of support there, the anchored VWAP and VWAP itself.

This is just the way I have set up my data series of how it calculates the volume near the swing low etc. This doesn't mean in any way that other data series can't or shouldn't use anchored VWAPs, they just needs more care with their placement.

mydataseries


1234tickchart

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Reply With Quote
The following 8 users say Thank You to JonnyBoy for this post:
 
(login for full post details)
  #332 (permalink)
 jakobe 
Atlanta, Georgia
 
Experience: Beginner
Platform: Sierra Chart
Trading: MES
 
jakobe's Avatar
 
Posts: 112 since Sep 2016
Thanks: 69 given, 91 received


JonnyBoy View Post
Indeed. When the trading day starts our job is to determine what the market is trying to do and if it is doing a good job of doing it. This is key to determining the best VWAP approach.

With respect to the anchored VWAP question, I meant to come back and edit that post with an example. The 2 snapshots below are from the trade #1 location as discussed prior. On my data series the anchored VWAP (from the swing low bar) gives much better definition vs. anchoring one from swing low on the 1234 tick chart. In that when the wick dipped for me there were 2 layers of support there, the anchored VWAP and VWAP itself.

This is just the way I have set up my data series of how it calculates the volume near the swing low etc. This doesn't mean in any way that other data series can't or shouldn't use anchored VWAPs, they just needs more care with their placement.

mydataseries


1234tickchart

Hmmm .. Very interesting!
I will have to dabble with the anchored VWAP on my tick chart and see what type of results I see.

Once again, your insight and opinion is much appreciated!

Reply With Quote
The following user says Thank You to jakobe for this post:
 
(login for full post details)
  #333 (permalink)
thoughtful
Bend OR
 
 
Posts: 43 since Apr 2020
Thanks: 12 given, 57 received

Here's what I think about VWAP, I could be wrong but this is my take on it:

VWAP is simply a volume-weighted average, except that it usually starts at the beginning of a session and it's lookback gets larger and larger. So at the latest plot, over all the data in that lookback ... it's the average volume over that price-range/y-axis. So it's exactly like volume profile over that same lookback except the last plot shows you the AVERAGE volume of the entire volume profile, which sometimes is the same as the volume profile peak, which sounds cool, BUT... sometimes it isn't when there's 2 or more volume profile peaks (2 or more trends) -- in which case it shows you the average (middle) between those two (or more) peaks. Why would you want to see an average of multiple trends' volume? That doesn't give you good support/resistance levels -- instead that gives you the middle of the multiple trends' ranges. So, depending on how many trends are within the lookback period, it's showing you DIFFERENT things at different times ... so if you're trying to use VWAP as support/resistance, then this will sometimes be giving you bad information! So it seems to me you'd be much better off just looking at volume profile LOL.

This may be your reaction right now-->

I know people will say... "But even if it's showing you multiple trends, it's showing you the entire day's average volume profile peak, and that's what large companies (the big volume) uses." Yes but then you're looking at a larger scale/timeframe than the daytrading session, so you must be running a longer term system. Which is fine, so I'm just saying the VWAP is not suitable for daytraders.

Also be aware that if you calculate it the standard way where it keeps increasing the lookback then you're constantly increasing/changing it's SCALE that it's showing you, which makes it incompatible/inconsistent with any other analysis you do. Seems to me you should just pick a constant lookback, instead of the lookback increasing as the day session goes on.

Also, I don't think you even want to use a volume-weighted average anyways -- as opposed to a regular (just price) average. At reversal levels, if the market starts to go a little sideways, where some accumulation is going on, you want a price average so it shows you where the price is breaking out / getting going, whereas if you use a volume-weighted average it would make the average go closer to the middle of all of the high-volume sideways action thereby showing you a false breakout (too soon).

The CME uses it as a daily volume-weighted average to get a settlement price -- that makes sense... but for daytraders to use it -- that doesn't seem to make sense to me.

About volume in general, it's not a very useful thing, it doesn't tell you direction, nor can you really compare it to the past. So, IDK what to do with it, maybe you can qualify past strong price levels with the volume profile though. People trade the price, price is what makes the money not the volume, price can move far on low volume.

Reply With Quote
The following 4 users say Thank You to thoughtful for this post:
 
(login for full post details)
  #334 (permalink)
 forestcall 
Tokushima, Japan
 
Experience: Beginner
Platform: Tradovate + Tradingview
Trading: Futures + Stocks
 
forestcall's Avatar
 
Posts: 57 since Jun 2020
Thanks: 65 given, 93 received

Holy smokes you said a whole boatload of controversial stuff-

Get the popcorn ready because this is going to poke the bear.

Itís my sleeping time so I will come back and reply.

Fun times ahead




thoughtful View Post
Here's what I think about VWAP, I could be wrong but this is my take on it:

VWAP is simply a volume-weighted average, except that it usually starts at the beginning of a session and it's lookback gets larger and larger. So at the latest plot, over all the data in that lookback ... it's the average volume over that price-range/y-axis. So it's exactly like volume profile over that same lookback except the last plot shows you the AVERAGE volume of the entire volume profile, which sometimes is the same as the volume profile peak, which sounds cool, BUT... sometimes it isn't when there's 2 or more volume profile peaks (2 or more trends) -- in which case it shows you the average (middle) between those two (or more) peaks. Why would you want to see an average of multiple trends' volume? That doesn't give you good support/resistance levels -- instead that gives you the middle of the multiple trends' ranges. So, depending on how many trends are within the lookback period, it's showing you DIFFERENT things at different times ... so if you're trying to use VWAP as support/resistance, then this will sometimes be giving you bad information! So it seems to me you'd be much better off just looking at volume profile LOL.

This may be your reaction right now-->

I know people will say... "But even if it's showing you multiple trends, it's showing you the entire day's average volume profile peak, and that's what large companies (the big volume) uses." Yes but then you're looking at a larger scale/timeframe than the daytrading session, so you must be running a longer term system. Which is fine, so I'm just saying the VWAP is not suitable for daytraders.

Also be aware that if you calculate it the standard way where it keeps increasing the lookback then you're constantly increasing/changing it's SCALE that it's showing you, which makes it incompatible/inconsistent with any other analysis you do. Seems to me you should just pick a constant lookback, instead of the lookback increasing as the day session goes on.

Also, I don't think you even want to use a volume-weighted average anyways -- as opposed to a regular (just price) average. At reversal levels, if the market starts to go a little sideways, where some accumulation is going on, you want a price average so it shows you where the price is breaking out / getting going, whereas if you use a volume-weighted average it would make the average go closer to the middle of all of the high-volume sideways action thereby showing you a false breakout (too soon).

The CME uses it as a daily volume-weighted average to get a settlement price -- that makes sense... but for daytraders to use it -- that doesn't seem to make sense to me.

About volume in general, it's not a very useful thing, it doesn't tell you direction, nor can you really compare it to the past. So, IDK what to do with it, maybe you can qualify past strong price levels with the volume profile though. People trade the price, price is what makes the money not the volume, price can move far on low volume.


Follow me on Twitter Reply With Quote
 
(login for full post details)
  #335 (permalink)
 Silvester17 
Market Wizard
Columbus, OH
 
Experience: None
Platform: NT 8, TOS
Trading: ES
 
Silvester17's Avatar
 
Posts: 3,585 since Aug 2009
Thanks: 5,079 given, 11,380 received


thoughtful View Post
Which is fine, so I'm just saying the VWAP is not suitable for daytraders.

then I must ask, why do professional traders use the vwap? probably because their execution is measured by the vwap. some traders may even guarantee the vwap as the execution price. if they execute better, it's a profit. if not, then it's a loss.

anyway, some of those trades can take several days. but I'm fairly certain the majority are day trades. that alone should answer your question why the vwap is extremely important for daytraders. professional or retail, it's very useful information

Reply With Quote
The following 4 users say Thank You to Silvester17 for this post:
 
(login for full post details)
  #336 (permalink)
 bobwest 
Site Moderator
Sarasota FL
 
Experience: Advanced
Platform: Sierra Chart
Trading: ES, YM
 
bobwest's Avatar
 
Posts: 6,450 since Jan 2013
Thanks: 48,912 given, 21,581 received


thoughtful View Post
Here's what I think about VWAP, I could be wrong but this is my take on it:
...
The CME uses it as a daily volume-weighted average to get a settlement price -- that makes sense... but for daytraders to use it -- that doesn't seem to make sense to me.

About volume in general, it's not a very useful thing, it doesn't tell you direction, nor can you really compare it to the past. So, IDK what to do with it, maybe you can qualify past strong price levels with the volume profile though. People trade the price, price is what makes the money not the volume, price can move far on low volume.

@thoughtful, an interesting post. Likely it will soon get some responses.

You do realize, I hope, that others might say very similar things about just about anything.

One might ask, why are there so many opinions? I know a number of members on FIO who are profitable using many different and apparently incompatible methods. Sometimes we have interesting discussions about which is better, or right, or the "best" or the "only". These are good discussions because the best features of any method are brought out by the traders who are most committed to them.

But the bottom line always is money.

If only the traders who use price alone -- or anything else, by itself or in combination with anything else-- were profitable, that would mean something important. If some traders who use it are profitable and some who use something completely different are also profitable, that means something important too. And the latter is the actual case, just so you know.

Remember that the bottom line is always money, not what makes sense to a particular trader -- you, me or anyone else. There are things that I have never been able to make any money with, but I know others have. So I don't use them, and they do, and I have no problem with that.

Now, if anyone thinks that no one else can make any money with something they themselves don't use, well, that person needs to get out more.

This is not a criticism, just a reminder that there is more than one way to slice up anything.

Probably there will be more discussion, which is all to the good. Probably no one's opinion will be changed by it, but maybe some will. That's why we do this forum thing, or part of it anyway.

Bob.

When one door closes, another opens.
-- Cervantes, Don Quixote
Visit my futures io Trade Journal Reply With Quote
The following 4 users say Thank You to bobwest for this post:
 
(login for full post details)
  #337 (permalink)
 forestcall 
Tokushima, Japan
 
Experience: Beginner
Platform: Tradovate + Tradingview
Trading: Futures + Stocks
 
forestcall's Avatar
 
Posts: 57 since Jun 2020
Thanks: 65 given, 93 received

@thoughtful

I have been using vwap + ichimoku cloud as part of my scalping strategy. I have put a lot of research and testing into a process where I hold 4-10 contracts for 1-5 minutes.

