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 107,423 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)
  #401 (permalink)
 GoldenRatio 
Philadelphia, PA
 
Experience: Advanced
Platform: Matlab, TradeStation
Trading: Stocks
 
GoldenRatio's Avatar
 
Posts: 207 since Aug 2012
Thanks: 5,005 given, 290 received


JonnyBoy View Post
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.

I believe @leescharf may have been referring to Tradestation as usually:

TS = Tradestation
TOS = Think or Swim.

Reply With Quote
The following user says Thank You to GoldenRatio for this post:
 
(login for full post details)
  #402 (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


GoldenRatio View Post
I believe @leescharf may have been referring to Tradestation as usually:

TS = Tradestation
TOS = Think or Swim.

Right on. Same answer still applies tho!

--------------------------------------------------------
- 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)
  #403 (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

Tick Chart Setup

As explained in the video I have had many DM requests/clarifications RE: my tick chart setup so I just thought I would make a video. The formula's I use to get my tick plots isn't bespoke to NinjaTrader so you could do the same on any platform.

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Attached Files
Register to download File Type: mp4 Tick Chart Formula.mp4 (27.11 MB, 126 views)
Reply With Quote
The following 7 users say Thank You to JonnyBoy for this post:
 
(login for full post details)
  #404 (permalink)
 Volt 
Whitehall, NY
 
Experience: Advanced
Platform: TOS, Market Delta
Broker: Infinity, TOS, IB
Trading: es
 
Posts: 261 since Aug 2012
Thanks: 123 given, 385 received

this would be useful to see the math behind the probabilities and how they change after another probability is achieved. I tried to reach Metrics maestro as they have many examples of the probabilities as the day unfolds on the site but they never responded to me........perhaps this math lesson needs to be in another thread ....sure wish I paid attention to things like mutually exclusive probabilities and stuff like that in high school...any help would be appreciated
CalvinoHobbino View Post
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
 
(login for full post details)
  #405 (permalink)
 GoldenRatio 
Philadelphia, PA
 
Experience: Advanced
Platform: Matlab, TradeStation
Trading: Stocks
 
GoldenRatio's Avatar
 
Posts: 207 since Aug 2012
Thanks: 5,005 given, 290 received


JonnyBoy View Post
Tick Chart Setup

As explained in the video I have had many DM requests/clarifications RE: my tick chart setup so I just thought I would make a video. The formula's I use to get my tick plots isn't bespoke to NinjaTrader so you could do the same on any platform.

Hey @JohnnyBoy. I have a quick question. Currently, your formula in NinjaTrader and shown in Excel is H+L+C/3. Are you trying to calculate the average tick value of the H,L,C values or are you purposely giving the Close just 1/3 of the weight of the High & Low ticks and then summing the values?

Let's look at the first bar:

High = -731
Low = -1588
Close = -731

If trying to calculate the average tick for the bar, the calculation should be (-731-1588-731)/3 = -1016.67 - within the range of the H & L readings.

If trying to give the Close just 1/3 the weight of the High and Low (your calculation -731-1588-(731)/3 = -2562.67 - outside the range of the H & L readings), can you please explain why? I have never seen a tick calculation done this way and was wondering the logic behind it?

Thanks again for openly sharing your ideas and setups!

Reply With Quote
The following user says Thank You to GoldenRatio for this post:
 
(login for full post details)
  #406 (permalink)
Lfx987
London
 
 
Posts: 51 since Apr 2019
Thanks: 90 given, 71 received


GoldenRatio View Post
Hey @JohnnyBoy. I have a quick question. Currently, your formula in NinjaTrader and shown in Excel is H+L+C/3. Are you trying to calculate the average tick value of the H,L,C values or are you purposely giving the Close just 1/3 of the weight of the High & Low ticks and then summing the values?

Let's look at the first bar:

High = -731
Low = -1588
Close = -731

If trying to calculate the average tick for the bar, the calculation should be (-731-1588-731)/3 = -1016.67 - within the range of the H & L readings.

If trying to give the Close just 1/3 the weight of the High and Low (your calculation -731-1588-(731)/3 = -2562.67 - outside the range of the H & L readings), can you please explain why? I have never seen a tick calculation done this way and was wondering the logic behind it?

Thanks again for openly sharing your ideas and setups!


Far be it for me to answer for JB but looks like it's a simple issue of the parenthesis missing around the (H+L+C) / 3.

Just need the average so we can calculate the cumulative tick chart. The simple averaging above just smooths out the individual tick bars.

For a more comprehensive explanation , see the below video.

They start talking about Ticks approx. 3.50 mins in and the smoothing (H+L+C) / 3 at around 15:20mins




JB will detail how he uses the cumulative tick chart but hopefully above video gives a brief explanation.

Reply With Quote
The following 2 users say Thank You to Lfx987 for this post:
 
(login for full post details)
  #407 (permalink)
 GoldenRatio 
Philadelphia, PA
 
Experience: Advanced
Platform: Matlab, TradeStation
Trading: Stocks
 
GoldenRatio's Avatar
 
Posts: 207 since Aug 2012
Thanks: 5,005 given, 290 received

@Lfx987 Yes, I get that and understand smoothing. That's why I was asking @JonnyBoy if he has a bug in his calculation or if he purposely set up his calculation this way (only C/3) and if so, why?

Reply With Quote
The following user says Thank You to GoldenRatio for this post:
 
(login for full post details)
  #408 (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


GoldenRatio View Post
Hey @JohnnyBoy. I have a quick question. Currently, your formula in NinjaTrader and shown in Excel is H+L+C/3. Are you trying to calculate the average tick value of the H,L,C values or are you purposely giving the Close just 1/3 of the weight of the High & Low ticks and then summing the values?

Let's look at the first bar:

High = -731
Low = -1588
Close = -731

If trying to calculate the average tick for the bar, the calculation should be (-731-1588-731)/3 = -1016.67 - within the range of the H & L readings.

If trying to give the Close just 1/3 the weight of the High and Low (your calculation -731-1588-(731)/3 = -2562.67 - outside the range of the H & L readings), can you please explain why? I have never seen a tick calculation done this way and was wondering the logic behind it?

Thanks again for openly sharing your ideas and setups!


Lfx987 View Post
Far be it for me to answer for JB but looks like it's a simple issue of the parenthesis missing around the (H+L+C) / 3.

Just need the average so we can calculate the cumulative tick chart. The simple averaging above just smooths out the individual tick bars.

For a more comprehensive explanation , see the below video.

They start talking about Ticks approx. 3.50 mins in and the smoothing (H+L+C) / 3 at around 15:20mins




JB will detail how he uses the cumulative tick chart but hopefully above video gives a brief explanation.


GoldenRatio View Post
@Lfx987 Yes, I get that and understand smoothing. That's why I was asking @JonnyBoy if he has a bug in his calculation or if he purposely set up his calculation this way (only C/3) and if so, why?

Ah, yes an observant bunch here. Fantastic.

(H+L+C) /3 calculation will give you the bar pivot (average in other words).

The way I calculate mine (I didn't think people would pick up the mathematical errors differences, so good for you guys )

(H)+L+C /3

I change the order of operation because I use this calculated result in an external calculation that I use somewhere else.

Graphically (if you held the charts side by side) there would be no difference to the plots other than if you looked at the scale. The ratios and relative plots will the same. In other words I wouldn't sweat it too much, using (H+L+C) /3 is totally fine and dare I say it...correct.


--------------------------------------------------------
- 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)
  #409 (permalink)
Lfx987
London
 
 
Posts: 51 since Apr 2019
Thanks: 90 given, 71 received


JonnyBoy View Post
Tick Chart Setup

As explained in the video I have had many DM requests/clarifications RE: my tick chart setup so I just thought I would make a video. The formula's I use to get my tick plots isn't bespoke to NinjaTrader so you could do the same on any platform.


With JB's permission, I am attaching a copy of my Sierra Chart template for the tick chart set-up.

There are two charts in the workbook:

Overlaid on ES:
TICK NYSE
NISS NYSE (Advance-decline)

Overlaid on NQ:
TICK NASDAQ
NISS NASDAQ (Advance-decline)


The charts start/end time are NYT 09:30 to 16:00 (Cash markets open/close).

Depending on your data provider, you may have to change the Chart Setting symbol (I am with AMP). However the market internals are provided by Sierra. You may just have to wait a while for the data to load.

Attached Thumbnails
Click image for larger version

Name:	Capture.PNG
Views:	139
Size:	78.2 KB
ID:	305212  
Attached Files
Register to download File Type: cht jb_tickAD.Cht (11.2 KB, 9 views)
Reply With Quote
The following 6 users say Thank You to Lfx987 for this post:
 
(login for full post details)
  #410 (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


Volt View Post
this would be useful to see the math behind the probabilities and how they change after another probability is achieved. I tried to reach Metrics maestro as they have many examples of the probabilities as the day unfolds on the site but they never responded to me........perhaps this math lesson needs to be in another thread ....sure wish I paid attention to things like mutually exclusive probabilities and stuff like that in high school...any help would be appreciated

There is a simple solution here and that is to start collecting this data yourself. I piggy backed off of MMs work after starting a similar venture myself years ago when I realised his data collection and presentation was leaps and bounds above how I was doing it.

I use Excel extensively to do this work for me. After enough data collection you will find there are some sub-probabilities you can leverage from.

Going beyond the next probability (further to MMs initial ones) is probably all you need to do as @CalvinoHobbino pointed out, things can get too granular.

--------------------------------------------------------
- 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)
  #411 (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
With JP's permission, I am attaching a copy of my Sierra Chart template for the tick chart set-up.

There are two charts in the workbook:

Overlaid on ES:
TICK NYSE
NISS NYSE (Advance-decline)

Overlaid on NQ:
TICK NASDAQ
NISS NASDAQ (Advance-decline)


The charts start/end time are NYT 09:30 to 16:00 (Cash markets open/close).

Depending on your data provider, you may have to change the Chart Setting symbol (I am with AMP). However the market internals are provided by Sierra. You may just have to wait a while for the data to load.

Nice.

--------------------------------------------------------
- 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)
  #412 (permalink)
 PK2020 
Phoenix AZ USA
 
Experience: Intermediate
Platform: NinjaTrader Think or Swim
Broker: NinjaTrader Brokerage
Trading: ES CL
 
Posts: 15 since Apr 2020
Thanks: 191 given, 29 received

It would be much appreciated. I hope you find the time.
You have been very generous with your time. Thanks again.

Reply With Quote
 
(login for full post details)
  #413 (permalink)
 LastDino 
Legendary Pratik_4Clover
Mumbai, India
 
Experience: Beginner
Platform: TradingView & ZerodhaKite
Trading: Crude, NIFTY, BANKNIFTY
 
LastDino's Avatar
 
Posts: 887 since Jan 2019
Thanks: 2,741 given, 2,542 received

Sorry to intrude the discussion but I noticed this


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

I've made same observation and inquired about it, this is the reply I got.

TV doesn't have tick data, so you are limited to higher TF's and differences will appear on VWAP on TV and Ninja which will have much more accurate data and calculations.

However, as someone who uses only TV, if you are not tick-chart trader, it's really not a big deal and everything JB has posted in this thread is applicable all the same. In fact, his methodology works with TWAP too, which doesn't use volume at all.

So, TLDR; don't worry about it unless you trade on tick-charts and then its better for you to avoid TV all together.

Visit my futures io Trade Journal Reply With Quote
The following 2 users say Thank You to LastDino for this post:
 
(login for full post details)
  #414 (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
Sorry to intrude the discussion but I noticed this


I've made same observation and inquired about it, this is the reply I got.

TV doesn't have tick data, so you are limited to higher TF's and differences will appear on VWAP on TV and Ninja which will have much more accurate data and calculations.

However, as someone who uses only TV, if you are not tick-chart trader, it's really not a big deal and everything JB has posted in this thread is applicable all the same. In fact, his methodology works with TWAP too, which doesn't use volume at all.

So, TLDR; don't worry about it unless you trade on tick-charts and then its better for you to avoid TV all together.

I concur. I use Trading View as well which uses minute data to build the VWAP. Minute resolution is fine. Tick resolution for VWAP is very granular and although it is more accurate uses a lot of resources.

You make an interesting point about TWAP. I have not studied this extensively, but my friend who is ex-institution would use TWAP in conjunction with VWAP to load or unload large orders. I should look into TWAP more as I feel I have FOMO on that one.

--------------------------------------------------------
- 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)
  #415 (permalink)
 LastDino 
Legendary Pratik_4Clover
Mumbai, India
 
Experience: Beginner
Platform: TradingView & ZerodhaKite
Trading: Crude, NIFTY, BANKNIFTY
 
LastDino's Avatar
 
Posts: 887 since Jan 2019
Thanks: 2,741 given, 2,542 received


JonnyBoy View Post
I concur. I use Trading View as well which uses minute data to build the VWAP. Minute resolution is fine. Tick resolution for VWAP is very granular and although it is more accurate uses a lot of resources.

