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VWAP for stock index futures trading?


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VWAP for stock index futures trading?

  #471 (permalink)
 
trendisyourfriend's Avatar
 trendisyourfriend 
Quebec Canada
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JonnyBoy View Post
...
Fibonacci Settings
Fibonacci numbers are a self fulfilling prophecy. I only use them because if people believe they hold some mystical power (something like that) and if enough traders believe they are reactionary, I am on board.

On an evidence based approach, Fibonacci with respect to trading has been debunked. The book by David Aronson is a real eye opener and he debunks (on an evidence based scientific basis) most technical analysis. For another thread.

Do you know if David Aronson made a similar study for VWAP. I ask this because i see many things which are common between the way VWAP is presented here and the way proponent of Fibonacci sell their ideas. Maybe we see only what we believe and discard things which are in contradiction to it. As trader we need to pay attention to this tendency of the mind to search for, interpret, favor, and recall information in a way that confirms or supports one's beliefs.

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  #472 (permalink)
 
JonnyBoy's Avatar
 JonnyBoy 
Montreal, Quebec
 
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trendisyourfriend View Post
Do you know if David Aronson made a similar study for VWAP. I ask this because i see many things which are common between the way VWAP is presented here and the way proponent of Fibonacci sell their ideas. Maybe we see only what we believe and discard things which are in contradiction to it. As trader we need to pay attention to this tendency of the mind to search for, interpret, favor, and recall information in a way that confirms or supports one's beliefs.

From my recollection he does not. His approach is generally looking at traditional TA from an evidence based approach. For example, he debunks the head and shoulders pattern very early in the book and he also blows up Elliott Wave pretty good too. He does this by cleanly laying out his approach which you can follow along with. His approach is based on evidence vs. anecdotal.

For STATITICIANS with an interest in trading markets you'll likely walk away with the feeling: "Yeah, that's what I've been thinking for years, nice to see someone took the time to debunk the TA myth."

For TECHNICIANS (traders) with an interest in statistics you'll likely walk away thinking "You gotta be kidding. There are a hundred good books which can show you how to use TA to make money. This book sucks."

You can get an insight here:

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  #473 (permalink)
 
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 deachne 
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Just my simple 2 cents adding to the 50 cent discussion. A great read! Many thanks to the posters inputs.

Using Prior week vwap and PWSD multipliers.




Might get into the weeds with this chart... I use bands on prior week vwaps to find S/R levels. JB wont like the fibs I use but they show some promise. Maybe just random lines though.




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  #474 (permalink)
 
deachne's Avatar
 deachne 
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Daily vwap.




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  #475 (permalink)
 
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 deachne 
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Today's NQ ETH session.

Very interesting to see how price respects and migrates between the vwaps. Keep in mind that only the 2 white vwap lines are the same for everyone. The rest of the SD lines are arbitrary based on users.

My pivot lines are bands of the previous days vwap value area (my interpretation of value)










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  #476 (permalink)
 
deachne's Avatar
 deachne 
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Had to get back to vwap some time today




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  #477 (permalink)
 
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 deachne 
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@JonnyBoy @devdas

I am attaching an anchored vwap I had coded from the original Midas.

It's a bit cumbersome compared to most on the market now.

One thing it has though is displacement channels. It doesn't have multiple bands, however.

Perhaps Edevaay might see something in the code he feels worth putting into his product.

When loaded on a chart you have to press the ctrl key and mouse over bar you want it attached to. It has a calibration button so you can have it basically anywhere on a bar or bars back/forward.

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Elite Membership required to download: dnMidasVWAP.zip
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  #478 (permalink)
 
JonnyBoy's Avatar
 JonnyBoy 
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deachne View Post
@JonnyBoy @devdas

I am attaching an anchored vwap I had coded from the original Midas.

It's a bit cumbersome compared to most on the market now.

One thing it has though is displacement channels. It doesn't have multiple bands, however.

Perhaps Edevaay might see something in the code he feels worth putting into his product.

When loaded on a chart you have to press the ctrl key and mouse over bar you want it attached to. It has a calibration button so you can have it basically anywhere on a bar or bars back/forward.

Yep, a nice indicator for people that don't have the ability to anchor a VWAP at the moment. Thanks for sharing to the thread. It wouldn't be too difficult to add the 2nd and 3rd SD either.

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  #479 (permalink)
alexgzlz
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Hi, which book or training could you recommend about VWAP? I'm developing a strategy based on that. Thanks



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!


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  #480 (permalink)
 
trendisyourfriend's Avatar
 trendisyourfriend 
Quebec Canada
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alexgzlz View Post
Hi, which book or training could you recommend about VWAP? I'm developing a strategy based on that. Thanks

There is no such book but there is a solution... make your own book: How?
Take the recommendations and create your own VWAP book.
http://ww12.yourtradingcoach.com/trading-business/the-greatest-trading-book-ever/?usid=16&utid=31867363631

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