Follow me on Twitter Reply With Quote
 
(login for full post details)
  #338 (permalink)
 JonnyBoy 
Market Wizard
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
 
JonnyBoy's Avatar
 
Posts: 1,559 since Apr 2012
Thanks: 706 given, 3,737 received


thoughtful View Post
Which is fine, so I'm just saying the VWAP is not suitable for daytraders.

cvx


ua


jpm


tsla


rcl


pru


pnc


nue


nflx


nem


mro


khc


hal


gt


gild


erx


dal


cat


atvi


cog


hrb


scla


sm


cop


bx


spy


ba

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Reply With Quote
The following 11 users say Thank You to JonnyBoy for this post:
 
(login for full post details)
  #339 (permalink)
 MiamiTrader 
Miami FL/US
 
Experience: Intermediate
Platform: NinjaTrader
Broker: NinjaTrader Brokerage
Trading: Futures
 
Posts: 29 since Jan 2019
Thanks: 8 given, 29 received


thoughtful View Post
Here's what I think about VWAP, I could be wrong but this is my take on it:

VWAP is simply a volume-weighted average, except that it usually starts at the beginning of a session and it's lookback gets larger and larger. So at the latest plot, over all the data in that lookback ... it's the average volume over that price-range/y-axis. So it's exactly like volume profile over that same lookback except the last plot shows you the AVERAGE volume of the entire volume profile, which sometimes is the same as the volume profile peak, which sounds cool, BUT... sometimes it isn't when there's 2 or more volume profile peaks (2 or more trends) -- in which case it shows you the average (middle) between those two (or more) peaks. Why would you want to see an average of multiple trends' volume? That doesn't give you good support/resistance levels -- instead that gives you the middle of the multiple trends' ranges. So, depending on how many trends are within the lookback period, it's showing you DIFFERENT things at different times ... so if you're trying to use VWAP as support/resistance, then this will sometimes be giving you bad information! So it seems to me you'd be much better off just looking at volume profile LOL.

This may be your reaction right now-->

I know people will say... "But even if it's showing you multiple trends, it's showing you the entire day's average volume profile peak, and that's what large companies (the big volume) uses." Yes but then you're looking at a larger scale/timeframe than the daytrading session, so you must be running a longer term system. Which is fine, so I'm just saying the VWAP is not suitable for daytraders.

Also be aware that if you calculate it the standard way where it keeps increasing the lookback then you're constantly increasing/changing it's SCALE that it's showing you, which makes it incompatible/inconsistent with any other analysis you do. Seems to me you should just pick a constant lookback, instead of the lookback increasing as the day session goes on.

Also, I don't think you even want to use a volume-weighted average anyways -- as opposed to a regular (just price) average. At reversal levels, if the market starts to go a little sideways, where some accumulation is going on, you want a price average so it shows you where the price is breaking out / getting going, whereas if you use a volume-weighted average it would make the average go closer to the middle of all of the high-volume sideways action thereby showing you a false breakout (too soon).

The CME uses it as a daily volume-weighted average to get a settlement price -- that makes sense... but for daytraders to use it -- that doesn't seem to make sense to me.

About volume in general, it's not a very useful thing, it doesn't tell you direction, nor can you really compare it to the past. So, IDK what to do with it, maybe you can qualify past strong price levels with the volume profile though. People trade the price, price is what makes the money not the volume, price can move far on low volume.


I've been testing a modified strategy of this and here are my results so far. It's for the MES and only around 140 trades but looks promising so far.


Reply With Quote
The following 3 users say Thank You to MiamiTrader for this post:
 
(login for full post details)
  #340 (permalink)
 mtzimmer1 
Legendary Recovering Method Hopper
Upstate NY
 
Experience: Intermediate
Platform: TOS
Broker: TD Ameritrade
Trading: Equities, Treasuries, Gold
 
mtzimmer1's Avatar
 
Posts: 810 since Dec 2018
Thanks: 2,183 given, 1,820 received


MiamiTrader View Post
I've been testing a modified strategy of this and here are my results so far. It's for the MES and only around 140 trades but looks promising so far.


What modifications have you made? I've been trying out some different ideas and have found mixed results thus far.

Follow me on Twitter Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #341 (permalink)
 MiamiTrader 
Miami FL/US
 
Experience: Intermediate
Platform: NinjaTrader
Broker: NinjaTrader Brokerage
Trading: Futures
 
Posts: 29 since Jan 2019
Thanks: 8 given, 29 received


mtzimmer1 View Post
What modifications have you made? I've been trying out some different ideas and have found mixed results thus far.

I use order flow (Jiigsaw ladder) and the volume profile provided by ninja to set unconventional stops and targets. I also come in with 2 contracts, take my first profit, set my breakeven, and let the last contract ride.

Reply With Quote
The following 3 users say Thank You to MiamiTrader for this post:
 
(login for full post details)
  #342 (permalink)
 JonnyBoy 
Market Wizard
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
 
JonnyBoy's Avatar
 
Posts: 1,559 since Apr 2012
Thanks: 706 given, 3,737 received


MiamiTrader View Post
I've been testing a modified strategy of this and here are my results so far. It's for the MES and only around 140 trades but looks promising so far.


You need to include commission in your back test, but nonetheless, impressive PF!

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Reply With Quote
 
(login for full post details)
  #343 (permalink)
 MiamiTrader 
Miami FL/US
 
Experience: Intermediate
Platform: NinjaTrader
Broker: NinjaTrader Brokerage
Trading: Futures
 
Posts: 29 since Jan 2019
Thanks: 8 given, 29 received


JonnyBoy View Post
You need to include commission in your back test, but nonetheless, impressive PF!

Thanks. Right, I believe there is a section in NT to put that info. For what its worth I use Phillip Capital and round trip with 2 CT is $1.84 (see breakdown below).

COMMISSION -0.36 USD
NFA FEE -0.08 USD
ROUTING FEE -0.60 USD
CLEARING FEE -0.80 USD
TOTAL COMM & FEES -1.84 USDE

Reply With Quote
 
(login for full post details)
  #344 (permalink)
 JonnyBoy 
Market Wizard
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
 
JonnyBoy's Avatar
 
Posts: 1,559 since Apr 2012
Thanks: 706 given, 3,737 received


MiamiTrader View Post
Thanks. Right, I believe there is a section in NT to put that info. For what its worth I use Phillip Capital and round trip with 2 CT is $1.84 (see breakdown below).

COMMISSION -0.36 USD
NFA FEE -0.08 USD
ROUTING FEE -0.60 USD
CLEARING FEE -0.80 USD
TOTAL COMM & FEES -1.84 USDE

There sure is.

Tools > Commissions and then under 'Future' add in 50% of your full round $ turn in the 'Per-unit commission'.

When you tick the Commission box (when running a back test) the commission will be applied for opening and closing of a position which will equate to the full round turn cost. Are you really paying $1.84 for a full round turn on the Micros? That seems a little higher than average.

Also, was this just a regular back test under Strategy Analyzer or Market Replay? If it was under Strategy Analyzer then your results might fall into the category of one of NinjaTrader's back testing gotcha's, in that the "real'' results could be quite different.

Typically, I use the Strategy Analyzer to get me in the ballpark of whether I want to continue pursuing a particular strategy. Simply put, I would back test using market replay on a playback connection. The results will be much more accurate as the granularity of the back test will be per tick.

If this is in Market Replay, then I would say you may have a good setup here to explore further using a larger data set, in and out of sample, walking forward etc. that kind of thing.

EDIT: On reflection I was probably too harsh on Strategy Analyzer. It is actually very good to use for very quick testing and saves a lot of time rather than doing market replay. It sucks at back testing exotic bars but if you don't use these I am going to say that Strategy Analyzer will probably be good enough.

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Reply With Quote
The following 4 users say Thank You to JonnyBoy for this post:
 
(login for full post details)
  #345 (permalink)
 MiamiTrader 
Miami FL/US
 
Experience: Intermediate
Platform: NinjaTrader
Broker: NinjaTrader Brokerage
Trading: Futures
 
Posts: 29 since Jan 2019
Thanks: 8 given, 29 received


JonnyBoy View Post
There sure is.

Tools > Commissions and then under 'Future' add in 50% of your full round $ turn in the 'Per-unit commission'.

When you tick the Commission box (when running a back test) the commission will be applied for opening and closing of a position which will equate to the full round turn cost. Are you really paying $1.84 for a full round turn on the Micros? That seems a little higher than average.

Also, was this just a regular back test under Strategy Analyzer or Market Replay? If it was under Strategy Analyzer then your results might fall into the category of one of NinjaTrader's back testing gotcha's, in that the "real'' results could be quite different.

Typically, I use the Strategy Analyzer to get me in the ballpark of whether I want to continue pursuing a particular strategy. Simply put, I would back test using market replay on a playback connection. The results will be much more accurate as the granularity of the back test will be per tick.

If this is in Market Replay, then I would say you may have a good setup here to explore further using a larger data set, in and out of sample, walking forward etc. that kind of thing.

EDIT: On reflection I was probably too harsh on Strategy Analyzer. It is actually very good to use for very quick testing and saves a lot of time rather than doing market replay. It sucks at back testing exotic bars but if you don't use these I am going to say that Strategy Analyzer will probably be good enough.

Actually these are my discretionary live trades on real $$$. I haven't updated the last bot to reflect any of these changes YET. The goal is to eventually move to the ES when i have enough hands so the commissions are minimal.

I have the multi-broker lifetime license. Can you recommend another broker with better commissions than these below that work good with NT? *** BEGIN EDIT **** Just reread your post and there appears to be a misunderstanding. It's $0.92 per round and I'm opening up with 2 contracts which is where I get the $1.84. *** END EDIT ****

https://ninjatrader.com/PDF/ninjatrader_futures_commissions.pdf

With respect to strategy analyzer i never use it. I always run a market replay as I want complete accuracy. I just need to find a better way of storing my results of Market Replay because NT does not save them or the charts. Having to review 2-3 years of charts and numbers is not easy to do in a short period of time. Currently i output my results to Excel to review for later.