You make an interesting point about TWAP. I have not studied this extensively, but my friend who is ex-institution would use TWAP in conjunction with VWAP to load or unload large orders. I should look into TWAP more as I feel I have FOMO on that one.

I feel TWAP is indeed worth investing some attention to, however I feel if we are having access to volume data and are already using VWAP, its not going to add much other than extra lines on chart. In fact, in my attempt at reducing clutter from my chart I've retired my TWAP (Daily, Weekly, Monthly) lines from chart. Now I only have VWAP of the same.

Previously I've played with slightly primitive ideas like having TWAP and VWAP and filling space between them based on where VWAP was with respect to TWAP to get indication of volume trend in the script. It turned out to be very primitive indeed

Here is chart for visualisation.



VWAP above TWAP = Green
VWAP below TWAP = Red

This is just my use case, however someone like you who has immense experience might see things lot better than I could and come up with much more advanced ideas and we all will be following this thread closely to study.

Visit my futures io Trade Journal Reply With Quote
The following 6 users say Thank You to LastDino for this post:
 
(login for full post details)
  #416 (permalink)
 jamrock 
tampa florida
 
 
Posts: 63 since Sep 2020

vwap twap whatever. pipe dreams and sheep led to the slaughter are all about the vwap which by the way has been well written about and publicized for 30 years!!!!

if vwap is so consistent and so wonderful where are the forbes 500 list of vwap traders.. cough cough cough.

even on this site if vwap was working this guru of vwap would very easily show us actual time and sales to the micro second stamp of all of his amazing trades based on
vwap which is what a weighted moving average of price based on volumes which in stocks are not at all accurate and even in futures you can lay off volumes in other ways to conceal what you are really doing.

I am not bashing it as an indicator but as a stand alone make a fortune from trading that is ridiculous.

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


jamrock View Post
vwap twap whatever. pipe dreams and sheep led to the slaughter are all about the vwap which by the way has been well written about and publicized for 30 years!!!!

if vwap is so consistent and so wonderful where are the forbes 500 list of vwap traders.. cough cough cough.

even on this site if vwap was working this guru of vwap would very easily show us actual time and sales to the micro second stamp of all of his amazing trades based on
vwap which is what a weighted moving average of price based on volumes which in stocks are not at all accurate and even in futures you can lay off volumes in other ways to conceal what you are really doing.

I am not bashing it as an indicator but as a stand alone make a fortune from trading that is ridiculous.

Did you even read the entire thread?

Reply With Quote
 
(login for full post details)
  #418 (permalink)
 jamrock 
tampa florida
 
 
Posts: 63 since Sep 2020


MiamiTrader View Post
Did you even read the entire thread?


of course not because it is using VWAP to try and make consistent profits

Reply With Quote
 
(login for full post details)
  #419 (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


jamrock View Post
vwap twap whatever. pipe dreams and sheep led to the slaughter are all about the vwap which by the way has been well written about and publicized for 30 years!!!!

if vwap is so consistent and so wonderful where are the forbes 500 list of vwap traders.. cough cough cough.

even on this site if vwap was working this guru of vwap would very easily show us actual time and sales to the micro second stamp of all of his amazing trades based on
vwap which is what a weighted moving average of price based on volumes which in stocks are not at all accurate and even in futures you can lay off volumes in other ways to conceal what you are really doing.

I am not bashing it as an indicator but as a stand alone make a fortune from trading that is ridiculous.

Instead of writing word salad, how about you contribute constructively by actually reading the thread and posting some detailed quantitative reasoning as to why VWAP is the pipe dream you say it is.

I am always interested in opposite views to my own...that is how I slaughter sheep on a daily basis after all. However, making a post without providing a rationale to back up your statements are meaningless.

If your goal is to write disrupter posts in this thread (and others) and that is your sole reasoning to actually make any kind of post at all, then this forum probably isn't for you.

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Reply With Quote
The following 14 users say Thank You to JonnyBoy for this post:
 
(login for full post details)
  #420 (permalink)
 joe s 
sacramento ca us
 
Experience: Intermediate
Platform: Ninja Trader,Trade Station
Trading: es
 
Posts: 116 since Aug 2015
Thanks: 93 given, 75 received

I agree jonnyboy well said

Reply With Quote
The following 2 users say Thank You to joe s for this post:
 
(login for full post details)
  #421 (permalink)
 michaelleemoore 
Market Wizard
Missoula, MT Nɫʔay(ccstm)
 
Experience: Advanced
Platform: NinjaTrader
Broker: NinjaTrader
Trading: CL, ES
 
michaelleemoore's Avatar
 
Posts: 3,436 since Nov 2012
Thanks: 5,542 given, 12,192 received


JonnyBoy View Post
Instead of writing word salad, how about you contribute constructively by actually reading the thread and posting some detailed quantitative reasoning as to why VWAP is the pipe dream you say it is.

I am always interested in opposite views to my own...that is how I slaughter sheep on a daily basis after all. However, making a post without providing a rationale to back up your statements are meaningless.

If your goal is to write disrupter posts in this thread (and others) and that is your sole reasoning to actually make any kind of post at all, then this forum probably isn't for you.

Thanks for this, Jonny. I and others have tried to stop this guy from treating pretty much everyone like crap, but thus far to no avail. Appreciate the effort.

mlm

Follow me on Twitter Visit my futures io Trade Journal Reply With Quote
The following 6 users say Thank You to michaelleemoore for this post:
 
(login for full post details)
  #422 (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
Instead of writing word salad, how about you contribute constructively by actually reading the thread and posting some detailed quantitative reasoning as to why VWAP is the pipe dream you say it is.

I am always interested in opposite views to my own...that is how I slaughter sheep on a daily basis after all. However, making a post without providing a rationale to back up your statements are meaningless.

If your goal is to write disrupter posts in this thread (and others) and that is your sole reasoning to actually make any kind of post at all, then this forum probably isn't for you.

JB, he said it himself. He didn't read the entire thread so I doubt you're going to get anything constructive out of him as he has no idea what has been discussed. He's placed judgement solely based on the title of the thread.

Reply With Quote
The following 3 users say Thank You to MiamiTrader for this post:
 
(login for full post details)
  #423 (permalink)
 jamrock 
tampa florida
 
 
Posts: 63 since Sep 2020

I said i was not bashing vwap as an indicator and i personally do not use it but if an indicator helps make you profitable then use it how you need to use it and that is all. If i was going to use vwap i would probably compare and use vwap from an index or a correlated stock and use that vwap with the other symbols swap and when both vwaps are x amount away from each other i would probably say hmmm. this seems unusual i wonder if these vwaps will get back in line with each other or I would get to know the vwap on multiple time frames for an index and watch vwap on other symbols and look to make trades that way where in the past if x happens then x should happen again. this is basic probability or you could take it a step further and use an anchored vwap and make comparisons from that and look for extremes or when they move together.

just taking a basic indicator and throwing it on a chart and saying well when it gets above here and below here i buy it and sell it see look how great it worked in the past. you need something with anticipation and thats why i dont need to read this thread from frotn to back. I read more of it than i planned to and it is already more of the same typically in the box thinking by retail traders who think it is all just overlaying an indicator.

I would be excited if once in 20 years i could someone doing somethign exciting with vwap or any of the indicators but most seem to settle for actually believing that trading is just that simple when the reality is that it takes someon who is smart very smart and willing to put dollars on the line when no one else wants too or they think it is dumb.

I never once said vwap was a bad indicator. have a nice night

Reply With Quote
 
(login for full post details)
  #424 (permalink)
 jamrock 
tampa florida
 
 
Posts: 63 since Sep 2020


jamrock View Post
I said i was not bashing vwap as an indicator and i personally do not use it but if an indicator helps make you profitable then use it how you need to use it and that is all. If i was going to use vwap i would probably compare and use vwap from an index or a correlated stock and use that vwap with the other symbols swap and when both vwaps are x amount away from each other i would probably say hmmm. this seems unusual i wonder if these vwaps will get back in line with each other or I would get to know the vwap on multiple time frames for an index and watch vwap on other symbols and look to make trades that way where in the past if x happens then x should happen again. this is basic probability or you could take it a step further and use an anchored vwap and make comparisons from that and look for extremes or when they move together.

just taking a basic indicator and throwing it on a chart and saying well when it gets above here and below here i buy it and sell it see look how great it worked in the past. you need something with anticipation and thats why i dont need to read this thread from frotn to back. I read more of it than i planned to and it is already more of the same typically in the box thinking by retail traders who think it is all just overlaying an indicator.

I would be excited if once in 20 years i could someone doing somethign exciting with vwap or any of the indicators but most seem to settle for actually believing that trading is just that simple when the reality is that it takes someon who is smart very smart and willing to put dollars on the line when no one else wants too or they think it is dumb.

I never once said vwap was a bad indicator. have a nice night


you could pick a symbol say aapl and every day at 10 am if the nadsdaq is positive and apple is positive what ahppens with price vs vwap at 10 am? if apple is negative and nq is positive what ahppens with vwap at 10 am ? use this kind of stuff in order to start to get to know the mkt and how it behaves over and over again instead of slapping some bands over price and saying why is this happening? because you have absolutely no baseline do you?

im short a 2 lot dow futures minin at 27661 now

Reply With Quote
 
(login for full post details)
  #425 (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
Did you even read the entire thread?


jamrock View Post
of course not because it is using VWAP to try and make consistent profits


jamrock View Post
you could pick a symbol say aapl and every day at 10 am if the nadsdaq is positive and apple is positive what ahppens with price vs vwap at 10 am? if apple is negative and nq is positive what ahppens with vwap at 10 am ? use this kind of stuff in order to start to get to know the mkt and how it behaves over and over again instead of slapping some bands over price and saying why is this happening? because you have absolutely no baseline do you?

im short a 2 lot dow futures minin at 27661 now

It is crystal clear that you haven’t read the thread and stated as such yourself. So, to use your terminology you have no baseline to discuss it. As I said, I am open to contrary ideas to mine. However, your understanding of VWAP and how or why positions are (or not) executed at VWAP/SDs is limited. This is being hindered by your refusal to contextualize your responses to the discussions that have already taken place.

In a prior post you stated.

“…or I would get to know the vwap on multiple time frames for an index…”

But of course the VWAP value of an index will be the same no matter the time frame. This is a clear misunderstanding of what VWAP is and how it is calculated and used.

Having read some of your posts in other threads, it is apparent that you have no real interest in having rational discussion about any topic. Your intent appears to be to provoke and not provide.

Why not start a trading journal and show us how you trade and what you look for? Truly, if everybody else has this wrong and you have it right I am open to learning something new. Failing that, tell me why I shouldn’t be using VWAP.

Tell me why using a price-volume model is incorrect. I don’t mean a few throw away statements, I mean give me something I can have some soak time on and respond accordingly. Use charts, time & sales, liquidity assumptions, volume variability assumptions, competitive ratios…literally anything that will provoke fruitful discussion as opposed to souring it.

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Reply With Quote
The following 13 users say Thank You to JonnyBoy for this post:
 
(login for full post details)
  #426 (permalink)
 jamrock 
tampa florida
 
 
Posts: 63 since Sep 2020


JonnyBoy View Post
It is crystal clear that you haven’t read the thread and stated as such yourself. So, to use your terminology you have no baseline to discuss it. As I said, I am open to contrary ideas to mine. However, your understanding of VWAP and how or why positions are (or not) executed at VWAP/SDs is limited. This is being hindered by your refusal to contextualize your responses to the discussions that have already taken place.

In a prior post you stated.

“…or I would get to know the vwap on multiple time frames for an index…”

But of course the VWAP value of an index will be the same no matter the time frame. This is a clear misunderstanding of what VWAP is and how it is calculated and used.

Having read some of your posts in other threads, it is apparent that you have no real interest in having rational discussion about any topic. Your intent appears to be to provoke and not provide.

Why not start a trading journal and show us how you trade and what you look for? Truly, if everybody else has this wrong and you have it right I am open to learning something new. Failing that, tell me why I shouldn’t be using VWAP.

Tell me why using a price-volume model is incorrect. I don’t mean a few throw away statements, I mean give me something I can have some soak time on and respond accordingly. Use charts, time & sales, liquidity assumptions, volume variability assumptions, competitive ratios…literally anything that will provoke fruitful discussion as opposed to souring it.

i dont hve anything to prove here but you are sayign a daily bar chart 24 hours has the same vwap value as a 5 minute chart? doubtful! there is a different amount fo volume and price in a 5 min chart vs a 1 minute chart vs a monthly vs a daily not sure you actually understand how indicators work.

anyway good luck out there hope you had a great day because it sure was an easy one!