Thanks

Reply With Quote
The following 2 users say Thank You to MiamiTrader for this post:
 
(login for full post details)
  #346 (permalink)
 sg72 
Orange County, CA, USA
 
Experience: Intermediate
Platform: NinjaTrader, Fidelity ATP
Trading: ES/NQ/RTY, Equity ETFs, Options
 
Posts: 28 since Sep 2018
Thanks: 23 given, 32 received

Hi JonnyBoy,

Hopefully I'm not being a pest. I posted the following question a while back and didn't see a response. Hopefully, you just missed it and you're not giving me the cold shoulder . I appreciate your time and all the knowledge you've shared in this thread. Also, greatly appreciate all the stock charts you posted with the VWAP setup.

Q: Assuming this isn't part of your proprietary secret sauce, may I ask what you mean when you say the market is VWAP long or VWAP short? And in this statement are you referring to ETH or RTH VWAP? (You mentioned this in post #326 in this thread).

Much obliged.


BTW, to answer your question in the previous post, the $1.84 commission for micros in MiamiTrader's post was for 2 contracts. NT Brokerage charges $0.92 per round turn per micro contract (commission plus fees) for lifetime NT license holders. It was $0.82 just a few weeks (or so) ago.

Thanks you.

Reply With Quote
 
(login for full post details)
  #347 (permalink)
 jakobe 
Atlanta, Georgia
 
Experience: Beginner
Platform: Sierra Chart
Trading: MES
 
jakobe's Avatar
 
Posts: 112 since Sep 2016
Thanks: 69 given, 91 received


MiamiTrader View Post
Can you recommend another broker with better commissions than these below that work good with NT?

I'm unsure if NT works with AMP, but I pay $0.78 R/T using CQG.

Reply With Quote
 
(login for full post details)
  #348 (permalink)
 JonnyBoy 
Market Wizard
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
 
JonnyBoy's Avatar
 
Posts: 1,559 since Apr 2012
Thanks: 706 given, 3,737 received


sg72 View Post
Hi JonnyBoy,

Hopefully I'm not being a pest. I posted the following question a while back and didn't see a response. Hopefully, you just missed it and you're not giving me the cold shoulder . I appreciate your time and all the knowledge you've shared in this thread. Also, greatly appreciate all the stock charts you posted with the VWAP setup.

Q: Assuming this isn't part of your proprietary secret sauce, may I ask what you mean when you say the market is VWAP long or VWAP short? And in this statement are you referring to ETH or RTH VWAP? (You mentioned this in post #326 in this thread).

Much obliged.


BTW, to answer your question in the previous post, the $1.84 commission for micros in MiamiTrader's post was for 2 contracts. NT Brokerage charges $0.92 per round turn per micro contract (commission plus fees) for lifetime NT license holders. It was $0.82 just a few weeks (or so) ago.

Thanks you.

Oh yes, I must have missed it. Maybe you didn't tag me?

Although the chart markers (red /green dots) are proprietary, the term VWAP long/short is probably mine, I think anyway. The idea behind them is based the probabilities of price discovery probing the next VWAP line. So, this literally means when a dot triggers on a bar close, price has a high(er) probability of probing the nearest VWAP line in the said direction.

I typically read the first new dot as a "something has changed" read. I.E. the market has gone from VWAP long to VWAP short. Any subsequent dots can be read the same way in that price has a high(er) probability of probing the next "available" VWAP line.

But, as you can see from the attached chart even when a dot plots in the opposite direction (say red to green) and the dot is "wrong" (look at around 08:16 at the VWAP band - after the green dot plotted price never made it to the +SD1 envelope line), however if the next bar subsequently closes below that "wrong" dot that is essentially an entry all by itself in that new direction.

And if you take this logic and say that the next bar that closes higher/lower than the last dot plotted is a change from VWAP short to long and vice versa and you can follow up with an entry, you can essentially bounce a single contract all day and keep reversing position accordingly. But, this is good for certain types of days only.

So, although that may have answered your question, the logic behind it is part of the sauce so that is probably about as useful as a chocolate teapot. However, it is all based on volume profile, price discovery and the local VWAP range of a specific selection of bars.


--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Reply With Quote
The following 4 users say Thank You to JonnyBoy for this post:
 
(login for full post details)
  #349 (permalink)
 JonnyBoy 
Market Wizard
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
 
JonnyBoy's Avatar
 
Posts: 1,559 since Apr 2012
Thanks: 706 given, 3,737 received


MiamiTrader View Post
Actually these are my discretionary live trades on real $$$. I haven't updated the last bot to reflect any of these changes YET. The goal is to eventually move to the ES when i have enough hands so the commissions are minimal.

I have the multi-broker lifetime license. Can you recommend another broker with better commissions than these below that work good with NT? *** BEGIN EDIT **** Just reread your post and there appears to be a misunderstanding. It's $0.92 per round and I'm opening up with 2 contracts which is where I get the $1.84. *** END EDIT ****

https://ninjatrader.com/PDF/ninjatrader_futures_commissions.pdf

With respect to strategy analyzer i never use it. I always run a market replay as I want complete accuracy. I just need to find a better way of storing my results of Market Replay because NT does not save them or the charts. Having to review 2-3 years of charts and numbers is not easy to do in a short period of time. Currently i output my results to Excel to review for later.

Thanks

Well you got the best commission out there for sure! And if all of those trades are discretionary then I think you certainly have something great to build on!

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Reply With Quote
 
(login for full post details)
  #350 (permalink)
 josh 
Legendary Market Wizard
Georgia, US
 
Experience: None
Platform: SC
Broker: AMP+CQG
Trading: ES, HSI, Nikkei
 
josh's Avatar
 
Posts: 5,466 since Jan 2011
Thanks: 6,055 given, 14,517 received


JonnyBoy View Post
Well you got the best commission out there for sure! And if all of those trades are discretionary then I think you certainly have something great to build on!


To clarify, he said his rate is $0.92 per micro R/T (his attached sheet confirms with 0.46 per side) which is significantly higher than the lowest cost retail option I know of ($0.74 in my case).

Reply With Quote
The following user says Thank You to josh for this post:
 
(login for full post details)
  #351 (permalink)
thoughtful
Bend OR
 
 
Posts: 43 since Apr 2020
Thanks: 12 given, 57 received


JonnyBoy View Post
...(lots of screenshots)...

Like I said... I could be wrong... it was just my opinion from a logical perspective.

Alot of those signals on the screenshots were early in the day, so the VWAP didn't have a large lookback, so it's basically the same as a regular average at that point in time. But the signals later in the day look good (continuations/pullbacks), but again, it could just be that a longer term average works well too -- maybe because it's showing you a larger scale. Also, one would probably get the same results as VWAP by simply plotting a line that's halfway between the high & low of the day. I notice the screenshots have multiple VWAPs so that tells me one VWAP by itself isn't working all that well, so if one doesn't work well, then why would more? But hey... I get it -- whatever works for you. Maybe there's something similar/same as VWAP that would make more logical sense (to me), but hey, if VWAP seems to work for anyone, then that's what matters. I personally don't think it has any magical qualities, but it's all good.

Reply With Quote
The following 3 users say Thank You to thoughtful for this post:
 
(login for full post details)
  #352 (permalink)
 JonnyBoy 
Market Wizard
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
 
JonnyBoy's Avatar
 
Posts: 1,559 since Apr 2012
Thanks: 706 given, 3,737 received


thoughtful View Post
Like I said... I could be wrong... it was just my opinion from a logical perspective.

Alot of those signals on the screenshots were early in the day, so the VWAP didn't have a large lookback, so it's basically the same as a regular average at that point in time. But the signals later in the day look good (continuations/pullbacks), but again, it could just be that a longer term average works well too -- maybe because it's showing you a larger scale. Also, one would probably get the same results as VWAP by simply plotting a line that's halfway between the high & low of the day. I notice the screenshots have multiple VWAPs so that tells me one VWAP by itself isn't working all that well, so if one doesn't work well, then why would more? But hey... I get it -- whatever works for you. Maybe there's something similar/same as VWAP that would make more logical sense (to me), but hey, if VWAP seems to work for anyone, then that's what matters. I personally don't think it has any magical qualities, but it's all good.

At the end of the day, the VWAP is still a moving average. It doesn't have any magical qualities but then again I don't think anybody said that it does. The charts you refer to do not have multiple VWAPs, they show the standard deviations of VWAP - which can play a significant role in support and resistance of VWAP executions. Not knowing this leads me to believe you don't really have an understanding of how VWAP truly works and just dismissed it with a statement that it wasn't suitable for day traders - but that is contrary to virtually everything I know and have been taught about VWAP.

I would go as far to say that 2 of the most important aspects of modern financial markets are VWAP trading and the order book. Not EMAs, SMAs, midlines...etc.

Although ES is my mainstay futures instrument, I also trade the stocks shown on those charts via Trading View. There are identical VWAP setups on many stocks every single day. Stocks are just easier to VWAP trade. These VWAP setups consistently make money day in and day out.

Early or late in the day doesn't matter. Although sometimes tricky to trade the first few minutes, VWAP is measurable from the first second to the last second of the trading day and can be traded accordingly. Every trader sees identical information at exactly the same time. A behaviour that is completely different than any other moving average.

VWAPís enduring appeal lies in its ease of attainability. It is a moving target, and hence a more forgiving benchmark than arrival prices. With VWAP benchmarks, a trader or an algorithm models the volume distribution and then slices and dices the trades within a certain time interval on that distribution. As long as an algorithm does that, it is likely to achieve the VWAP over a given time horizon. This is true even if there are significant stock price moves during the day, either due to market impacts of the trading, or due to the stockís volatility.

But, with the arrival price benchmarking, if a trader or an algorithm executes trades in size quickly, the ensuing market impact is likely to result in average execution prices that are worse than the arrival price. On the other hand, if the algorithm/trader executes the trades slowly (to reduce market impact), the volatility of the stocks may still result in execution prices that are far from the arrival price.

In short, given the availability of such a simple measure as implementation shortfall, VWAP remains the primary benchmark in algorithmic trading and has done for decades. No institution on a consistent basis executes or benchmarks against any other moving average except for VWAP.