Reply With Quote
 
(login for full post details)
  #427 (permalink)
 bobwest 
Site Moderator
Sarasota FL
 
Experience: Advanced
Platform: Sierra Chart
Trading: ES, YM
 
bobwest's Avatar
 
Posts: 6,437 since Jan 2013
Thanks: 48,852 given, 21,550 received


jamrock View Post
i dont hve anything to prove here but you are sayign a daily bar chart 24 hours has the same vwap value as a 5 minute chart? doubtful! there is a different amount fo volume and price in a 5 min chart vs a 1 minute chart vs a monthly vs a daily not sure you actually understand how indicators work.

Actually, yes, the way VWAP is calculated, it will have the same plot on a 1-second chart, a 1-minute chart, a 1-hour chart, or any chart. It is not dependent on the size of the bars, that is, the amount of time represented by the bars. Generally, VWAP is computed over a fixed period such as a day, and resets for the next day, but it can be computed over any span of time. Whatever span is taken, a day, a week or anything else, the plot will be exactly the same no matter what the period of the bars may be.

It is computed, strictly speaking, on a trade-by-trade basis, weighting the trades by volume ("Volume Weighted Average Price"). Since it is based on the individual trades, the strict VWAP doesn't change due to the chart's bar size. In practice, generally VWAPs are computed using the price bars and the volume associated with them, which is faster to compute than using individual trades and works out to be a close approximation of the strictly-computed VWAP. You can switch from 30-second bars to 15-minute bars and the plot of the indicator is essentially the same.

Anyone who has ever put VWAP on two charts will have seen that the values are in fact the same, no matter which chart is used. It will be the same on an hour chart or a 2-minutee chart or a tick chart or a volume bar chart or a range chart, with any bar size you choose. This is why it is a useful and important indicator -- every trader sees the same levels on any chart.

I am surprised that you are unfamiliar with this yet are expressing strong views about the use and value of the indicator, when it is what this thread is about.

Bob.

When one door closes, another opens.
-- Cervantes, Don Quixote
Visit my futures io Trade Journal Reply With Quote
The following 15 users say Thank You to bobwest for this post:
 
(login for full post details)
  #428 (permalink)
 Devil Man 
Legendary Capt. Johnny Jameson
Fort Lauderdale
 
Experience: None
Platform: Optimus Flow, NT8. TS
Broker: CQG, Rithmic
Trading: ES
 
Devil Man's Avatar
 
Posts: 811 since Oct 2009
Thanks: 3,055 given, 1,426 received


bobwest View Post
Actually, yes, the way VWAP is calculated, it will have the same plot on a 1-second chart, a 1-minute chart, a 1-hour chart, or any chart. It is not dependent on the size of the bars, that is, the amount of time represented by the bars. Generally, VWAP is computed over a fixed period such as a day, and resets for the next day, but it can be computed over any span of time. Whatever span is taken, a day, a week or anything else, the plot will be exactly the same no matter what the period of the bars may be.

It is computed, strictly speaking, on a trade-by-trade basis, weighting the trades by volume ("Volume Weighted Average Price"). Since it is based on the individual trades, the strict VWAP doesn't change due to the chart's bar size. In practice, generally VWAPs are computed using the price bars and the volume associated with them, which is faster to compute than using individual trades and works out to be a close approximation of the strictly-computed VWAP. You can switch from 30-second bars to 15-minute bars and the plot of the indicator is essentially the same.

Anyone who has ever put VWAP on two charts will have seen that the values are in fact the same, no matter which chart is used. It will be the same on an hour chart or a 2-minutee chart or a tick chart or a volume bar chart or a range chart, with any bar size you choose. This is why it is a useful and important indicator -- every trader sees the same levels on any chart.

I am surprised that you are unfamiliar with this yet are expressing strong views about the use and value of the indicator, when it is what this thread is about.

Bob.

@bobwest nicely done sir!

J

Reply With Quote
The following 10 users say Thank You to Devil Man for this post:
 
(login for full post details)
  #429 (permalink)
 jamrock 
tampa florida
 
 
Posts: 63 since Sep 2020

im not sure why you are surprised because as i clearly stated i dont use vwap and i never have and i dont intend on using it.

well holy crap.. i am intrigued ..lol.. ok im in to learn about it more and see what it does or how many different ways it can be applied.

I will go back and look over the "entire" thread.

thanks..lol gotta keep an open mind and i was not.

have a great night

Reply With Quote
 
(login for full post details)
  #430 (permalink)
 jamrock 
tampa florida
 
 
Posts: 63 since Sep 2020

vwap
mvwap
anchored vwap

hmmm.. interesting.

if i take the vwap of a constant volume chart am i then just getting a moving average?

Reply With Quote
 
(login for full post details)
  #431 (permalink)
 bobwest 
Site Moderator
Sarasota FL
 
Experience: Advanced
Platform: Sierra Chart
Trading: ES, YM
 
bobwest's Avatar
 
Posts: 6,437 since Jan 2013
Thanks: 48,852 given, 21,550 received


jamrock View Post
vwap
mvwap
anchored vwap

hmmm.. interesting.

if i take the vwap of a constant volume chart am i then just getting a moving average?

No. VWAP on a volume chart looks exactly the same as VWAP on a time chart or any other chart.

Put it on a chart and see.

Bob.

When one door closes, another opens.
-- Cervantes, Don Quixote
Visit my futures io Trade Journal Reply With Quote
The following 3 users say Thank You to bobwest for this post:
 
(login for full post details)
  #432 (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


jamrock View Post
vwap
mvwap
anchored vwap

hmmm.. interesting.

if i take the vwap of a constant volume chart am i then just getting a moving average?


bobwest View Post
No. VWAP on a volume chart looks exactly the same as VWAP on a time chart or any other chart.

Put it on a chart and see.

Bob.

SMAs calculate every bar as uniformly weighted in relation to the timeframe it is calculating.
EMAs calculate more recent bars with a heavier weighting in relation to the timeframe it is calculating.
VWAPs compare the current bar’s volume to the total volume independent of the timeframe it is calculating.

Technically speaking, the VWAP is a moving average but as Bob mentioned it is independent of the timeframe.

--------------------------------------------------------
- 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)
  #433 (permalink)
 drinkurmilkshake 
VA/USA
 
Experience: Intermediate
Platform: NinjaTrader 8
Trading: NQ, YM, RTY, ES
 
drinkurmilkshake's Avatar
 
Posts: 43 since May 2019
Thanks: 26 given, 64 received

I wanted to provide an update on how I've been using @JonnyBoy's original template applied to the CME US Index Futures ETH session (he's using the RTH). I've added two new setups, that while I haven't back tested them as extensively as @JonnyBoy has the original four, have proven to be profitable. For all I know @JonnyBoy may trade similar setups, perhaps using less risk.

When trading these setups, I'm concerned less with historical probability and more with how price action behaves. I'm also fairly loose with my setup rules. From my experience, mechanically disregarding a setup because price trespassed a certain SD level is many times a missed opportunity. Perhaps trading with less risk in light of this behavior is a compromise for some rather than skipping the trade.

New Setup #1
Standard Deviation Thrust (Long/Short) Setup


SETUP: Price has entered the +/- SD 1, SD 2 or SD3 band (SD 0.75 to SD 1.25. SD 1.75 to SD 2.25. SD 2.75 to 3.25) and has tested the extremes of the banded area. For a long setup, this would be price entering the band and touching +SD 1.25. Vice versa for a short. After flirting with the band's maximum, price then retraces back around the band's minimum (e.g. SD 0.75).

** note of caution **
This setup can potentially cause confusion if looking for the Standard Deviation Reversion Short setup. It is critical to observe price action around the band minimum to determine whether there is a high likelihood that price will break the minimum or continue back to the maximum. I'll many times have a pending limit order in the buy zone for the SD Reversion Short Setup, but am ready for a thrust. I use a volume cumulative delta indicator (not the native NinjaTrader version) to help determine supply/demand around SD levels.
** note of caution **

ENTRY: Place a buy stop in the buy zone above +SD 1.25 but below +SD 1.5. I have added additional VWAPs to my chart to pin orders to these SD levels. I'll normally shoot for +SD 1.375.

STOP: Place the stop in the stop zone around SD 1 (or 2,3). This is approximately 0.375 SD's of risk, so a relatively safe trade compared to some of the other setups.

TARGET: We are targeting a move to the next SD levle, however I'm conservative with this setup at the moment (lack of back testing) and like to take 75% or more of the trade off at T1. The rest can be taken off at T2.

BREAK EVEN: Once price starts to approach T1 (usually fairly quickly). I'll move my stop to break even. This is important because there could be a very quick price rejection. Normally I'll see price breakthrough T1 and continue to T2 and beyond, however I'm playing this very conservative.

Attached Thumbnails
Click image for larger version

Name:	VWAP SD THRUST.JPG
Views:	198
Size:	213.8 KB
ID:	305627  
Reply With Quote
The following 10 users say Thank You to drinkurmilkshake for this post:
 
(login for full post details)
  #434 (permalink)
 WoodyFox 
Orlando, Florida
 
Experience: Intermediate
Platform: NinjaTrader
Trading: Futures
 
WoodyFox's Avatar
 
Posts: 300 since May 2016
Thanks: 117 given, 603 received


bobwest View Post
Actually, yes, the way VWAP is calculated, it will have the same plot on a 1-second chart, a 1-minute chart, a 1-hour chart, or any chart. It is not dependent on the size of the bars, that is, the amount of time represented by the bars. Generally, VWAP is computed over a fixed period such as a day, and resets for the next day, but it can be computed over any span of time. Whatever span is taken, a day, a week or anything else, the plot will be exactly the same no matter what the period of the bars may be.

It is computed, strictly speaking, on a trade-by-trade basis, weighting the trades by volume ("Volume Weighted Average Price"). Since it is based on the individual trades, the strict VWAP doesn't change due to the chart's bar size. In practice, generally VWAPs are computed using the price bars and the volume associated with them, which is faster to compute than using individual trades and works out to be a close approximation of the strictly-computed VWAP. You can switch from 30-second bars to 15-minute bars and the plot of the indicator is essentially the same.

Anyone who has ever put VWAP on two charts will have seen that the values are in fact the same, no matter which chart is used. It will be the same on an hour chart or a 2-minutee chart or a tick chart or a volume bar chart or a range chart, with any bar size you choose. This is why it is a useful and important indicator -- every trader sees the same levels on any chart.

I am surprised that you are unfamiliar with this yet are expressing strong views about the use and value of the indicator, when it is what this thread is about.

Bob.

I would like to add to this.
There is one possible way to change the VWAP value, you can admit pieces of Price and Volume. If you are to selectively pull out institutional trades and build the VWAP using those alone, you can build a more institutionally true VWAP. How you use this info is up to the trader, but I have found several ways to build a statistical edge doing so. I have not been as successful with VWAP that includes all volume data. I apologize if this has been previously discussed, I have not read through the whole post. Simple wanted to add my 2 cents.

Standard VWAP with all Volume included:


Standard VWAP



Institutional VWAP:


Institutional VWAP

Reply With Quote
The following 7 users say Thank You to WoodyFox for this post:
 
(login for full post details)
  #435 (permalink)
 bobwest 
Site Moderator
Sarasota FL
 
Experience: Advanced
Platform: Sierra Chart
Trading: ES, YM
 
bobwest's Avatar
 
Posts: 6,437 since Jan 2013
Thanks: 48,852 given, 21,550 received


WoodyFox View Post
If you are to selectively pull out institutional trades and build the VWAP using those alone, you can build a more institutionally true VWAP. How you use this info is up to the trader, but I have found several ways to build a statistical edge doing so. I have not been as successful with VWAP that includes all volume data.

Clever idea, and there is clearly a difference in the two charts.

Many traders do find regular VWAP to be useful, but it is entirely possible that a VWAP calculated this way would show you something new, and that you could exploit it.

I assume you distinguish institutional volume by size (?)... so it's basically a "big trades VWAP?"

Personally, I think that regular trading volume, regardless of size, does play a role in the market, and also that institutions may hide their size by feeding smaller trades into the market (not just icebergs, but we know that large orders get parceled out algorithmically to try to hit the VWAP or do better than it, because brokers get paid in part for executions that hit or are better than the VWAP, as a benchmark.)

I still think it's a cool idea, and basically, if it works then it's a good thing. Thanks for the idea.

Bob.

When one door closes, another opens.
-- Cervantes, Don Quixote
Visit my futures io Trade Journal Reply With Quote
The following 6 users say Thank You to bobwest for this post:
 
(login for full post details)
  #436 (permalink)
 drinkurmilkshake 
VA/USA
 
Experience: Intermediate
Platform: NinjaTrader 8
Trading: NQ, YM, RTY, ES
 
drinkurmilkshake's Avatar
 
Posts: 43 since May 2019
Thanks: 26 given, 64 received

Here's a VWAP test setup that just developed and ended up profitable in the ETH session for NQ. I usually like to wait a few hours and really allow the VWAP and SD bands to develop before taking a trade, however there's some solid moves shortly after open.