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Reply With Quote
The following 11 users say Thank You to JonnyBoy for this post:
 
(login for full post details)
  #353 (permalink)
 joe s 
sacramento ca us
 
Experience: Intermediate
Platform: Ninja Trader,Trade Station
Trading: es
 
Posts: 117 since Aug 2015
Thanks: 96 given, 76 received

well said JonnyBoy

Reply With Quote
 
(login for full post details)
  #354 (permalink)
 josh 
Legendary Market Wizard
Georgia, US
 
Experience: None
Platform: SC
Broker: AMP+CQG
Trading: ES, HSI, Nikkei
 
josh's Avatar
 
Posts: 5,466 since Jan 2011
Thanks: 6,055 given, 14,517 received


thoughtful View Post
but again, it could just be that a longer term average works well too

So use the longer term average. There are many ways to skin a cat, and many ways to model a market.


thoughtful View Post
Also, one would probably get the same results as VWAP by simply plotting a line that's halfway between the high & low of the day.

So do it. Research your idea, and post the results. Of course, on some days (rotational, balanced days; and likely weakly trending days) they will be very close. On other days (afternoon breakouts from a developed base for example) they will be nowhere close. When you say "probably," I think you really mean "I'm completely guessing", with very little reason behind it. So, stop guessing and do some work.


thoughtful View Post
I notice the screenshots have multiple VWAPs so that tells me one VWAP by itself isn't working all that well, so if one doesn't work well, then why would more?

You seem to be hung up on "working" ... VWAPs don't "work," nor do moving averages, nor does anything. It's just information. It's not trading. Blindly buying and selling lines is guaranteed to fail over a large enough sample size that span multiple market regimes.


thoughtful View Post
hey, if VWAP seems to work for anyone, then that's what matters. I personally don't think it has any magical qualities, but it's all good.

Nobody else think it's magic either, and if they do, they're mistaken. It's a number. It's the sum of the products of the price and volume across a set of transactions, divided by the sum of the volume across the same set of transactions. That's it.

Its significance comes from the fact that it is widely used as a benchmark for order fills by institutions and investment firms. When a client order needs to be filled, if a VWAP algo is used, its goal is to buy or sell at a better price than the daily VWAP. This type of algo is available to retail traders also: https://www.interactivebrokers.com/en/index.php?f=1124 .... so no, there's no magic, no one claimed there's magic, and its use as support and resistance depends, as all things do, on the context.

An anchored VWAP, or profile, or anything, gives you information over the range that you specify. If VWAP represents some notion of "value", then the VWAP anchored at a particular starting point should represent value over that range, to you. It's that simple; no magic, just information that may serve as an edge for some.

Reply With Quote
The following 15 users say Thank You to josh for this post:
 
(login for full post details)
  #355 (permalink)
 forgiven 
Fletcher NC
 
Experience: Intermediate
Platform: nijia trader
Broker: A.M.P. I.Q. ....C.Q.G.
Trading: ym es
 
forgiven's Avatar
 
Posts: 668 since Mar 2012
Thanks: 154 given, 396 received

does any one have any experience in taking the day be for vwap from the RTH and using it as fixed levels for the current days RTH , then over laying the developing vwap from the current days open . the idea is to look for areas of vwap confluence. thanks for input

Follow me on Twitter Visit my futures io Trade Journal Reply With Quote
The following user says Thank You to forgiven for this post:
 
(login for full post details)
  #356 (permalink)
 JonnyBoy 
Market Wizard
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
 
JonnyBoy's Avatar
 
Posts: 1,559 since Apr 2012
Thanks: 706 given, 3,737 received


forgiven View Post
does any one have any experience in taking the day be for vwap from the RTH and using it as fixed levels for the current days RTH , then over laying the developing vwap from the current days open . the idea is to look for areas of vwap confluence. thanks for input

I project 7 prior days of static RTH VWAP as horizontal lines. I also project the prior 7 days of rolling RTH VWAP.

I believe these levels (especially the rolling VWAPs) are important and I use them every day.

One thing to note, I don't usually consider historical ETH VWAP levels, other than the rolling ETH VWAP from the OVN. However, with the OVN volume changes just recently I might need to start thinking about incorporating more of them. The jury is still out but I am assessing.

Combining the VWAPs with volume profile (for me anyway) paints the only picture I need to know when trading.

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Reply With Quote
The following 10 users say Thank You to JonnyBoy for this post:
 
(login for full post details)
  #357 (permalink)
 forgiven 
Fletcher NC
 
Experience: Intermediate
Platform: nijia trader
Broker: A.M.P. I.Q. ....C.Q.G.
Trading: ym es
 
forgiven's Avatar
 
Posts: 668 since Mar 2012
Thanks: 154 given, 396 received


JonnyBoy View Post
I project 7 prior days of static RTH VWAP as horizontal lines. I also project the prior 7 days of rolling RTH VWAP.

I believe these levels (especially the rolling VWAPs) are important and I use them every day.

One thing to note, I don't usually consider historical ETH VWAP levels, other than the rolling ETH VWAP from the OVN. However, with the OVN volume changes just recently I might need to start thinking about incorporating more of them. The jury is still out but I am assessing.

Combining the VWAPs with volume profile (for me anyway) paints the only picture I need to know when trading.

thank you for sharing all your work on this subject .. good job !

Follow me on Twitter Visit my futures io Trade Journal Reply With Quote
The following 3 users say Thank You to forgiven for this post:
 
(login for full post details)
  #358 (permalink)
 joe s 
sacramento ca us
 
Experience: Intermediate
Platform: Ninja Trader,Trade Station
Trading: es
 
Posts: 117 since Aug 2015
Thanks: 96 given, 76 received

I have to give that a try thanks

Reply With Quote
 
(login for full post details)
  #359 (permalink)
 martinhunting 
melbourne victoria australia
 
Experience: Advanced
Platform: ninjatrader
Broker: FXCM
Trading: AUS200
 
Posts: 118 since Apr 2016
Thanks: 58 given, 129 received


JonnyBoy View Post
At the end of the day, the VWAP is still a moving average. It doesn't have any magical qualities but then again I don't think anybody said that it does. The charts you refer to do not have multiple VWAPs, they show the standard deviations of VWAP - which can play a significant role in support and resistance of VWAP executions. Not knowing this leads me to believe you don't really have an understanding of how VWAP truly works and just dismissed it with a statement that it wasn't suitable for day traders - but that is contrary to virtually everything I know and have been taught about VWAP.

I would go as far to say that 2 of the most important aspects of modern financial markets are VWAP trading and the order book. Not EMAs, SMAs, midlines...etc.

Although ES is my mainstay futures instrument, I also trade the stocks shown on those charts via Trading View. There are identical VWAP setups on many stocks every single day. Stocks are just easier to VWAP trade. These VWAP setups consistently make money day in and day out.

Early or late in the day doesn't matter. Although sometimes tricky to trade the first few minutes, VWAP is measurable from the first second to the last second of the trading day and can be traded accordingly. Every trader sees identical information at exactly the same time. A behaviour that is completely different than any other moving average.

VWAPís enduring appeal lies in its ease of attainability. It is a moving target, and hence a more forgiving benchmark than arrival prices. With VWAP benchmarks, a trader or an algorithm models the volume distribution and then slices and dices the trades within a certain time interval on that distribution. As long as an algorithm does that, it is likely to achieve the VWAP over a given time horizon. This is true even if there are significant stock price moves during the day, either due to market impacts of the trading, or due to the stockís volatility.

But, with the arrival price benchmarking, if a trader or an algorithm executes trades in size quickly, the ensuing market impact is likely to result in average execution prices that are worse than the arrival price. On the other hand, if the algorithm/trader executes the trades slowly (to reduce market impact), the volatility of the stocks may still result in execution prices that are far from the arrival price.

In short, given the availability of such a simple measure as implementation shortfall, VWAP remains the primary benchmark in algorithmic trading and has done for decades. No institution on a consistent basis executes or benchmarks against any other moving average except for VWAP.

Here are two 5 min charts of the AUS200 Thursday and Friday, with both the daily VWAP and the moving 50SMA. and the 15EMA averages more information and trading opportunities comes from the 50 SMA and the 15 min EMA on Thursday The early trade on Thursday from the opening cannot be traded by the VWAP as there is not enough information, however the 50 SMA acts as resistance for the Initial Balance. Both the moving averages and the VWAP changes trend together for a move up. Price does not break through the 15EMA, that is, no full body of a candle goes below the 15 EMA the opening initial balance becomes support , however the trend is still up as shown by the slope of the 50 SMA. moreover the 50 moving average and the VWAP turned for a trend change together on the first change but the latter the 50 SMA. changed slope for a trend change but the VWAP was still sloping up
On the Friday from the opening price moved down inside the 15 EMA , and the first deviation, price broke through both of them at the same time. Price moved into a balance across the weighted volume with the 50 SMA with a slight trend up which price did not break through with a full bar until it started to show a break in the trend.



Visit my futures io Trade Journal Reply With Quote
The following 2 users say Thank You to martinhunting for this post:
 
(login for full post details)
  #360 (permalink)
 joe s 
sacramento ca us
 
Experience: Intermediate
Platform: Ninja Trader,Trade Station
Trading: es
 
Posts: 117 since Aug 2015
Thanks: 96 given, 76 received

thanks I only see 1 chart

Reply With Quote
 
(login for full post details)
  #361 (permalink)
 martinhunting 
melbourne victoria australia
 
Experience: Advanced
Platform: ninjatrader
Broker: FXCM
Trading: AUS200
 
Posts: 118 since Apr 2016
Thanks: 58 given, 129 received


joe s View Post
thanks I only see 1 chart

The other chart is up now !

Visit my futures io Trade Journal Reply With Quote
The following user says Thank You to martinhunting for this post:
 
(login for full post details)
  #362 (permalink)
 joe s 
sacramento ca us
 
Experience: Intermediate
Platform: Ninja Trader,Trade Station
Trading: es
 
Posts: 117 since Aug 2015
Thanks: 96 given, 76 received

thanks martinhunting

Reply With Quote
 
(login for full post details)
  #363 (permalink)
 JonnyBoy 
Market Wizard
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
 
JonnyBoy's Avatar
 
Posts: 1,559 since Apr 2012
Thanks: 706 given, 3,737 received


martinhunting View Post
Here are two 5 min charts of the AUS200 Thursday and Friday, with both the daily VWAP and the moving 50SMA. and the 15EMA averages more information and trading opportunities comes from the 50 SMA and the 15 min EMA on Thursday The early trade on Thursday from the opening cannot be traded by the VWAP as there is not enough information, however the 50 SMA acts as resistance for the Initial Balance. Both the moving averages and the VWAP changes trend together for a move up. Price does not break through the 15EMA, that is, no full body of a candle goes below the 15 EMA the opening initial balance becomes support , however the trend is still up as shown by the slope of the 50 SMA. moreover the 50 moving average and the VWAP turned for a trend change together on the first change but the latter the 50 SMA. changed slope for a trend change but the VWAP was still sloping up
On the Friday from the opening price moved down inside the 15 EMA , and the first deviation, price broke through both of them at the same time. Price moved into a balance across the weighted volume with the 50 SMA with a slight trend up which price did not break through with a full bar until it started to show a break in the trend.