Price opened about 20 ticks from previous close and consequently dropped 140 ticks. Price quickly rebounded above the VWAP before settling in +SD 2 and falling into +SD 1 to then go on and test the VWAP. Lots of price discovery going on.

I missed the first test entry, and actually entered late and poorly slightly above +SD 0.5. After seeing price test VWAP again and enter the buy zone, i doubled up my position; entering at a much better location between +SD 0.25 and +SD 0.5.

While my risk was doubled, I was able to lower my profit target to hit my daily goal to just around +SD 0.75 (T1 for the setup) from its original location around +SD 1.25. Not surprisingly, price thrust up all the way to +SD 2 in a single candle; blowing through my TP.


Reply With Quote
The following 6 users say Thank You to drinkurmilkshake for this post:
 
(login for full post details)
  #437 (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


WoodyFox View Post
I would like to add to this.
There is one possible way to change the VWAP value, you can admit pieces of Price and Volume. If you are to selectively pull out institutional trades and build the VWAP using those alone, you can build a more institutionally true VWAP. How you use this info is up to the trader, but I have found several ways to build a statistical edge doing so. I have not been as successful with VWAP that includes all volume data. I apologize if this has been previously discussed, I have not read through the whole post. Simple wanted to add my 2 cents.

Standard VWAP with all Volume included:


Standard VWAP



Institutional VWAP:


Institutional VWAP

Exactly! This is a quite an advanced approach actually and something that hasn't been discussed here yet. The reason why I call this an advanced approach is because in general an institutional traders number one goal is to estimate volume profile of what instrument they will be trading for that day without any knowledge of that day's volume.

Once you can estimate the volume profile for the day you can then ''tune'' the VWAP accordingly. This means you can then estimate the VWAP for the day, but we are getting a a bit ahead of ourselves with that one.

Replicating your NQ charts for today I get this. I am not used to the NQ so I applied a trade filter size of 50. Are you able to divulge the filter quantity you use and how you calculate it?

Unfiltered VWAP - all trades


Filtered VWAP - minimum trade size greater than or equal to 50


A good starting point to define trade filter size in the ES is to look at the DOM at RTH open. I would take the average of the 10 levels of bid and ask depth and then divide that by 10. So, for example if the 10 levels of bid depth were 1,050 and the 10 levels of ask depth were 1,304...

1,050 + 1,304 = 2,354

2,354 / 2 = 1,177 (to get your average)

1,177 / 10 = 117 (filter size)

Now, this is just a starting point and will only be possible to display if you have ability to trade filter size and apply VWAP to those filtered trades. There is a while bucket of reasons why I do it like this.

Filtering trade size of course means that it will not account for the distribution or accumulation of large orders that get broken down and executed as smaller orders. What we are trying to do here parcel out the sigma events where large orders are executed as large orders.

I probably wouldn't have even got onto discussing this about how you can slice up VWAP in this manner, but it is a very valid approach hence the discussion is now open! I am now just wondering if you heard that somewhere, read it somewhere or just did it?

--------------------------------------------------------
- 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)
  #438 (permalink)
 jmont1 
New York, NY
 
Experience: Intermediate
Platform: NinjaTrader8
Broker: Data = Rithmic -- Gives 70 Level II Data
Trading: 6C (Low Margin,) 6E, CL, GC, ES and Maybe DX for smaller tick value
 
Posts: 1,254 since May 2011
Thanks: 1,595 given, 921 received


JonnyBoy View Post
Exactly! This is a quite an advanced approach actually and something that hasn't been discussed here yet...

@JonnyBoy, may I request you provide the VWAP that allows for size filtering of volume? Perhaps I am just not noticing it in VWAPs that I have reviewed and would very much appreciate you or someone posting it. Thank YOU!

Reply With Quote
 
(login for full post details)
  #439 (permalink)
 LastDino 
Legendary Pratik_4Clover
Mumbai, India
 
Experience: Beginner
Platform: TradingView & ZerodhaKite
Trading: Crude, NIFTY, BANKNIFTY
 
LastDino's Avatar
 
Posts: 887 since Jan 2019
Thanks: 2,741 given, 2,542 received

Here is my hand at this new concept in the thread



Yellow = Regular anchored vwap
Red = Adjusted "institutional" vwap

Problems I faced, I don't have access to market depth data, so I took more basic approach

This is just something I came up on the go so not sure if this is valid or not, but what I'm seeing right now is slightly more responsive VWAP, at least first impression is that

This is an interesting idea, worth looking into. Thanks Woodyfox

Visit my futures io Trade Journal Reply With Quote
The following 3 users say Thank You to LastDino for this post:
 
(login for full post details)
  #440 (permalink)
 bobwest 
Site Moderator
Sarasota FL
 
Experience: Advanced
Platform: Sierra Chart
Trading: ES, YM
 
bobwest's Avatar
 
Posts: 6,437 since Jan 2013
Thanks: 48,852 given, 21,550 received


LastDino View Post
Here is my hand at this new concept in the thread

...

Problems I faced, I don't have access to market depth data, so I took more basic approach

What is your filter, then?

Bob.

When one door closes, another opens.
-- Cervantes, Don Quixote
Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #441 (permalink)
 LastDino 
Legendary Pratik_4Clover
Mumbai, India
 
Experience: Beginner
Platform: TradingView & ZerodhaKite
Trading: Crude, NIFTY, BANKNIFTY
 
LastDino's Avatar
 
Posts: 887 since Jan 2019
Thanks: 2,741 given, 2,542 received


bobwest View Post
What is your filter, then?

Bob.

Replaced volumes from origional vwap calculation with the ivol variable below
 
Code
dhv = security(syminfo.tickerid, "D", ema(volume,20), lookahead=true)
ivol=0.00, ivol:=volume > ema(volume,20) ? volume : dhv
Not sure if that makes sense, but I'll take it if its working

Visit my futures io Trade Journal Reply With Quote
The following 3 users say Thank You to LastDino for this post:
 
(login for full post details)
  #442 (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


jmont1 View Post
@JonnyBoy, may I request you provide the VWAP that allows for size filtering of volume? Perhaps I am just not noticing it in VWAPs that I have reviewed and would very much appreciate you or someone posting it. Thank YOU!

There are a number of ways you can get hold of this.

1. Pay a coder to do it. This is probably your most expensive option.
2. Purchase the Range Profile Volume indicator from DiscoTrading ($159 USD). You'll get what I consider to be the best volume profile tool on the market for literally peanuts, plus you can filter trades in numerous ways not just equal to greater than.
3. Request somebody on FIO to code this for you for free.

Assuming a coders average hourly rate of $150, option number 2 IMO is a no brainer.

--------------------------------------------------------
- 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)
  #443 (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
Replaced volumes from origional vwap calculation with the ivol variable below
 
Code
dhv = security(syminfo.tickerid, "D", ema(volume,20), lookahead=true)
ivol=0.00, ivol:=volume > ema(volume,20) ? volume : dhv
Not sure if that makes sense, but I'll take it if its working

Looks like you are using an EMA to filter trades by volume? I guess this is the limitation of Trading View with respect to DOM. I do in fact love Trading View and use it myself.

And at the end of the day, whatever works for you works!

--------------------------------------------------------
- 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)
  #444 (permalink)
 LastDino 
Legendary Pratik_4Clover
Mumbai, India
 
Experience: Beginner
Platform: TradingView & ZerodhaKite
Trading: Crude, NIFTY, BANKNIFTY
 
LastDino's Avatar
 
Posts: 887 since Jan 2019
Thanks: 2,741 given, 2,542 received


JonnyBoy View Post
Looks like you are using an EMA to filter trades by volume? I guess this is the limitation of Trading View with respect to DOM. I do in fact love Trading View and use it myself.

And at the end of the day, whatever works for you works!

Yes and yes, lack of DOM has been hitting TV user base, but I think there are multiple technical problems that they are facing and not able to provide it atm. And rumour has it that its not going to change anytime soon either, hopefully things will be different after few years.

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)
  #445 (permalink)
 jmont1 
New York, NY
 
Experience: Intermediate
Platform: NinjaTrader8
Broker: Data = Rithmic -- Gives 70 Level II Data
Trading: 6C (Low Margin,) 6E, CL, GC, ES and Maybe DX for smaller tick value
 
Posts: 1,254 since May 2011
Thanks: 1,595 given, 921 received


LastDino View Post
Replaced volumes from origional vwap calculation with the ivol variable below
 
Code
dhv = security(syminfo.tickerid, "D", ema(volume,20), lookahead=true)
ivol=0.00, ivol:=volume > ema(volume,20) ? volume : dhv
Not sure if that makes sense, but I'll take it if its working

@LastDino, so can you or someone post the VWAP that can filter volume for NT8?

Reply With Quote
 
(login for full post details)
  #446 (permalink)
 LastDino 
Legendary Pratik_4Clover
Mumbai, India
 
Experience: Beginner
Platform: TradingView & ZerodhaKite
Trading: Crude, NIFTY, BANKNIFTY
 
LastDino's Avatar
 
Posts: 887 since Jan 2019
Thanks: 2,741 given, 2,542 received


jmont1 View Post
@LastDino, so can you or someone post the VWAP that can filter volume for NT8?

I don't have NT coding knowledge, unfortunately your options are exactly as JonnyBoy has mentioned in his post above. I'm sorry :/

Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #447 (permalink)
 WoodyFox 
Orlando, Florida
 
Experience: Intermediate
Platform: NinjaTrader
Trading: Futures
 
WoodyFox's Avatar
 
Posts: 300 since May 2016
Thanks: 117 given, 603 received


JonnyBoy View Post
Exactly! This is a quite an advanced approach actually and something that hasn't been discussed here yet. The reason why I call this an advanced approach is because in general an institutional traders number one goal is to estimate volume profile of what instrument they will be trading for that day without any knowledge of that day's volume.

Once you can estimate the volume profile for the day you can then ''tune'' the VWAP accordingly. This means you can then estimate the VWAP for the day, but we are getting a a bit ahead of ourselves with that one.

Replicating your NQ charts for today I get this. I am not used to the NQ so I applied a trade filter size of 50. Are you able to divulge the filter quantity you use and how you calculate it?

Unfiltered VWAP - all trades


Filtered VWAP - minimum trade size greater than or equal to 50


A good starting point to define trade filter size in the ES is to look at the DOM at RTH open. I would take the average of the 10 levels of bid and ask depth and then divide that by 10. So, for example if the 10 levels of bid depth were 1,050 and the 10 levels of ask depth were 1,304...

1,050 + 1,304 = 2,354

2,354 / 2 = 1,177 (to get your average)

1,177 / 10 = 117 (filter size)

Now, this is just a starting point and will only be possible to display if you have ability to trade filter size and apply VWAP to those filtered trades. There is a while bucket of reasons why I do it like this.

Filtering trade size of course means that it will not account for the distribution or accumulation of large orders that get broken down and executed as smaller orders. What we are trying to do here parcel out the sigma events where large orders are executed as large orders.

I probably wouldn't have even got onto discussing this about how you can slice up VWAP in this manner, but it is a very valid approach hence the discussion is now open! I am now just wondering if you heard that somewhere, read it somewhere or just did it?

It seems everybody has their own way of doing things, so I thought I would demonstrate how I see things.



VWAP alone to me is weak at best when used like the average retail trader uses it. Sure, it tells you things, but how can you exploit it. I have found very few successful ways to get and edge that is consistent. I believe the reason for this is participation. More specific, who is participating.

So,

1… You need to find out who is participating. This part is sacred to me, so I will not share. But I will say its important to look at both Limit (Iceberg) and Market (Delta) orders.
With a little work you can also see if bigger orders are parceled. It is data crunch, but worth the effort.

2… Once you know who is participating…Who do you filter? I primarily focus on removing the retail traders and a bit larger. If you go to small, you undermine the purpose. If
you go to big, you will limit the data to a point where it becomes useless for a retail account size. I also feel just because it is a big order, dose not mean its smart money.

3… Ok, you know who to include in your data…what do you do with it. Trade to the mean off some arbitrary deviation or know support or resistance? Use it to filter direction for
other strategies? Treat the VWAP as support and resistance and trade a bounce? Etc. This is up to who you are as a trader and of course account capabilities.



What I like to do is a little different and involves looking at sells vs buys. If you break apart the orders and create 2 VWAPS, one for buys and one for sells, you can use the spread to accurately determine institutional intent. Looking at a VWAP that puts all volume in the same group for a single average price has limitations. For me understanding this has helped me eliminate whipsaws and better see market direction.

For me not all institutional participants control direction. The ones that do control direction at any given time will push with volume until overtaken by opposing institutions. This may seem elementary, but I have heard so many retails traders say they feel institutions are out to get them with stop runs. The retail trader is only a tool in volume for institution to outwork and get their competing equals. By looking at a more specified VWAP, I feel this becomes more apparent.