Very nice. It's great you have found something that works for you.

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Reply With Quote
The following user says Thank You to JonnyBoy for this post:
 
(login for full post details)
  #364 (permalink)
 martinhunting 
melbourne victoria australia
 
Experience: Advanced
Platform: ninjatrader
Broker: FXCM
Trading: AUS200
 
Posts: 118 since Apr 2016
Thanks: 58 given, 129 received

Now this is how you get peoples attention on the topic!


Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #365 (permalink)
 JonnyBoy 
Market Wizard
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
 
JonnyBoy's Avatar
 
Posts: 1,559 since Apr 2012
Thanks: 706 given, 3,737 received


martinhunting View Post
Now this is how you get peoples attention on the topic!


Let's hope she knows the difference between VWAP and VWMA then...

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Reply With Quote
 
(login for full post details)
  #366 (permalink)
 martinhunting 
melbourne victoria australia
 
Experience: Advanced
Platform: ninjatrader
Broker: FXCM
Trading: AUS200
 
Posts: 118 since Apr 2016
Thanks: 58 given, 129 received


sydney white belly sea eagles


If you need something to watch this is great!

Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #367 (permalink)
 bobwest 
Site Moderator
Sarasota FL
 
Experience: Advanced
Platform: Sierra Chart
Trading: ES, YM
 
bobwest's Avatar
 
Posts: 6,450 since Jan 2013
Thanks: 48,912 given, 21,581 received


martinhunting View Post

sydney white belly sea eagles

...

If you need something to watch this is great!

@martinhunting, this is getting pretty off-topic.

Let's move back to the topic of the thread.

Thanks.

Bob.

When one door closes, another opens.
-- Cervantes, Don Quixote
Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #368 (permalink)
 Keab 
London UK
 
Experience: Intermediate
Platform: SierraChart/TT/
Broker: LCT/Denali
Trading: SandP futures
 
Posts: 443 since Jul 2013
Thanks: 61 given, 254 received


josh View Post
So use the longer term average. There are many ways to skin a cat, and many ways to model a market.



So do it. Research your idea, and post the results. Of course, on some days (rotational, balanced days; and likely weakly trending days) they will be very close. On other days (afternoon breakouts from a developed base for example) they will be nowhere close. When you say "probably," I think you really mean "I'm completely guessing", with very little reason behind it. So, stop guessing and do some work.



You seem to be hung up on "working" ... VWAPs don't "work," nor do moving averages, nor does anything. It's just information. It's not trading. Blindly buying and selling lines is guaranteed to fail over a large enough sample size that span multiple market regimes.



Nobody else think it's magic either, and if they do, they're mistaken. It's a number. It's the sum of the products of the price and volume across a set of transactions, divided by the sum of the volume across the same set of transactions. That's it.

Its significance comes from the fact that it is widely used as a benchmark for order fills by institutions and investment firms. When a client order needs to be filled, if a VWAP algo is used, its goal is to buy or sell at a better price than the daily VWAP. This type of algo is available to retail traders also: https://www.interactivebrokers.com/en/index.php?f=1124 .... so no, there's no magic, no one claimed there's magic, and its use as support and resistance depends, as all things do, on the context.

An anchored VWAP, or profile, or anything, gives you information over the range that you specify. If VWAP represents some notion of "value", then the VWAP anchored at a particular starting point should represent value over that range, to you. It's that simple; no magic, just information that may serve as an edge for some.

I went to visit my cousin a few weeks ago and he is a senior sell side trader at a major financial institution. His job is to buy shares that fund managers want to have in their portfolios and to get the best price. No I don't know why it's called sell.side either?!

I asked him about VWAP on the individual shares as my understanding was that it was the benchmark to beat. He surprised me by saying that it was certainly a metric but the real comparison tool something which was a completely different calculation based on who knows what. As it's an institution I'm sure it would.be unfathomable but would assume that some of it would be based on underlying market conditions for that day e.g. if market was up 1% that day, the sector was up 1.5% and the stock itself was up 2% then it would have to take all that into account. But I really am guessing!

But I do know that this calculation it was a very different figure to VWAP. As this was individual share trading perhaps this explains the difference? Who knows...

Reply With Quote
 
(login for full post details)
  #369 (permalink)
 JonnyBoy 
Market Wizard
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
 
JonnyBoy's Avatar
 
Posts: 1,559 since Apr 2012
Thanks: 706 given, 3,737 received


Keab View Post
I went to visit my cousin a few weeks ago and he is a senior sell side trader at a major financial institution. His job is to buy shares that fund managers want to have in their portfolios and to get the best price. No I don't know why it's called sell.side either?!

I asked him about VWAP on the individual shares as my understanding was that it was the benchmark to beat. He surprised me by saying that it was certainly a metric but the real comparison tool something which was a completely different calculation based on who knows what. As it's an institution I'm sure it would.be unfathomable but would assume that some of it would be based on underlying market conditions for that day e.g. if market was up 1% that day, the sector was up 1.5% and the stock itself was up 2% then it would have to take all that into account. But I really am guessing!

But I do know that this calculation it was a very different figure to VWAP. As this was individual share trading perhaps this explains the difference? Who knows...

You are not wrong here. There are many moving pieces that establish an individual traders success (and overall the institutions success) and VWAP is an important piece but not the only piece.

A friend of mine is an ex-institution VWAP trader. Whilst I can't divulge detailed specifics of how all these things work (or used to work at his institution), what your cousin could have been referring to are the trading and KPI tools available to them that can be used for liquidity aggregation. This is especially relevant where high volume positions must be hedged as a result of adverse moves in security prices.

What he could be meaning (and I am trying to pick up on some things you referred to) here is that the traders are also measured against their efficiency in maximizing the volume that can be hedged against his/her position. What I mean by that is that they can offset some volume from what might be considered an "expensive" position at the cost of the price that is saved when acquiring "cheaper" positions. This isn't any simple hedge, this is a carefully crafted calculation.

They achieve this by building their position using their own calculated spread using VWAP as the price calculation, remembering at the same time that this type of execution should also have minimal price movement. They never want to been "seen'' accumulating or distributing to give away their positional intent.

This could or it could not be what your cousin was referring too but it is one of a handful of benchmarks.

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Reply With Quote
The following user says Thank You to JonnyBoy for this post:
 
(login for full post details)
  #370 (permalink)
Vale Zaragoza
16400 SPAIN
 
 
Posts: 13 since Jun 2019
Thanks: 29 given, 7 received

Thanks for this great post! It is helping me a lot in my trading.

Reply With Quote
 
(login for full post details)
  #371 (permalink)
 Keab 
London UK
 
Experience: Intermediate
Platform: SierraChart/TT/
Broker: LCT/Denali
Trading: SandP futures
 
Posts: 443 since Jul 2013
Thanks: 61 given, 254 received


JonnyBoy View Post
You are not wrong here. There are many moving pieces that establish an individual traders success (and overall the institutions success) and VWAP is an important piece but not the only piece.

A friend of mine is an ex-institution VWAP trader. Whilst I can't divulge detailed specifics of how all these things work (or used to work at his institution), what your cousin could have been referring to are the trading and KPI tools available to them that can be used for liquidity aggregation. This is especially relevant where high volume positions must be hedged as a result of adverse moves in security prices.

What he could be meaning (and I am trying to pick up on some things you referred to) here is that the traders are also measured against their efficiency in maximizing the volume that can be hedged against his/her position. What I mean by that is that they can offset some volume from what might be considered an "expensive" position at the cost of the price that is saved when acquiring "cheaper" positions. This isn't any simple hedge, this is a carefully crafted calculation.

They achieve this by building their position using their own calculated spread using VWAP as the price calculation, remembering at the same time that this type of execution should also have minimal price movement. They never want to been "seen'' accumulating or distributing to give away their positional intent.

This could or it could not be what your cousin was referring too but it is one of a handful of benchmarks.

Very interesting Jonnyboy, thanks for the reply. Are you essentially saying that the overall price is simply averaged throughout the day? am assuming it's not as simple as that!

Reply With Quote
The following user says Thank You to Keab for this post:
 
(login for full post details)
  #372 (permalink)
 JonnyBoy 
Market Wizard
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
 
JonnyBoy's Avatar
 
Posts: 1,559 since Apr 2012
Thanks: 706 given, 3,737 received


Keab View Post
Very interesting Jonnyboy, thanks for the reply. Are you essentially saying that the overall price is simply averaged throughout the day? am assuming it's not as simple as that!

No. Not even close to being as simple as that. I was attempting to simplify that particular aspect, but that doesn't mean it is simple.

While VWAP and their associated strategies are relatively straightforward in concept, their implementation is anything but.

EDIT: The attachment here is the document that started my VWAP journey.

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Attached Files
Register to download File Type: pdf TP_Spring_2002_Madhavan.pdf (242.0 KB, 130 views)
Reply With Quote
The following 3 users say Thank You to JonnyBoy for this post:
 
(login for full post details)
  #373 (permalink)
 sheldonxp 
Gaborone, Botswana
 
 
Posts: 13 since Jul 2020
Thanks: 2 given, 2 received


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.

Did you really come up with a strategy that consistently generates a third win rate with 1:1 r/r? If so, why not just flip the entries and exits and you will have a winning strategy?

Reply With Quote
The following user says Thank You to sheldonxp for this post:
 
(login for full post details)
  #374 (permalink)
 MiamiTrader 
Miami FL/US
 
Experience: Intermediate
Platform: NinjaTrader
Broker: NinjaTrader Brokerage
Trading: Futures
 
Posts: 29 since Jan 2019
Thanks: 8 given, 29 received


sheldonxp View Post
Did you really come up with a strategy that consistently generates a third win rate with 1:1 r/r? If so, why not just flip the entries and exits and you will have a winning strategy?