I would also point out, that I look for trading strategies based on larger moves and consider myself more of a swing trader. I compare short and long term VWAPs and typically will have trades trigger at most 4 or 5 times a day when market volatility is high. I have held some trades for days. So, I am not a scalper in the traditional sense.

That’s all a have. Thought it might be helpful to some.

Reply With Quote
The following 14 users say Thank You to WoodyFox for this post:
 
(login for full post details)
  #448 (permalink)
 LastDino 
Legendary Pratik_4Clover
Mumbai, India
 
Experience: Beginner
Platform: TradingView & ZerodhaKite
Trading: Crude, NIFTY, BANKNIFTY
 
LastDino's Avatar
 
Posts: 887 since Jan 2019
Thanks: 2,741 given, 2,542 received


WoodyFox View Post
That’s all a have. Thought it might be helpful to some.

It is very helpful, thank you for sharing your valuable experience.

Visit my futures io Trade Journal Reply With Quote
The following 4 users say Thank You to LastDino for this post:
 
(login for full post details)
  #449 (permalink)
 joe s 
sacramento ca us
 
Experience: Intermediate
Platform: Ninja Trader,Trade Station
Trading: es
 
Posts: 116 since Aug 2015
Thanks: 93 given, 75 received

I have been looking at Brian Shannon,Anchored VWAP any body try this technique it seems interesting

Joe

Reply With Quote
The following user says Thank You to joe s for this post:
 
(login for full post details)
  #450 (permalink)
 drinkurmilkshake 
VA/USA
 
Experience: Intermediate
Platform: NinjaTrader 8
Trading: NQ, YM, RTY, ES
 
drinkurmilkshake's Avatar
 
Posts: 43 since May 2019
Thanks: 26 given, 64 received


joe s View Post
I have been looking at Brian Shannon,Anchored VWAP any body try this technique it seems interesting

Joe

While there's definitely value in the anchored VWAPs, the issue I have is achvieving consistency in their anchor points and your ruleset to trade them. The ETH/RTH session-pegged VWAPs are black and white on their anchor point, and allow you to create a consistent ruleset for how price action behaves around the VWAP and SD levels. To avoid confusion and the added task of having to decide where to anchor VWAP positions as they develop, I'm just using standard EMAs (20 and 200) to act as a confirming indicator when price approaches a particular level.

So far, I've found that these particular EMAs often will closely mirror a VWAP that I have anchored. I don't think anchored VWAPs are redundant, but are probably an unncessary added complexity to what is already a rock solid system to trade price action (ETH/RTH session VWAPs).

Reply With Quote
The following 4 users say Thank You to drinkurmilkshake for this post:
 
(login for full post details)
  #451 (permalink)
 doobietr4ader 
Broomfield
 
Experience: Beginner
Platform: Ninjatrader
Trading: ES
 
doobietr4ader's Avatar
 
Posts: 14 since Jul 2020
Thanks: 38 given, 29 received

I like using anchored VWAPs on trending days. It is fairly easy to anchor them on a swing low or high. If you're able, "slide" the anchor point back and forth to see where the price action kisses vwap. As usual, no magic bullet, but can give useful info.

Reply With Quote
The following 2 users say Thank You to doobietr4ader for this post:
 
(login for full post details)
  #452 (permalink)
 joe s 
sacramento ca us
 
Experience: Intermediate
Platform: Ninja Trader,Trade Station
Trading: es
 
Posts: 116 since Aug 2015
Thanks: 93 given, 75 received

Thanks for the input drinkurmilkshake

Reply With Quote
 
(login for full post details)
  #453 (permalink)
 joe s 
sacramento ca us
 
Experience: Intermediate
Platform: Ninja Trader,Trade Station
Trading: es
 
Posts: 116 since Aug 2015
Thanks: 93 given, 75 received

thanks doobietr4ader I will give it a try

Reply With Quote
 
(login for full post details)
  #454 (permalink)
 Deetee 
Amsterdam
 
Experience: Intermediate
Platform: NinjaTrader / IB /Bookmap
Broker: EdgeClear / InteractiveBrokers / Rithmic / dxFeed
Trading: DAX / (M)NQ / (M)ES
 
Posts: 178 since Jul 2019
Thanks: 1,284 given, 237 received

Wow, I'm almost speechless. What a read! What a great information in this thread. Thanks everybody for contributing.

Special thanks and a deep bow to @JonnyBoy. What you have put here, the efforts you have taken, this stuff you have given to the community, unbelievable.

I hope one day to be able to do the same for others. In the meanwhile, I'm going to study it. Feel it. Exhaust it. And hopefully make some money along the way

Visit my futures io Trade Journal Reply With Quote
The following 5 users say Thank You to Deetee for this post:
 
(login for full post details)
  #455 (permalink)
 Rrrracer 
Webinar Host
Indianoplace, IN
 
Experience: Intermediate
Platform: SierraChart
Broker: CQG
Trading: All Micros, especially the ones that move
 
Rrrracer's Avatar
 
Posts: 2,400 since Feb 2017
Thanks: 16,571 given, 9,087 received

I've not been trading the indices for very long, but so far VWAP has been invaluable in my education.

Follow me on Twitter Visit my futures io Trade Journal Reply With Quote
The following 5 users say Thank You to Rrrracer for this post:
 
(login for full post details)
  #456 (permalink)
 133usd 
Portland, ME
 
Experience: Beginner
Platform: Jigsaw, TOS, Firetip
Trading: YM, MYM, stocks, options
 
Posts: 51 since Feb 2020
Thanks: 17 given, 80 received

Great thread!!
I personally do use a VWAP that begins each day during RTH. When I "use" an indicator, an average, an oscillator, it's something I do with a heavy amount of context by reading into price action with basic levels and some trade flow/tape reading as well.

I'm discretionary so my rules are quite flexible, which some will frown upon, due to it being discretionary and not a rigid "system". VWAP is something that is a tool for me, along with a basic MACD.

Each day is totally different so I have many strategies I use. Today I was thrown off the Mini Dow. I was too eager to buy above the VWAP, and I realized the market was too heavy going long and the VWAP bounce was NOT going to happen! Luckily I was stopped soon enough and reversed the trade. Based on that breakdown level area, I was able to re-short near the 30 mins prior to close.

I always tell myself, "I see XYZ happening, this means we could get ZYX outcome, but price doesn't have to do exactly what I think it could do, and then I will set a stop because if my expectation is proven wrong, I need to exit ASAP"
This almost always works, with anything. Patterns, order flow, VWAP setups, etc.

Sometimes I will just wait for a failure of my setup(s) and that is a form of confirmation that tends to work really well! By the time I spot a pattern or setups, I am usually late to the party, and I know this about myself!

I think with proper money management and using stops, you could literally trade based off of anything, but the VWAP is much much better than a random line. How price will behave according to the VWAP will be different each time.
I don't have software to backtest, but if I continue to hit a sweet $700 to $800 each day, it's not important for me to backtest at all. And it makes it even harder for me to backtest when I have several setups that I will trade, and not just 1 kind of VWAP setup etc. I am human, and when I get tired, I require myself to stop trading. The mental fatigue isn't always 100% obvious, but it's a sorta of mental fog that accumulates and then I need time off in order to function.

Reply With Quote
The following 8 users say Thank You to 133usd for this post:
 
(login for full post details)
  #457 (permalink)
 Tuglife 
Escondido CA USA
 
Experience: Beginner
Platform: Jigsaw Daytradr + Ninjatr
Trading: E-Mini ES
 
Tuglife's Avatar
 
Posts: 118 since Jan 2020
Thanks: 57 given, 109 received

I've been watching @JonnyBoy 's setups the last few days and it's been worth while. One possibility that I may have missed (I didn't read all 46 pages of this thread yet) would be what I will refer to as a "strong cross". A "strong cross long" would come from the -1SD (or below) and basically just blow through the VWAP to the upside without a successful test. Maybe the buy zone would be in the .25 SD to .5 SD area. Success with this setup would key off of proper risk control of course. Maybe a stop set at -.25 SD to -.50 SD.

I'm curious what anyone thinks about this?

Visit my futures io Trade Journal Reply With Quote
The following 2 users say Thank You to Tuglife for this post:
 
(login for full post details)
  #458 (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


Tuglife View Post
I've been watching @JonnyBoy 's setups the last few days and it's been worth while. One possibility that I may have missed (I didn't read all 46 pages of this thread yet) would be what I will refer to as a "strong cross". A "strong cross long" would come from the -1SD (or below) and basically just blow through the VWAP to the upside without a successful test. Maybe the buy zone would be in the .25 SD to .5 SD area. Success with this setup would key off of proper risk control of course. Maybe a stop set at -.25 SD to -.50 SD.

I'm curious what anyone thinks about this?

In general a VWAP cross is supported (but not always) by the market internals. The question you have to ask yourself is that when price get's back into VWAP territory what is it going to do next. Sometimes a blow through is very obvious, other times not so much.

I have written a new VWAP algorithm which I will be testing in SIM tomorrow for literally the first time. I hate SIM, but I need to be able to continue working on any issues before this runs live. This algorithm does not rely on the standard setups per se because it contextualises VWAP differently by looking at the TICK and the ADV.

The yellow circles are good VWAP choices for entry. Blue is not good VWAP (but it realised this and went the other way). My point being that the last yellow circle was a VWAP cross prior to it happening, so it is possible to predict beforehand if you quantitively assess the location where you are at.

I'll record the session and post tomorrow. I guess I'll post good, bad or ugly. But for reference it will be in SIM which I will be very clear about when I post.

EDIT: The spring green and tomato coloured lines are automatic VWAP anchors based on a 9 bar pre 2 bar post look back / ahead to determine if the VWAP swing is valid. Oh, and I also forgot to say that the algorithm enters mid bar which comes with a set of it's own problems which is I am am testing in SIM.



--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Reply With Quote
The following 15 users say Thank You to JonnyBoy for this post:
 
(login for full post details)
  #459 (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

In SIM only, but this morning didn't quite go according to plan! I'll have to make some adjustments to the algorithm. If I manually closed out a position on the same bar as the entry bar it would re-enter that position because the criteria within the same bar was still being met.

Either way, there were some lovely VWAP TEST SHORT ENTRIES, it's just a pity I wasn't in them. Looks like I have a bit of work to do this weekend.


--------------------------------------------------------
- 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)
  #460 (permalink)
 drinkurmilkshake 
VA/USA
 
Experience: Intermediate
Platform: NinjaTrader 8
Trading: NQ, YM, RTY, ES
 
drinkurmilkshake's Avatar
 
Posts: 43 since May 2019
Thanks: 26 given, 64 received

@JonnyBoy This is the one thing that the Eveday Drawcator VWAP cannot natively do (RollfromNthBar). You can 'AttachtoCurrentBar' , 'RollFromPreviousWeek' and 'RollFromNthSession' only. It can't dynamically draw a new VWAP every Nth bar. The Ninja Orderflow VWAP is of course limited to trading hours only.

In the past, you've discussed anchoring rolling VWAPs to swing highs/lows and other relevant bars (e.g. failure bar along an SD line), which can be subjective based on the user's criteria. The Nth bar however is objective and the only difference is whatever dataset is employed.

Another thing that I don't think has been mentioned is your usage of fibonnaci numbers in your datasets and some of the indicator values. I've created different tick datasets based off fibonnaci numbers (987, 377, 233, 144, 89) and have traded them with great success. I'll switch to whichever set complements price volatility.

Can you share how you are dynamically drawing the VWAP from Nth bar? Have you played around with different fib values for the Nth bar VWAPs? (e.g. 8,13,21,34). I could draw these manually, however the tick bars (especially the smaller datasets 144, 89) can draw bars extremely quickly.

Reply With Quote
The following user says Thank You to drinkurmilkshake for this post:
 
(login for full post details)
  #461 (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


drinkurmilkshake View Post
@JonnyBoy This is the one thing that the Eveday Drawcator VWAP cannot natively do (RollfromNthBar). You can 'AttachtoCurrentBar' , 'RollFromPreviousWeek' and 'RollFromNthSession' only. It can't dynamically draw a new VWAP every Nth bar. The Ninja Orderflow VWAP is of course limited to trading hours only.

In the past, you've discussed anchoring rolling VWAPs to swing highs/lows and other relevant bars (e.g. failure bar along an SD line), which can be subjective based on the user's criteria. The Nth bar however is objective and the only difference is whatever dataset is employed.

Another thing that I don't think has been mentioned is your usage of fibonnaci numbers in your datasets and some of the indicator values. I've created different tick datasets based off fibonnaci numbers (987, 377, 233, 144, 89) and have traded them with great success. I'll switch to whichever set complements price volatility.

Can you share how you are dynamically drawing the VWAP from Nth bar? Have you played around with different fib values for the Nth bar VWAPs? (e.g. 8,13,21,34). I could draw these manually, however the tick bars (especially the smaller datasets 144, 89) can draw bars extremely quickly.