I have a habit of programming trading ideas into NinjaTrader to see if it has potential in a strategy I can adapt for my discretionary or algorithmic trading. I use a modified version of this strategy for discretionary and it works well. I haven't put in the time to make something work algorithmically (if you will) because I've been swamped with other more important tasks. My algorithmic strategy that is not related to VWAP does well so I'm focused on improving it currently.

Reply With Quote
 
(login for full post details)
  #375 (permalink)
Lfx987
London
 
 
Posts: 51 since Apr 2019
Thanks: 90 given, 71 received


sheldonxp View Post
Did you really come up with a strategy that consistently generates a third win rate with 1:1 r/r? If so, why not just flip the entries and exits and you will have a winning strategy?


Find a losing strategy and then do the opposite.

This subject has been debated (and tested to death) certainly in the forex market.

No one has ever proven that such a strategy would work (discretionary or algo).

View below interesting youtube video:




Anyway, apologies for digressing from the purpose of this thread.

Reply With Quote
The following user says Thank You to Lfx987 for this post:
 
(login for full post details)
  #376 (permalink)
 JonnyBoy 
Market Wizard
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
 
JonnyBoy's Avatar
 
Posts: 1,559 since Apr 2012
Thanks: 706 given, 3,737 received


Lfx987 View Post
Find a losing strategy and then do the opposite.

This subject has been debated (and tested to death) certainly in the forex market.

No one has ever proven that such a strategy would work (discretionary or algo).

View below interesting youtube video:




Anyway, apologies for digressing from the purpose of this thread.

You are correct. Taking a poor performing strategy and just reversing it won't magically make it profitable. It just doesn't work like that. I have reversed only a handful of strategies I have tested, but this was more out of frustration than anything else and the results were no better. And yes, back on topic now! If anybody wants to comment more we can always create a new thread.

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Reply With Quote
The following 3 users say Thank You to JonnyBoy for this post:
 
(login for full post details)
  #377 (permalink)
 LastDino 
Legendary Pratik_4Clover
Mumbai, India
 
Experience: Beginner
Platform: TradingView & ZerodhaKite
Trading: Crude, NIFTY, BANKNIFTY
 
LastDino's Avatar
 
Posts: 890 since Jan 2019
Thanks: 2,744 given, 2,579 received

@JonnyBoy, Its been couple of months but I just wanted to leave update here since you were the inspiration for this


chartCapture


Basic idea behind this is to have weekly anchored vwap with stdvs and then have daily anchored vwap with 2.5 stdv (sometimes changes as per security). Its fascinating how price enteracts with this basic mapping, I've been following the rules you have mentioned previously, while I generally avoid mean reversion trades, I do find this quite useful to ride out moves much more comfortably. It keeps my anxiety down.lol

I must say because of you and this thread my ability to read market has improved considerably.

Visit my futures io Trade Journal Reply With Quote
The following 7 users say Thank You to LastDino for this post:
 
(login for full post details)
  #378 (permalink)
 JonnyBoy 
Market Wizard
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
 
JonnyBoy's Avatar
 
Posts: 1,559 since Apr 2012
Thanks: 706 given, 3,737 received


LastDino View Post
@JonnyBoy, Its been couple of months but I just wanted to leave update here since you were the inspiration for this


chartCapture


Basic idea behind this is to have weekly anchored vwap with stdvs and then have daily anchored vwap with 2.5 stdv (sometimes changes as per security). Its fascinating how price enteracts with this basic mapping, I've been following the rules you have mentioned previously, while I generally avoid mean reversion trades, I do find this quite useful to ride out moves much more comfortably. It keeps my anxiety down.lol

I must say because of you and this thread my ability to read market has improved considerably.

That is great to know. I planned to do another flurry of VWAP stuff when I get the chance. There has been enough soak time for traders to discover VWAP just like you have and make it their own.

You mentioned the weekly VWAP and it was active today with some beautiful entries. In the chart below the orange lines are the weekly VWAP SDs. The blue/red line is the weekly VWAP. The grey dotted lines are today's SDs and the yellow/magenta is today's VWAP.

The white box is price movement from the weekly SDs and weekly VWAP. The yellow box is price movement from today's SDs and VWAP. The double box shows the cross over of the weekly +1SD and today's VWAP. It was like poetry.

Of course this is so easy to show after the fact, but I'll try and put some more VWAP posts together about these types of locations.


--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Reply With Quote
The following 11 users say Thank You to JonnyBoy for this post:
 
(login for full post details)
  #379 (permalink)
 LastDino 
Legendary Pratik_4Clover
Mumbai, India
 
Experience: Beginner
Platform: TradingView & ZerodhaKite
Trading: Crude, NIFTY, BANKNIFTY
 
LastDino's Avatar
 
Posts: 890 since Jan 2019
Thanks: 2,744 given, 2,579 received


JonnyBoy View Post
That is great to know. I planned to do another flurry of VWAP stuff when I get the chance. There has been enough soak time for traders to discover VWAP just like you have and make it their own.

You mentioned the weekly VWAP and it was active today with some beautiful entries. In the chart below the orange lines are the weekly VWAP SDs. The blue/red line is the weekly VWAP. The grey dotted lines are today's SDs and the yellow/magenta is today's VWAP.

The white box is price movement from the weekly SDs and weekly VWAP. The yellow box is price movement from today's SDs and VWAP. The double box shows the cross over of the weekly +1SD and today's VWAP. It was like poetry.

Of course this is so easy to show after the fact, but I'll try and put some more VWAP posts together about these types of locations.


Indeed, that's a greate chart and will look forward to more posts from you

Visit my futures io Trade Journal Reply With Quote
The following user says Thank You to LastDino for this post:
 
(login for full post details)
  #380 (permalink)
 sg72 
Orange County, CA, USA
 
Experience: Intermediate
Platform: NinjaTrader, Fidelity ATP
Trading: ES/NQ/RTY, Equity ETFs, Options
 
Posts: 28 since Sep 2018
Thanks: 23 given, 32 received


JonnyBoy View Post
That is great to know. I planned to do another flurry of VWAP stuff when I get the chance. There has been enough soak time for traders to discover VWAP just like you have and make it their own.

You mentioned the weekly VWAP and it was active today with some beautiful entries. In the chart below the orange lines are the weekly VWAP SDs. The blue/red line is the weekly VWAP. The grey dotted lines are today's SDs and the yellow/magenta is today's VWAP.

The white box is price movement from the weekly SDs and weekly VWAP. The yellow box is price movement from today's SDs and VWAP. The double box shows the cross over of the weekly +1SD and today's VWAP. It was like poetry.

Of course this is so easy to show after the fact, but I'll try and put some more VWAP posts together about these types of locations.



@JonnyBoy

Where exactly is the starting point for the weekly VWAP? Do you take the last rotating 5 trading days? Or is it just the current week, ie; starting from the Sunday globex session?

Thank you.

Reply With Quote
The following 3 users say Thank You to sg72 for this post:
 
(login for full post details)
  #381 (permalink)
 JonnyBoy 
Market Wizard
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
 
JonnyBoy's Avatar
 
Posts: 1,559 since Apr 2012
Thanks: 706 given, 3,737 received


sg72 View Post
@JonnyBoy

Where exactly is the starting point for the weekly VWAP? Do you take the last rotating 5 trading days? Or is it just the current week, ie; starting from the Sunday globex session?

Thank you.

Good question. The weekly VWAP I refer to is anchored to the first day of the current RTH trading week, i.e. Monday. This means that for Monday, your weekly and daily RTH VWAPs would display the same information until the following session when the daily will reset but the weekly will continue to roll.

As the weekly VWAP starts fresh at the beginning of RTH for each new trading week, there isn't any weekly VWAP information to go on until Tuesday. So, to answer your question more thoroughly I also have the ability to display the last 7 days of rolling VWAP on a continuous basis as per the chart below. Again, these are RTH rolling VWAPs.

As for Globex and ETH VWAPS, I have been paying more attention to them in recent months. It appears that the ETH session is increasing in volume, meaning that more attention needs to be placed on the OVN VWAP and SDs moving into the day session, but that is something I plan to write about in the near future. I spotted ''something had changed'' and so I modified my approach.


--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Reply With Quote
The following 8 users say Thank You to JonnyBoy for this post:
 
(login for full post details)
  #382 (permalink)
 LastDino 
Legendary Pratik_4Clover
Mumbai, India
 
Experience: Beginner
Platform: TradingView & ZerodhaKite
Trading: Crude, NIFTY, BANKNIFTY
 
LastDino's Avatar
 
Posts: 890 since Jan 2019
Thanks: 2,744 given, 2,579 received

I had struggled with the "starting day" of the weekly anchored vwap too. At first, my idea was to start from the expiry day of the market (we have weekly as well as monthly expiries, it falls on Thursday of every week)

But while making the observations I realized Monday was still the day which had the highest relevance when it comes to price action for rest of the week, not to mention conventional logic here is that expiries are manipulated and very rarely give good starting point. Someone else might find this useful, just putting it out there since I've already tried that.

However, what did give more interesting results was actually Anchored VWAP from EPS, its a place I intend to dig in more, I've only finished coding that one but didn't give a real run since EPS are rare events, on small TF it means less, I say that because I'm mostly intraday trader.

Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #383 (permalink)
 doobietr4ader 
Broomfield
 
Experience: Beginner
Platform: Ninjatrader
Trading: ES
 
doobietr4ader's Avatar
 
Posts: 14 since Jul 2020
Thanks: 38 given, 29 received


JonnyBoy View Post
That is great to know. I planned to do another flurry of VWAP stuff when I get the chance. There has been enough soak time for traders to discover VWAP just like you have and make it their own.

You mentioned the weekly VWAP and it was active today with some beautiful entries. In the chart below the orange lines are the weekly VWAP SDs. The blue/red line is the weekly VWAP. The grey dotted lines are today's SDs and the yellow/magenta is today's VWAP.

The white box is price movement from the weekly SDs and weekly VWAP. The yellow box is price movement from today's SDs and VWAP. The double box shows the cross over of the weekly +1SD and today's VWAP. It was like poetry.

Of course this is so easy to show after the fact, but I'll try and put some more VWAP posts together about these types of locations.


I got a beautiful SD cont. short entry just at the beginning of your larger white rectangle around 10:35 for 33 ticks. Looking forward to the additional flurry. Thank you again @JonnyBoy for these vwap strategies.


VWAP 9-10-20

Reply With Quote
The following 2 users say Thank You to doobietr4ader for this post:
 
(login for full post details)
  #384 (permalink)
 LastDino 
Legendary Pratik_4Clover
Mumbai, India
 
Experience: Beginner
Platform: TradingView & ZerodhaKite
Trading: Crude, NIFTY, BANKNIFTY
 
LastDino's Avatar
 
Posts: 890 since Jan 2019
Thanks: 2,744 given, 2,579 received

This is after the fact, but again I can't help but post this chart, just how beautifully price moves corresponding to mapping


chartCapture

Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #385 (permalink)
 JonnyBoy 
Market Wizard
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
 
JonnyBoy's Avatar
 
Posts: 1,559 since Apr 2012
Thanks: 706 given, 3,737 received

VWAP - The Daily

Here is one of the pieces of the puzzle I look at with respect to VWAP and VPOC.

As I have stated multiple times, although I believe VWAP to be a very important piece of the trading puzzle, it is a piece in my trading puzzle. It isn't the holy grail and/or the only way to trade. However, the daily is what I like to use to determine the big picture. I also apply this to the the major indexes and not just their e-mini counter parts to complete the picture.

You can get more granular in your approach by dialling into the monthly, weekly and finally daily, potentially adding in more VWAP granularity too. Something which I will try to make a video on if I get the time and people want me to do it.

I fully intended to post my trading from Friday's session, but unfortunately I recorded it but didn't save it. That is a shame as there were some really good real-time VWAP opportunities. I'll have to post my chart instead.

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Attached Files
Register to download File Type: mp4 VWAP - The Daily.mp4 (57.91 MB, 135 views)
Reply With Quote
The following 16 users say Thank You to JonnyBoy for this post:
 
(login for full post details)
  #386 (permalink)
 doobietr4ader 
Broomfield
 
Experience: Beginner
Platform: Ninjatrader
Trading: ES
 
doobietr4ader's Avatar
 
Posts: 14 since Jul 2020
Thanks: 38 given, 29 received


JonnyBoy View Post
VWAP - The Daily

You can get more granular in your approach by dialling into the monthly, weekly and finally daily, potentially adding in more VWAP granularity too. Something which I will try to make a video on if I get the time and people want me to do it.

Yes, please!

Reply With Quote
The following 3 users say Thank You to doobietr4ader for this post:
 
(login for full post details)
  #387 (permalink)
 JonnyBoy 
Market Wizard
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
 
JonnyBoy's Avatar
 
Posts: 1,559 since Apr 2012
Thanks: 706 given, 3,737 received

This video is more of a prompt for me to do more VWAP stuff, but I literally just took this trade with very little heat so I thought I would post here.

Now, my hypothesis was that we would revert back to VWAP. BUT - I closed this trade early (prior to it reaching VWAP) for the reasons I state in the video. However, price in fact did just rocket back to VWAP (and more actually, way more) and I missed that final move.

Sure, I verbalised that I am going to hold and whatever happens happens but in the end I closed it out.

I guess my point is that although ''perfect'' trades do exist, I close out trades when the internals don't support the continuation. The market internals are extremely important and often overlooked. IMO if you don't have at least some of the market internals as an ultra short term guide then you are missing a huge window into the underlying market structure.

Am I ultimately trading against the trend today? No. It is a range day, however at the moment I took that trade you could say in the ultra short term the price trend was down..so the shorters shorted! Thank you (I expected you would) but this added fuel to the move higher whilst using the known VWAP levels of prior sessions to, in part, support my hypothesis.

So, is this it? Just trade off of VWAP levels and be done with it? NO. NO! Not at all. Again, these are all just pieces of the puzzle which I will try to get around to discussing when I get the time. Plus, I also want people to know I don't knock it out of the park with every hit.

Controlled swings and bunt when you need to.

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Attached Files
Register to download File Type: mp4 Reversion to VWAP.mp4 (39.36 MB, 138 views)
Reply With Quote
The following 13 users say Thank You to JonnyBoy for this post:
 
(login for full post details)
  #388 (permalink)
 mtzimmer1 
Legendary Recovering Method Hopper
Upstate NY
 
Experience: Intermediate
Platform: TOS
Broker: TD Ameritrade
Trading: Equities, Treasuries, Gold
 
mtzimmer1's Avatar
 
Posts: 810 since Dec 2018
Thanks: 2,183 given, 1,820 received


JonnyBoy View Post
This video is more of a prompt for me to do more VWAP stuff, but I literally just took this trade with very little heat so I thought I would post here.

Now, my hypothesis was that we would revert back to VWAP. BUT - I closed this trade early (prior to it reaching VWAP) for the reasons I state in the video. However, price in fact did just rocket back to VWAP (and more actually, way more) and I missed that final move.

Sure, I verbalised that I am going to hold and whatever happens happens but in the end I closed it out.

I guess my point is that although ''perfect'' trades do exist, I close out trades when the internals don't support the continuation. The market internals are extremely important and often overlooked. IMO if you don't have at least some of the market internals as an ultra short term guide then you are missing a huge window into the underlying market structure.

Am I ultimately trading against the trend today? No. It is a range day, however at the moment I took that trade you could say in the ultra short term the price trend was down..so the shorters shorted! Thank you (I expected you would) but this added fuel to the move higher whilst using the known VWAP levels of prior sessions to, in part, support my hypothesis.

So, is this it? Just trade off of VWAP levels and be done with it? NO. NO! Not at all. Again, these are all just pieces of the puzzle which I will try to get around to discussing when I get the time. Plus, I also want people to know I don't knock it out of the park with every hit.

Controlled swings and bunt when you need to.

Incredibly helpful. Thank you kindly for sharing!

-Zimmer

Follow me on Twitter Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #389 (permalink)
 twosigma 
San Francisco, California
 
Experience: Intermediate
Platform: TradeStation, NinjaTrader
Broker: TradeStation, Forex.com
Trading: ES,CL
 
Posts: 42 since Oct 2014
Thanks: 784 given, 126 received

The video with your live thought process during the trade was very helpful! Also seeing how you monitor market internals versus VWAP behavior to confirm trade entry and manage trade exit. Thanks

Reply With Quote
 
(login for full post details)
  #390 (permalink)
 JonnyBoy 
Market Wizard
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
 
JonnyBoy's Avatar
 
Posts: 1,559 since Apr 2012
Thanks: 706 given, 3,737 received

My Workspace - more or less

Following on from today's post, you saw some of the moving parts of my workspace. With this video I go through that chart build. Some of this stuff is proprietary, but my goal is to try and find a way to build this out of stock indictors.

My VWAP is so much faster than NTs Order Flow VWAP, so it might mean a slower chart but I'll have a go at doing that if people are interested. In the meantime, for the people that are interested in the this setup I am sure you will find a way yourselves.

Anyway, I hope this is informative. It ended up being near on 20 mins so I apologise for the length. This is about 85% of my setup. No algorithms, no decomposition theory, just charts!

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Attached Files
Register to download File Type: mp4 My Workspace (more or less).mp4 (103.31 MB, 157 views)
Reply With Quote
The following 13 users say Thank You to JonnyBoy for this post:
 
(login for full post details)
  #391 (permalink)
 JonnyBoy 
Market Wizard
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
 
JonnyBoy's Avatar
 
Posts: 1,559 since Apr 2012
Thanks: 706 given, 3,737 received

NT8 - VWAP Chart Template

I figured out a way to get reasonably close to my proprietary VWAP chart setup using NT8 stock indicators and a few that are not. This is for my main chart. It doesn't contain all of the bells and whistle but a fairly reasonable ''copy'' I guess you could say.

I have attached my chart template plus three additional indicators.

The indicators included are:
  1. Rolling RTH VWAP
  2. Labelled Line Drawing Tool
  3. Opening Price (although I didn't attach this to the chart template, you can do this yourself if you need to).

Import the indicators into NT and then watch the video before you attempt to import the chart template. You'll understand why when you watch it.

You will need to copy the chart template to here \Documents\NinjaTrader 8\templates\Chart

Any questions just drop me a note. I am considering starting a new thread instead of continually populating this one. Although I only trade the ES on NinjaTrader, I also use Trading View for stocks and I was thinking about adding those as well. Time is the only factor here, so let's just see where this goes.

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Attached Files
Register to download File Type: mp4 VWAP Chart Template NT8.mp4 (100.12 MB, 139 views)
Register to download File Type: zip ManualAnchoredVwap.zip (162.8 KB, 61 views)
Register to download File Type: zip Labeled-Lines-Drawing-Tool.zip (8.0 KB, 54 views)
Register to download File Type: zip Opening-Price-(R1).zip (2.8 KB, 50 views)
Register to download File Type: xml @JonnyBoy VWAP Template V3.xml (118.8 KB, 53 views)
Reply With Quote
 
(login for full post details)
  #392 (permalink)
 doobietr4ader 
Broomfield
 
Experience: Beginner
Platform: Ninjatrader
Trading: ES
 
doobietr4ader's Avatar
 
Posts: 14 since Jul 2020
Thanks: 38 given, 29 received


JonnyBoy View Post
NT8 - VWAP Chart Template

I figured out a way to get reasonably close to my proprietary VWAP chart setup using NT8 stock indicators and a few that are not. This is for my main chart. It doesn't contain all of the bells and whistle but a fairly reasonable ''copy'' I guess you could say.

I have attached my chart template plus three additional indicators.

The indicators included are:
  1. Rolling RTH VWAP
  2. Labelled Line Drawing Tool
  3. Opening Price (although I didn't attach this to the chart template, you can do this yourself if you need to).

Import the indicators into NT and then watch the video before you attempt to import the chart template. You'll understand why when you watch it.

You will need to copy the chart template to here \Documents\NinjaTrader 8\templates\Chart

Any questions just drop me a note. I am considering starting a new thread instead of continually populating this one. Although I only trade the ES on NinjaTrader, I also use Trading View for stocks and I was thinking about adding those as well. Time is the only factor here, so let's just see where this goes.