I posted and then deleted. I wasn't happy with my explanation - you can probably see my text response in the email you'll probably get from FIO. But let me tackle this tomorrow when I am less tired.

Thanks.

--------------------------------------------------------
- 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)
  #462 (permalink)
 Tuglife 
Escondido CA USA
 
Experience: Beginner
Platform: Jigsaw Daytradr + Ninjatr
Trading: E-Mini ES
 
Tuglife's Avatar
 
Posts: 118 since Jan 2020
Thanks: 57 given, 109 received

My charts showed Friday was a banner day for the setups mentioned earlier in this thread. Two early VWAP test shorts had to be discarded because they broke a tick or two too high, BUT. There were 4 textbook "-1 SD continuation" trades" in a row. I also had the ETH VWAP up, and those two VWAP test shorts respected the rules regarding the 0.5 line.

Interesting how price seemed to respect the VWAP all morning, then shift gears *right* at 1:00 PM and drive up into the close.

Visit my futures io Trade Journal Reply With Quote
The following 6 users say Thank You to Tuglife for this post:
 
(login for full post details)
  #463 (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


Tuglife View Post
My charts showed Friday was a banner day for the setups mentioned earlier in this thread. Two early VWAP test shorts had to be discarded because they broke a tick or two too high, BUT. There were 4 textbook "-1 SD continuation" trades" in a row. I also had the ETH VWAP up, and those two VWAP test shorts respected the rules regarding the 0.5 line.

Interesting how price seemed to respect the VWAP all morning, then shift gears *right* at 1:00 PM and drive up into the close.

Indeed. Like you said banner days, when they work, they work very well. I remind people all of the time that DM me, to remain with your feet planted on the ground. These kinds of days are a great for VWAP traders and you can feel untouchable, but on A.N. Other day it will rip your face off. It's all about contextualizing the day, prior days, opening type and all that jazz. Nothing wrong with stepping lightly into the first trade.

I was busy forward testing my algorithm so it (and me) missed those setups although I saw them play out and I was like damn, of all the days to not be in...

--------------------------------------------------------
- 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)
  #464 (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


drinkurmilkshake View Post
@JonnyBoy This is the one thing that the Eveday Drawcator VWAP cannot natively do (RollfromNthBar). You can 'AttachtoCurrentBar' , 'RollFromPreviousWeek' and 'RollFromNthSession' only. It can't dynamically draw a new VWAP every Nth bar. The Ninja Orderflow VWAP is of course limited to trading hours only.

In the past, you've discussed anchoring rolling VWAPs to swing highs/lows and other relevant bars (e.g. failure bar along an SD line), which can be subjective based on the user's criteria. The Nth bar however is objective and the only difference is whatever dataset is employed.

Another thing that I don't think has been mentioned is your usage of fibonnaci numbers in your datasets and some of the indicator values. I've created different tick datasets based off fibonnaci numbers (987, 377, 233, 144, 89) and have traded them with great success. I'll switch to whichever set complements price volatility.

Can you share how you are dynamically drawing the VWAP from Nth bar? Have you played around with different fib values for the Nth bar VWAPs? (e.g. 8,13,21,34). I could draw these manually, however the tick bars (especially the smaller datasets 144, 89) can draw bars extremely quickly.

Okay, let me tackle this one again.

Yes, I have discussed anchored VWAPs in the past to some extent, but perhaps some examples would help flesh things out. I call these Anchored Action VWAPs or just Action VWAPs, but you can really call them what you want. The main point is to consider these as potential actionable VWAP locations. These are not absolute must trade areas, but locations where you might want to take action if corresponding price action and internals are in your favour to do so.

So, let's have a look at the categories of Anchored Action VWAPs:

Swing VWAPS
Swing VWAPs have the most degree of interpretation. Just like an out of the box Swing indicator or Fractal indicator, you need a certain number of bars preceding a high/low and succeeding a high/low to bake in the swing. This will depend on your data series.

Simplistically, I use a minimum of 9 bars preceding and 2 bars succeeding to define the swing. Generally, if price breaks/traverses across a swing VWAP and has 2 closes on the other side of it, the Swing VWAP colour will update to Long Swing VWAP or Short Swing VWAP depending on the direction of traverse.

In addition I 'cut off' Swing VWAPs when they become irrelevant. The calculation used to determine irrelevant is unique. This means that I won't get caught up with tens of developing Swing VWAPs finding their way to the right hand side of the chart and cluttering it up, plus, I know that by calculation it is telling me not to pay attention to these in the future (they have passed their sell by date so to speak) so just don't develop them any further.

An example is below combined with the GAP VWAP.

GAP VWAPS
The beauty of GAP VWAPs is that they are the same for everybody. No interpretation required. The 2 charts below show a GAP VWAP from 25th October RTH session into 26th October RTH session, both on a 2000 tick chart.

You literally anchor a VWAP from the last bar of the RTH session (technically correct) or the last swing high/low set between 14:00 and 14:15 MST - the electronic close. You can experiment, but the idea is to let this GAP VWAP roll into the next RTH session. If there is a GAP open during the next RTH session you now have a point of reference.

You can see this was a masterful Gap Swing rolling VWAP that contained price to the upside yesterday - to the tick - and when price broke the lower VWAP Swing, it came back up to kiss the RTH VWAP (to check for any unfinished business) and then sold the heck off.

During this time I am looking at the market internals. TICK, ADV and to some extent the CD. You mentioned this in your DM to me. Yes, I do use the CD as a point of reference but often the ADV and CD are doing similar things, so be careful not to fall foul to information overload. These showed signs of weakness, when perhaps price didn't...until it did.

ES 12-20 (2000 Tick) Gap + Swing VWAP



ES 12-20 (2000 Tick) Gap + Swing VWAP Close Up


Highest/Lowest VWAPS
A form of Swing VWAP but this time you are only interested in the current HOD and LOD anchoring a VWAP respectively. In addition, you can select a period of time to anchor this High or Low to. What do I mean by that? Well, let's say the market had an outside day on Monday but had inside days on Tuesday and Wednesday. You could anchor a VWAP to the HOD and LOD from Monday's session and see if price (when it gets to these levels) is interested in doing anything.

ES 12-20 (2000 Tick) Low + High Swing VWAP


Monthly Options Expiration VWAP
Monthly OPEX VWAPs are the same for everybody. No interpretation required. These often lose potency as time progresses and the next monthly OPEX day is arriving but still worth noting its location.

ES 12-20 (2000 Tick) Options Expiration VWAP


Contract Rollover VWAP
Again, very obvious (no chart included). Again, these tend to lose potency as time moves forward but still worth nothing their location.

News / Significant event VWAPs
Manually located. High impact news events that are worth tagging, especially on bullish/bearish spikes.

Monthly / Weekly / Yearly VWAPs
We have discussed these before. Exactly as they say on the tin.

Historical Daily VWAPs
We have discussed these before. Exactly as they say on the tin. I roll 7 days RTH session VWAPs forward.

Although I have referenced futures here, it can also be applied to stocks. I have always said that stocks appear to behave better with respect to VWAP, well certain ones to anyway.

None of this should be considered verbatim setups either. Some days you don't need to contextualize with the market internals - the setups are that obvious - but most days you will be looking for signs of weakness or strength and going from there.

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.

So, I think I covered mostly everything associated with anchored VWAPs and how they can be utilised.

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Reply With Quote
The following 12 users say Thank You to JonnyBoy for this post:
 
(login for full post details)
  #465 (permalink)
 joe s 
sacramento ca us
 
Experience: Intermediate
Platform: Ninja Trader,Trade Station
Trading: es
 
Posts: 116 since Aug 2015
Thanks: 93 given, 75 received

Thanks JonnyBoy great job that was alot of good info

Reply With Quote
The following user says Thank You to joe s for this post:
 
(login for full post details)
  #466 (permalink)
 Tuglife 
Escondido CA USA
 
Experience: Beginner
Platform: Jigsaw Daytradr + Ninjatr
Trading: E-Mini ES
 
Tuglife's Avatar
 
Posts: 118 since Jan 2020
Thanks: 57 given, 109 received

When I first started learning about VWAP strategies I read something that said "trade toward VWAP on range days, and away from VWAP on trend days."

Looking at a day like today, mean reversion trades would have worked well. A lot of setups where you could either fade from the +/-2 SD or just take a continuation from the 2 SD to the 1 SD toward VWAP.

host images

That being said...today I executed poorly and didn't do well.

Visit my futures io Trade Journal Reply With Quote
The following 3 users say Thank You to Tuglife for this post:
 
(login for full post details)
  #467 (permalink)
 LastDino 
Legendary Pratik_4Clover
Mumbai, India
 
Experience: Beginner
Platform: TradingView & ZerodhaKite
Trading: Crude, NIFTY, BANKNIFTY
 
LastDino's Avatar
 
Posts: 887 since Jan 2019
Thanks: 2,741 given, 2,542 received

Just sharing,

I've tried "expiry day" vwap after reading about it in last post here, while in theory it makes lot of sense I have not seen much of an advantage over regular Monday anchored vwap by itself. However, later I put together both regular Monday anchored and expiry vwap (expiry is weekly, on each Thursday), resultant was interesting.

Teal = Expiry anchored VWAP (Thursday)
Yellow = Regular Monday anchored


Now I'm wondering what happens if we can have a vwap anchored on each day of the week at the same time, that would make some interesting ribbon of vwap.

Just throwing up idea here. I've not yet programmed and checked.

Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #468 (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
Just sharing,

I've tried "expiry day" vwap after reading about it in last post here, while in theory it makes lot of sense I have not seen much of an advantage over regular Monday anchored vwap by itself. However, later I put together both regular Monday anchored and expiry vwap (expiry is weekly, on each Thursday), resultant was interesting.

Teal = Expiry anchored VWAP (Thursday)
Yellow = Regular Monday anchored


Now I'm wondering what happens if we can have a vwap anchored on each day of the week at the same time, that would make some interesting ribbon of vwap.

Just throwing up idea here. I've not yet programmed and checked.

Where did you get the information that Options expire weekly every Thursday? It is the third Friday of every month.

Monthly options expirations:
17 January 2020
21 February 2020
20 March 2020
17 April 2020
15 May 2020
19 June 2020
17 July 2020
21 August 2020
18 September 2020
16 October 2020
20 November 2020
18 December 2020

Source:
PDFFramed

Irregular weekly options expirations in 2020 (normally Friday):

9 April 2020 (Thursday, due to Good Friday on 10 April 2020)
2 July 2020 (Thursday, due to 3 July exchange holiday and 4 July on Saturday)
24 December 2020 (Thursday, due to Christmas Day on Friday 25 December 2020)
31 December 2020 (Thursday, due to New Year’s Day on Friday 1 January 2021)

--------------------------------------------------------
- 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)
  #469 (permalink)
 LastDino 
Legendary Pratik_4Clover
Mumbai, India
 
Experience: Beginner
Platform: TradingView & ZerodhaKite
Trading: Crude, NIFTY, BANKNIFTY
 
LastDino's Avatar
 
Posts: 887 since Jan 2019
Thanks: 2,741 given, 2,542 received


JonnyBoy View Post
Where did you get the information that Options expire weekly every Thursday? It is the third Friday of every month.

Monthly options expirations:
17 January 2020
21 February 2020
20 March 2020
17 April 2020
15 May 2020
19 June 2020
17 July 2020
21 August 2020
18 September 2020
16 October 2020
20 November 2020
18 December 2020

Source:
PDFFramed

Irregular weekly options expirations in 2020 (normally Friday):

9 April 2020 (Thursday, due to Good Friday on 10 April 2020)
2 July 2020 (Thursday, due to 3 July exchange holiday and 4 July on Saturday)
24 December 2020 (Thursday, due to Christmas Day on Friday 25 December 2020)
31 December 2020 (Thursday, due to New Year’s Day on Friday 1 January 2021)

Oh, I know about that, its just that we have a weekly expiry here on every Thursday (on last Thursday of the month we also have monthly expiry)

See here on upcoming expiry of 29th for the script in the chart posted above
https://www.nseindia.com/option-chain

Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #470 (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
Oh, I know about that, its just that we have a weekly expiry here on every Thursday (on last Thursday of the month we also have monthly expiry)

See here on upcoming expiry of 29th for the script in the chart posted above
https://www.nseindia.com/option-chain

Oh for sure. I never deal with weekly Options expiration. I'll go an clarify in my post if it's still available to edit.

--------------------------------------------------------
- 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)
  #471 (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: 3,995 since Oct 2009
Thanks: 3,671 given, 5,160 received


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.

Reply With Quote
The following 3 users say Thank You to trendisyourfriend for this post:
 
(login for full post details)
  #472 (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


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:

--------------------------------------------------------
- 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)
  #473 (permalink)
 deachne 
Goodlands Manitoba/Canada
 
Experience: Intermediate
Platform: NT 8
Trading: oil
 
deachne's Avatar
 
Posts: 37 since Oct 2011
Thanks: 55 given, 34 received

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.




Reply With Quote
 
(login for full post details)
  #474 (permalink)
 deachne 
Goodlands Manitoba/Canada
 
Experience: Intermediate
Platform: NT 8
Trading: oil
 
deachne's Avatar
 
Posts: 37 since Oct 2011
Thanks: 55 given, 34 received

Daily vwap.




Reply With Quote
 
(login for full post details)
  #475 (permalink)
 deachne 
Goodlands Manitoba/Canada
 
Experience: Intermediate
Platform: NT 8
Trading: oil
 
deachne's Avatar
 
Posts: 37 since Oct 2011
Thanks: 55 given, 34 received

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)










Attached Thumbnails
Click image for larger version

Name:	image_637.png
Views:	65
Size:	288.0 KB
ID:	306139  
Reply With Quote
The following user says Thank You to deachne for this post:
 
(login for full post details)
  #476 (permalink)
 deachne 
Goodlands Manitoba/Canada
 
Experience: Intermediate
Platform: NT 8
Trading: oil
 
deachne's Avatar
 
Posts: 37 since Oct 2011
Thanks: 55 given, 34 received

Had to get back to vwap some time today




Reply With Quote
 
(login for full post details)
  #477 (permalink)
 deachne 
Goodlands Manitoba/Canada
 
Experience: Intermediate
Platform: NT 8
Trading: oil
 
deachne's Avatar
 
Posts: 37 since Oct 2011
Thanks: 55 given, 34 received

@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.

Attached Files
Register to download File Type: zip dnMidasVWAP.zip (9.1 KB, 61 views)
Reply With Quote
The following 6 users say Thank You to deachne for this post:
 
(login for full post details)
  #478 (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


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.

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
Reply With Quote
 
(login for full post details)
  #479 (permalink)
alexgzlz
Montreal, QC / Canada
 
 
Posts: 2 since Nov 2020
Thanks: 3 given, 1 received

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!


Reply With Quote
The following user says Thank You to alexgzlz for this post:
 
(login for full post details)
  #480 (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: 3,995 since Oct 2009
Thanks: 3,671 given, 5,160 received


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.
https://yourtradingcoach.com/trading-business/the-greatest-trading-book-ever/

Reply With Quote
The following 4 users say Thank You to trendisyourfriend for this post:
 
(login for full post details)
  #481 (permalink)
 devdas 
Al,India
 
Experience: Advanced
Platform: NinjaTrader
Broker: Z
Trading: NiftyFuture
 
devdas's Avatar
 
Posts: 1,562 since Feb 2010
Thanks: 1,505 given, 1,701 received


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.


Thanks for your message. I am not clear about what you want to include in DrawCator VWAP. Basic drag-n-draw with mouse and Vwap bands are already available from very first version. Though this was early development, DrawCator VWAP has gone through huge changes from inception till date.

Harvest The Moon
Nest The Market
Follow me on Twitter Visit my futures io Trade Journal Reply With Quote
The following 3 users say Thank You to devdas for this post:
 
(login for full post details)
  #482 (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


alexgzlz View Post
Hi, which book or training could you recommend about VWAP? I'm developing a strategy based on that. Thanks

Like @trendisyourfriend said, there is no book. There may be some ''training courses'' out there on VWAP but I don't know of any so I can't comment. And if there were I am not sure exactly what would be in the course.

The best training is to spend the next year or so only studying VWAP. That will be the best training you can receive. I get many DMs from people on here stating that since reading this VWAP thread, it is the only thing they have tried in trading that has made sense. It doesn't mean it is a magic bullet nor does it mean it's suitable for everybody, but it has the potential to be a starting point that you can develop into something of your own.

--------------------------------------------------------
- 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)
  #483 (permalink)
 vmodus 
Legendary Systematic Algo Trader
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: TradeStation, MultiCharts
Broker: TS Securities, OANDA
Trading: Energies, Grains, Fixed Income
 
vmodus's Avatar
 
Posts: 1,054 since Feb 2017
Thanks: 2,287 given, 2,200 received


alexgzlz View Post
Hi, which book or training could you recommend about VWAP? I'm developing a strategy based on that. Thanks

I echo the other folks here regarding learning VWAP, but here are two resources that may be helpful:
Perry Kaufman's Trading Systems and Methods, 6th edition > he dedicates two pages to VWAP.

Or find the June 2001 issue of TASC magazine, article entitled "Elastic Moving Averages". This is the article Kaufman cites as his reference.

I hope this helps!

~vmodus

Enjoy everything!
Follow me on Twitter Visit my futures io Trade Journal Reply With Quote
The following 2 users say Thank You to vmodus for this post:
 
(login for full post details)
  #484 (permalink)
 JayC 
San Diego, CA
 
Experience: Beginner
Platform: TOS, Sierra
Trading: Emini ES, Crude CL
 
Posts: 49 since Mar 2019
Thanks: 5 given, 36 received

CWT episode 11 is an interview with Zach Hurwitz, who started a website thevwap.com focused on trading vwap. I haven't taken any of his training, but might be worth a look.

JayC

Reply With Quote
The following 6 users say Thank You to JayC for this post:
 
(login for full post details)
  #485 (permalink)
alexgzlz
Montreal, QC / Canada
 
 
Posts: 2 since Nov 2020
Thanks: 3 given, 1 received


vmodus View Post
I echo the other folks here regarding learning VWAP, but here are two resources that may be helpful:
Perry Kaufman's Trading Systems and Methods, 6th edition > he dedicates two pages to VWAP.

Or find the June 2001 issue of TASC magazine, article entitled "Elastic Moving Averages". This is the article Kaufman cites as his reference.

I hope this helps!

Thanks a lot

Reply With Quote
 
(login for full post details)
  #486 (permalink)
 joe s 
sacramento ca us
 
Experience: Intermediate
Platform: Ninja Trader,Trade Station
Trading: es
 
Posts: 116 since Aug 2015
Thanks: 93 given, 75 received

Thanks trendisyourfriend nice list

Reply With Quote
 
(login for full post details)
  #487 (permalink)
 joe s 
sacramento ca us
 
Experience: Intermediate
Platform: Ninja Trader,Trade Station
Trading: es
 
Posts: 116 since Aug 2015
Thanks: 93 given, 75 received

Thanks JayC I will check that out

Reply With Quote
 
(login for full post details)
  #488 (permalink)
 Linds 
Victoria, Australia
 
Experience: Intermediate
Platform: NT, MT4
Broker: NT
Trading: Bund , ASX 200
 
Linds's Avatar
 
Posts: 414 since Jul 2010
Thanks: 928 given, 524 received

Question re anchored VWAPs

I am interested in the idea of anchored VWAPS, anchored from swings mainly.
However, though it may look neat and useful on some charts..like this one from @JonnyBoy





I seek to further understand the rationale behind their alleged significance. The session VWAP rationale seems clear - we all see the same line and we know it has actual execution significance for professional traders. Is there any evidence that a swing VWAP has any execution significance..or are we just curve fitting to help us feel good about it?

My thinking is that the VWAP from a key swing area may well be institutionally significant. But this is just a mix of my logic and intuition - I have no evidence for it. But the thinking is this..if a swing area is deemed by MM's/instituions etc to be a revesal zone then from that point a different set of algorithms will be in play. Then from that point the people in the know will be benchmarking of a new VWAP...at least for a time.

thoughts?

Visit my futures io Trade Journal Reply With Quote
The following 3 users say Thank You to Linds for this post:
 
(login for full post details)
  #489 (permalink)
 Roman77 
Kazan/Russia
 
Experience: Intermediate
Platform: NinjaTrader, MetaTrader
Trading: currency futures
 
Posts: 1 since Dec 2018
Thanks: 0 given, 1 received


alexgzlz View Post
Hi, which book or training could you recommend about VWAP? I'm developing a strategy based on that. Thanks

There are some observations and a little understanding. On one of the forums, I accidentally found an abandoned branch there, read it, maybe something will suit you

44

Reply With Quote
The following 4 users say Thank You to Roman77 for this post:
 
(login for full post details)
  #490 (permalink)
 chartmojo2 
Missioul Montana usa
 
Experience: Advanced
Platform: Ninjatrader and others
Trading: nq, es, Hype cool runner Ipo's months out short into lockup expirations. UVXY, TSLA options
 
Posts: 11 since Feb 2016
Thanks: 1 given, 33 received

Regarding vwap, look up Chartmojo Neutral Unwound Cloud in Tradingview. Can ck the Chartmojo vids on youtube. You want to know where things tend to unwind to intraday..ahead of typically 10:30 (session 1) 1:15 (session 2) and ahead of 3:30 crazy time, it is to the space between the VWAP and the 50% of days developing range. Some platforms call it midpoint. So prior to those time zones look for trend unwinding...counter initial trend to neutral in the 9:50-10:10 zone then into 10:30..traders tend to put moves on at those times so other traders unwind, get neutral in front of them, ahead of them, so they do not end up on the wrong side of the move the incoming traders put on. The casual observer won't see it. Aso traders in general have a blind spot for time zone tendencies. Which can work to your advantage. The markets in range/tendency 70-80% of the time..try observing this in qqq/spy for trading in nq/es. If you have a long run intraday say 9:50-11 low of day to high of day ..the 10:30 pushers tend to like to exit 11-11:15 unless its over ridden by trend/big order flow agenda off a catalyst. Intraday price tend to push, regress to the unwound neutral cloud which is the cloud between the vwap and the 50% of the developing range. On any time frame on any big move you can anchor a vwap and find the 50% zone and after a 5 waves force (not elliot) just pure 5 wave push start to look for exhaustion, perhaps a double top or right shoulder abc return to the neutral unwound cloud. You can anchor a vwap, 50% zone and vol profile point of control on any move/leg etc. VWAP by itself is helpful but 50% of ranges trumps it and fibs but if you combine VWAP and make a cloud between it and 50% of the days (or wave, or leg) you have something w powerful "gravity". Observe it for awhile and see how many times intraday price returns/regresses/retraces to it. I would also think of ma's as incidental to vwaps and 50% of ranges. There is always going to be some ma on price on any time frame with maybe the exception of the 200 on a daily cuz a lot of traders watch that. But in general you want confluence of "signals". Price moves from confluence to confluence in waves and patterns. There are more traders/orders/entries/exits/stops there in a tier...as price enters the tier it slows as it stops and turns those out of the money market order to it and you may see a bigger candle when that happens. You can to be in front of that bar. If you watch the opening 1 min range and the Chartmojo Neutral Unwound cloud you'll begin to see traders targeting those and trading around and in front of them. But vwap when combined with 50% of developed range is a powerful regression gravity tool...throw in vol profile and developing point of control and you have a powerful combo. Ma's are good in the guppy sense or for convergence/divergence but for the most part they are incidental to what traders are targeting. If some happen at say the vwap/50% range that adds to the power of the pull/gravity..more traders. This actually works on any time frame. If you see a big move and it looks like a 5 waves on any time frame anchor a vwap and a volume profile..when it exhausts the exiting/profit taking will take the poc (point of control) to the price...when that happens its a heads up of the exiting churn..then look for the trend line break then if you have a buy sell, pivot signal...in tradingview Shawnz optimized 2 is pretty good,...look for exhaustion signs and a return urge attempt to the 50% range/anchored vwap. In strong trend off a catalyst it may violate and resolve in trend instead of tendency/range but when it does you will almost always see a reaction of a strong candle as the tendency/probability players have to exit of flip. Also note how many times price returns to the neutral cloud in a day not uncommon for say 10 times. Note relation of neutral cloud to opening 1 min range..theres your bias...then price relation to both..additional bias. But vwap/50% range cloud...will blow your mind if you watch it for awhile. It is actually traders pushing and capitalizing off of natural tendencies. Just keep in mind wave and pattern force is real and all over the place but its recognized quick due to the number of traders w high tech tools. it's recognized early and pushed then the targets stepped on or in front of to profit then they morph. The urges are there but the perfection is often tweaked. Its a bit like chess in may respects folks are pushing say a 5 wave counter initial trend off low of day to new high of day then a right shoulder (could be really tweaking looking but the urges or force is there) abc to neutral clouds etc. Its either behaving or its not. But vwap /50% of days range very powerful regression zone, same for any big move that look like a subtle 5 waves, anchor a vwap and use fib tool to find the 50%..put a band of color in that zone and see how many times and in what conditions price tends to unwind there. There are time zones to take note of. From the open on, from 10:30ish..from 1:15ish on ..and 3:30ish. Note if price is in the neutral cloud ahead of those times and you may begin to see a pattern. Is there a positioning trade to neutral in front of those times, from an extreme high of day or low of day?..must of had to much caffeine to type this much. Happy t day! This is evolving thesis, not method, or technique, open to consideration. A mental template, a filter, a way to weigh the markets movements. Do you have any stable datums on your charts like the opening 1 min range? The neutral unwound cloud? Worth a note: Knowing something does not mean you can trade it. Real Order execution is an art in itself and completely ignored. Knowing a lot about golf does not really help you if you are going to play Tiger Woods. The market has its share of Grand Masters. One should think of order execution skill like skill w a racquet if you are say a tennis pro. How many swings before one becomes a pro...how many practice swings after becoming a pro? Your up against folks w pro gamer mouse skills trading off doms with all kinds of fast tools .Learn long, then observe until you see something clearly, then practice it over and over until its optimized. Practice long till it is innate and if x occurs you do x1 if y occurs you do y1..its the only way around the cognitive dissonances. Be the algo. That comes from seeing the market, and then knowing how to trade it. Keep in mind traders see different things, and continue to see things as they progress. Each opinion is a snapshot in time. Some things work some of the time. You can have an edge yet the win/low distribution within the edge can have a randomness to it. Signals and sets ups move thru time frames as they are recognized, played and morph. Find the time frame where you see the best signals. Like card counting blackjack player you go in heavier when the count is in your favor. Stick to the best high probability sets ups in the best highest probability time zones. Good things to get on a gut level. Talking trading, not investing. If there is something in there helpful..great. Do what price does. Usher coaching singers..."if your in your head (when you are performing) you are dead". How often do we label something then operate off the label rather than how price is behaving in the moment. Do you ever lock up and sit there when long and its dropping like a rock, hoping. Can do what price does or be the voice in your head. That voice is ego and it just loves to be right and it will sacrifice your account to try and be "right". Thus 1200 cognitive bias's. It also likes to make everybody and everything else wrong...to long a subject for here. Stay frosty! Try avoiding labels like bull, bear...instead try imagining different scenarios and taking the one that confirms. I'm amazed when people learn like 1 thing and start trading w real $. It's a bit like learning one chess opening and entering a tournament.