I downloaded and have been playing around with the setup. I tried it on a 1597 tick as well. The last nt order flow vwap for the monthly won't let you use tick, so it throws a resolution warning. Works fine on tick if I remove that indicator and use a edevaay drawcator vwap 30 days back. This is a really nice setup and much quicker than me having to chart all the vwaps all the time. Thanks for the time and effort you put into this.

Slogging my way through c# by studying ninja indicator code. Trying to make some custom market internal indicators.

Reply With Quote
The following 3 users say Thank You to doobietr4ader for this post:
 
(login for full post details)
  #393 (permalink)
 JonnyBoy 
Market Wizard
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
 
JonnyBoy's Avatar
 
Posts: 1,559 since Apr 2012
Thanks: 706 given, 3,737 received


doobietr4ader View Post
I downloaded and have been playing around with the setup. I tried it on a 1597 tick as well. The last nt order flow vwap for the monthly won't let you use tick, so it throws a resolution warning. Works fine on tick if I remove that indicator and use a edevaay drawcator vwap 30 days back. This is a really nice setup and much quicker than me having to chart all the vwaps all the time. Thanks for the time and effort you put into this.

Slogging my way through c# by studying ninja indicator code. Trying to make some custom market internal indicators.

It will still work but based on minute data resolution. Tick would be more accurate although very chart intensive. I do have edevaay too which is super smooth, but I would be surprised if that was based on tick data. Perhaps comparing the two instances would prove either way. There is nothing wrong with minute resolution over a broad scale, but I guess it depends how granular you want to be.

Yep, keep slogging away. If you have any questions just drop them in here or send me a DM.

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Reply With Quote
The following 2 users say Thank You to JonnyBoy for this post:
 
(login for full post details)
  #394 (permalink)
 doobietr4ader 
Broomfield
 
Experience: Beginner
Platform: Ninjatrader
Trading: ES
 
doobietr4ader's Avatar
 
Posts: 14 since Jul 2020
Thanks: 38 given, 29 received


JonnyBoy View Post
Perhaps comparing the two instances would prove either way. There is nothing wrong with minute resolution over a broad scale, but I guess it depends how granular you want to be.

The monthly nt vwap on both the tick chart and the 5min was slightly off from the edevaay.

I also am getting the 7th and 16th of Sept vpoc expansion running all the way to the end of chart on tick and 5 min. Hmmm.


JonnyBoy View Post
Yep, keep slogging away. If you have any questions just drop them in here or send me a DM.

Last time I did any programming was with Fortran and BAL 30 years ago in college. Thanks for the offer for help.

Reply With Quote
 
(login for full post details)
  #395 (permalink)
 JonnyBoy 
Market Wizard
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
 
JonnyBoy's Avatar
 
Posts: 1,559 since Apr 2012
Thanks: 706 given, 3,737 received


doobietr4ader View Post
The monthly nt vwap on both the tick chart and the 5min was slightly off from the edevaay.

I also am getting the 7th and 16th of Sept vpoc expansion running all the way to the end of chart on tick and 5 min. Hmmm.

I'll have a look myself at the weekend RE: edvaay with my own VWAP.

With respect to the VPOC level extension to the right of the chart, this is 100% correct as they are naked levels. They will get cut back when price has touched them at the location in which price touched them.

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Reply With Quote
The following 2 users say Thank You to JonnyBoy for this post:
 
(login for full post details)
  #396 (permalink)
 trendisyourfriend 
Market Wizard
Quebec
 
Experience: Intermediate
Platform: NinjaTrader wt Rancho Dinero's profiling tools
Broker: AMP/CQG
Trading: ES, NQ, YM
 
trendisyourfriend's Avatar
 
Posts: 3,996 since Oct 2009
Thanks: 3,672 given, 5,161 received

@JonnyBoy

Thanks for sharing your ideas and indicators. It's my pleasure to add my modest contribution to your thread. I created an indicator based on the native Order Flow VWAP in order to display the VWAP/Std Dev levels from a previous interval (Session/Week/Month). It is my first indicator for Ninja and i used this project to learn Ninjascript.

Configuration:
If you understand the parameters in the native Order Flow VWAP then you will know how to use this one. I have added the possibility to display the middle level between the VWAP and the Std Dev bands as the seperation between the levels can be quite large at the end of a session. If you don't want to see these middle lines then you just need to set the color to transparent.

For the Trading Hours parameter, you can select any of the native trading hours template that come with Ninja. However, in order to display all of them in a drop down menu, i used an enumerated type known as 'enum'. For those of you not familiar with this ninjascript type, you must know that an enumerated item cannot contain a 'space' or special characters like @-+$%#*() etc. but the underscore '_' also called underline is allowed. So it means each Trading Hours name in the script uses the symbol underscore in lieu of a space.

Here are a few examples in the script:
===========================================
 
Code
public enum OrderFlowStaticVWAPTradingHours
{
Use_data_series_settings,
...
CME_FX_Futures_ETH,
CME_FX_Futures_RTH,
CME_Global_Index_Futures_RTH,
CME_Housing_Futures_ETH,
CME_US_Index_Futures_ETH,
CME_US_Index_Futures_RTH,
...
US_Equities_ETH,
US_Equities_RTH,
}
===========================================

Why do i tell you this?

Because, i had to edit two entries in the user interface via the Menu Control Center> Tools> Trading Hours.

1) BMnF Bovespa (original entry was 'BM&F Bovespa' edited to remove the '&' was replaced with letter 'n')
2) Nymex Metals Energy ETH (original entry was 'Nymex Metals - Energy ETH' edited to remove '-')

So if you use one of these Trading Hours template then you need to edit them in Menu Control Center> Tools> Trading Hours.

You just need to copy say the 'Nymex Metals - Energy ETH' and edit the name so it becomes 'Nymex Metals Energy ETH'.

Also, if you have created your own trading hours template then you'll need to add it within the enum section of the script. You'll need to open the NinjaScript Editor (Control center> New> NinjaScript Editor). When the editor appears, open the folder Indicators on the panel at the right side and select 'OrderFlowStaticVWAP'. Next, insert the name of your custom template anywhere in the enum list followed by a comma ',' or edit an entry you don't use.

Let's pretend you created a custom Trading Hours
template named 'ABC DEF'

To add this new name in the script...

1) go to the control center
2) Open the menu 'New' and Select 'NinjaScript Editor'
3) open the folder Indicators on the panel at the right side
4) in the list of indicators, select 'OrderFlowStaticVWAP' <- double click on it to open
5) you can add a new blank line between two entries or edit an entry you don't need
6) just make sure you replace any space in the name with an underscore 'ABC_DEF',
7) Compile the script <- press F5 as a short cut to compile
8) return to the chart and press F5 to refresh the chart and see the change

I did a short video to show the procedure.

That's it.

How to create a new template name and add it to the indicator

Example:

ScreenCaptureES_StaticVWAP_Week

Attached Files
Register to download File Type: zip OrderFlowStaticVWAP_v1.zip (6.3 KB, 48 views)
Reply With Quote
The following 9 users say Thank You to trendisyourfriend for this post:
 
(login for full post details)
  #397 (permalink)
 rb55 
Manchester England
 
Experience: Intermediate
Platform: NT8, Tradingview, mt4/5
Trading: RTY, ES, YM, NQ, CL, DAX, FTSE, GC, NG
 
Posts: 49 since Oct 2016
Thanks: 8 given, 29 received

Anyone know why the VWAP levels are different in NT8 vs Tradingview when using the same instrument?

Reply With Quote
 
(login for full post details)
  #398 (permalink)
leescharf
New York, NY
 
 
Posts: 17 since Aug 2020
Thanks: 4 given, 8 received


JonnyBoy View Post
The CD you see in that post was very likely to do with some data collection and perhaps some analysis. It was nearly a year ago now, so I can't recall what I was doing with it!

However, CD certainly has its use. If beginning to trade VWAP, a look into the underlying structure of the market could be helpful. Therefore, if you are going to incorporate CD in some form I would advise using an indicator that measures the momentum of the cumulative delta vs. the cumulative delta itself. If you are a lifetime NT8 user there is a great indicator that does this called irDeltaMomentumV2 - you can get it via the NT website via the link below.

https://ninjatraderecosystem.com/user-app-share-download/irdeltamomentumv2-indicator/

It can help clue you in to the underlying structure of the market gauging how much delta momentum there was behind each move and helping to spot divergence. The only reason I didn't include the suggestion of using CD in some form when trading VWAP is because it can give you false positives against valid VWAP trades. This causes indecision and a reason not to take a trade. Adding another layer into the decision making process is something to be avoided.

Personally, I don't think it is necessary to have CD on your chart. VWAP and Price Action has everything you need to discern an entry, or not. VWAP trading literally tells you if you are in oscillating chop / range or in a trend. And therefore you don't need CD for that.

I marked up some obvious divergences in the chart to show what this indicator can do.

Hi @JonnyBoy! Do you know what the irDeltaMomentumV2 equivalent would be for TS?

TIA.

-Lee

Reply With Quote
 
(login for full post details)
  #399 (permalink)
 JonnyBoy 
Market Wizard
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
 
JonnyBoy's Avatar
 
Posts: 1,559 since Apr 2012
Thanks: 706 given, 3,737 received


rb55 View Post
Anyone know why the VWAP levels are different in NT8 vs Tradingview when using the same instrument?

Can you post some examples to illustrate? Typically the difference is in the resolution of the VWAP calculation, minute vs. tick. The trading hour template can also be a factor with respect to where the VWAP calculation starts.

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Reply With Quote
 
(login for full post details)
  #400 (permalink)
 JonnyBoy 
Market Wizard
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
 
JonnyBoy's Avatar
 
Posts: 1,559 since Apr 2012
Thanks: 706 given, 3,737 received


leescharf View Post
Hi @JonnyBoy! Do you know what the irDeltaMomentumV2 equivalent would be for TS?

TIA.

-Lee

Sorry I don't. My knowledge of TOS is virtually zero, but the coding is very simple and I would be surprised if something like this doesn't exist already.

Essentially the indicator accumulates the volume of orders filled at Bid and Ask prices and adds successive totals to the prior bar total until there is a change from positive to negative or vice versa.

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Reply With Quote