Follow me on Twitter Reply With Quote
The following 8 users say Thank You to chartmojo2 for this post:
 
(login for full post details)
  #491 (permalink)
 drinkurmilkshake 
VA/USA
 
Experience: Intermediate
Platform: NinjaTrader 8
Trading: NQ, YM, RTY, ES
 
drinkurmilkshake's Avatar
 
Posts: 43 since May 2019
Thanks: 26 given, 64 received


Roman77 View Post
There are some observations and a little understanding. On one of the forums, I accidentally found an abandoned branch there, read it, maybe something will suit you

44

@Roman77 This is solid gold. I've come to the startling realization that traders that don't use/integrate VWAP and volume profile analysis (primarily POC) into their trading decisions are analogous to a society that just produced an automobile vs a society that has mastered space flight.

I searched and found the 'summary' thread by the original author, however the links to all his .swf videos are dead. The text and intact images are great, but videos show the real meat and potatoes of this style. Since the POC and VWAP changes as price and volume change, a video is a better demonstration of this trading methodology vs a static chart. If the content is gone forever and jperl unreachable, I propose that we recreate his content. While JohnnyBoy may have given us the golden ticket to enter the chocolate factory, I feel like jperl is the Willy Wonka that met us at the gates.

EDIT:

I forgot to mention that one of the most interesting concepts regarding moving the volume profile's beginning is very similar to JohnnyBoy's use of anchored VWAPS to 'interesting' levels or swing lows/highs. Jperl talks about anchoring the order flow volume profile to a user-defined point after the market open (ETH/RTH). His reasoning and analysis is to accommodate scalping, however similar to JohnnyBoy's use of anchored VWAPS, I think the applications are broader.

Ninjatrader's native 'order flow volume profile' indicator can move the start to predefined market hours (e.g. futures ETH or futures RTH), but cannot be anchored to a user-defined bar or time stamp. I'm looking at Rancho Dinero's indicator set, and specifically their 'Range Volume Profile Drawing Tool' to fulfill the user-defined volume profile anchoring. Wondering if anyone has experience with their volume profile indicators or maybe the whole suite.

Reply With Quote
 
(login for full post details)
  #492 (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: 3,995 since Oct 2009
Thanks: 3,671 given, 5,160 received


drinkurmilkshake View Post
...

Ninjatrader's native 'order flow volume profile' indicator can move the start to predefined market hours (e.g. futures ETH or futures RTH), but cannot be anchored to a user-defined bar or time stamp. I'm looking at Rancho Dinero's indicator set, and specifically their 'Range Volume Profile Drawing Tool' to fulfill the user-defined volume profile anchoring. Wondering if anyone has experience with their volume profile indicators or maybe the whole suite.

Forget about Rancho Dinero's tool. It gives errors every now and then to the point where you can't trust it in the battle. Ninjatrader has a drawing tool to draw a custom profile which can be anchored anywhere.

Reply With Quote
The following 3 users say Thank You to trendisyourfriend for this post:
 
(login for full post details)
  #493 (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


drinkurmilkshake View Post

I forgot to mention that one of the most interesting concepts regarding moving the volume profile's beginning is very similar to JohnnyBoy's use of anchored VWAPS to 'interesting' levels or swing lows/highs. Jperl talks about anchoring the order flow volume profile to a user-defined point after the market open (ETH/RTH). His reasoning and analysis is to accommodate scalping, however similar to JohnnyBoy's use of anchored VWAPS, I think the applications are broader.

Ninjatrader's native 'order flow volume profile' indicator can move the start to predefined market hours (e.g. futures ETH or futures RTH), but cannot be anchored to a user-defined bar or time stamp. I'm looking at Rancho Dinero's indicator set, and specifically their 'Range Volume Profile Drawing Tool' to fulfill the user-defined volume profile anchoring. Wondering if anyone has experience with their volume profile indicators or maybe the whole suite.

another option worth exploring are the order flow tools by @gomi. should have everything you need.

there's a 14 day free trial: https://www.gomicators.com/



Reply With Quote
The following user says Thank You to Silvester17 for this post:
 
(login for full post details)
  #494 (permalink)
Vale Zaragoza
16400 SPAIN
 
 
Posts: 13 since Jun 2019
Thanks: 29 given, 7 received


trendisyourfriend View Post
Forget about Rancho Dinero's tool. It gives errors every now and then to the point where you can't trust it in the battle. Ninjatrader has a drawing tool to draw a custom profile which can be anchored anywhere.

Yes, correct.

Ctrl+3

Reply With Quote
 
(login for full post details)
  #495 (permalink)
 drinkurmilkshake 
VA/USA
 
Experience: Intermediate
Platform: NinjaTrader 8
Trading: NQ, YM, RTY, ES
 
drinkurmilkshake's Avatar
 
Posts: 43 since May 2019
Thanks: 26 given, 64 received


trendisyourfriend View Post
Forget about Rancho Dinero's tool. It gives errors every now and then to the point where you can't trust it in the battle. Ninjatrader has a drawing tool to draw a custom profile which can be anchored anywhere.

I found the native order flow drawing tool, however it doesn't print the POC nor value area values in the data box. Do the Gomi or Rancho Dinero indicators print the POC or value area values? The reason I ask is I'm interested in coding an indicator to display shifting/historical relationship between VWAP and POC.

POC is a great value, however it's real time. I don't see a method to display historical POC prints throughout a period in the native order flow tools. You can look at the heat map or volume values and make a decent guess as to where previous POC prints may have been, but not necessarily in chronological order unless you watched the whole session and remember the prints.

@trendisyourfriend , what type of errors occur in the Rancho Dinero volume profile indicators? I've heard generally good things about their indicators.

Reply With Quote
 
(login for full post details)
  #496 (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


drinkurmilkshake View Post
I found the native order flow drawing tool, however it doesn't print the POC nor value area values in the data box. Do the Gomi or Rancho Dinero indicators print the POC or value area values? The reason I ask is I'm interested in coding an indicator to display shifting/historical relationship between VWAP and POC.

POC is a great value, however it's real time. I don't see a method to display historical POC prints throughout a period in the native order flow tools. You can look at the heat map or volume values and make a decent guess as to where previous POC prints may have been, but not necessarily in chronological order unless you watched the whole session and remember the prints.

@trendisyourfriend , what type of errors occur in the Rancho Dinero volume profile indicators? I've heard generally good things about their indicators.

don't know about rancho dinero, but I know everything in the gomi tools is available.




as far as the relationship between poc and vwap, we did extensive research here on fio. that was a long time ago (~10 years). I don't remember who was all involved, but I do remember nobody found a noticeable edge. maybe it changed in today's market. either way I wish you good luck

Reply With Quote
The following 4 users say Thank You to Silvester17 for this post:
 
(login for full post details)
  #497 (permalink)
 joe s 
sacramento ca us
 
Experience: Intermediate
Platform: Ninja Trader,Trade Station
Trading: es
 
Posts: 116 since Aug 2015
Thanks: 93 given, 75 received

chartmojo2 thanks for the info I will check out the videos

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


drinkurmilkshake View Post
@Roman77 This is solid gold. I've come to the startling realization that traders that don't use/integrate VWAP and volume profile analysis (primarily POC) into their trading decisions are analogous to a society that just produced an automobile vs a society that has mastered space flight.

I searched and found the 'summary' thread by the original author, however the links to all his .swf videos are dead. The text and intact images are great, but videos show the real meat and potatoes of this style. Since the POC and VWAP changes as price and volume change, a video is a better demonstration of this trading methodology vs a static chart. If the content is gone forever and jperl unreachable, I propose that we recreate his content. While JohnnyBoy may have given us the golden ticket to enter the chocolate factory, I feel like jperl is the Willy Wonka that met us at the gates.

EDIT:

I forgot to mention that one of the most interesting concepts regarding moving the volume profile's beginning is very similar to JohnnyBoy's use of anchored VWAPS to 'interesting' levels or swing lows/highs. Jperl talks about anchoring the order flow volume profile to a user-defined point after the market open (ETH/RTH). His reasoning and analysis is to accommodate scalping, however similar to JohnnyBoy's use of anchored VWAPS, I think the applications are broader.

Ninjatrader's native 'order flow volume profile' indicator can move the start to predefined market hours (e.g. futures ETH or futures RTH), but cannot be anchored to a user-defined bar or time stamp. I'm looking at Rancho Dinero's indicator set, and specifically their 'Range Volume Profile Drawing Tool' to fulfill the user-defined volume profile anchoring. Wondering if anyone has experience with their volume profile indicators or maybe the whole suite.



The videos can be found on this very site:


Reply With Quote
The following 3 users say Thank You to Lfx987 for this post:
 
(login for full post details)
  #499 (permalink)
 drinkurmilkshake 
VA/USA
 
Experience: Intermediate
Platform: NinjaTrader 8
Trading: NQ, YM, RTY, ES
 
drinkurmilkshake's Avatar
 
Posts: 43 since May 2019
Thanks: 26 given, 64 received


Silvester17 View Post
don't know about rancho dinero, but I know everything in the gomi tools is available.




as far as the relationship between poc and vwap, we did extensive research here on fio. that was a long time ago (~10 years). I don't remember who was all involved, but I do remember nobody found a noticeable edge. maybe it changed in today's market. either way I wish you good luck

When you say there wasn't a noticeable edge, does that mean that the method laid out by jperl wasn't found to have a positive expectancy? I've been doing market replay using an order profile w/ POC anchored to ETH and it has performed well. Better on more volatile pairs with larger daily ranges like the NQ. Both Rancho Dinero's 'Volume Profile Metrics' and Gom's GomMPPro prints a consistent line for POC that jumps vertically when it changes, but I'm concerned with the accuracy. I'm interested to know what happens in the Rancho tools that is cause for concern.

Reply With Quote
 
(login for full post details)
  #500 (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


drinkurmilkshake View Post
When you say there wasn't a noticeable edge, does that mean that the method laid out by jperl wasn't found to have a positive expectancy? I've been doing market replay using an order profile w/ POC anchored to ETH and it has performed well. Better on more volatile pairs with larger daily ranges like the NQ. Both Rancho Dinero's 'Volume Profile Metrics' and Gom's GomMPPro prints a consistent line for POC that jumps vertically when it changes, but I'm concerned with the accuracy. I'm interested to know what happens in the Rancho tools that is cause for concern.

I really don't remember what was involved in that research. but if your testing is showing some interesting results, I would definitely continue.

not sure what you mean by "prints a consistent line for POC that jumps vertically when it changes". you can use whatever plot style you want, but changes in the poc could involve a big jump in price. and when it comes to accuracy, I would be surprised if you find anything better than the gomi tools.

Reply With Quote
The following 3 users say Thank You to Silvester17 for this post:


futures io Trading Community Traders Hideout Emini and Emicro Index > VWAP for stock index futures trading?


Last Updated on December 6, 2020


Upcoming Webinars and Events
 

NinjaTrader Indicator Challenge!

Ongoing
 

Journal Challenge w/$1,800 in prizes!

April

Seven Trading Mistakes Solved With Smart Trading Tools w/Brannigan Barrett

Elite only