indeed.

but you know I had to make a smart remark. otherwise @srgtroy would be really disappointed

anyway I just replicated his chart. but I have no clue what the logic behind is.

@brakkar, with all the noise and dust raised in some of these discussions, have you had your original question answered to your satisfaction?

I feel things got substantially off-target, although I believe they came back near the end. I feel a little sorry for getting into some of it, and I wish I had just thought to post the charts I put up a few posts back a little sooner. I think they make clear the way that VWAP can help frame the day's price action. The tactics a trader would need to take to make use of VWAP and its bands are up to each trader, who will probably have his own ideas, but they do show real things happening in the market, and can let a trader get a better handle on what is going on.

Also, VWAP is one tool of many. Some traders use it, some do not. You can't use everything, after all.

I hope some of this has been helpful to you.

Bob.

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!

Now I understand.

OK, Roy, what's the logic then? Inquiring minds want to know.

Bob.

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

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

I agree that VWAP is just a tool. I certainly wouldn't fall on a sword and say that I only trade VWAP (because that isn't true), but I have incorporated it into my trading and my algorithms.

When I look at the market I want to see the structure exactly as every other trader sees it. VWAP allows me to do that because it is identical for every other trader on the planet. The dynamics of the market might be different every time VWAP is visited, but that is for the trader to determine.

I have attached my chart from yesterday as a case in point. The trade entries shown are generated as part of my custom algorithms. They take into account the structure of the market from many different aspects including price and volume relationship to VWAP.

The RTH VWAP is the green / red hashed line. The thin solid blue lines are standard deviation bands +1 +2 +3 and -1, -2 and -3 of RTH VWAP

ETH VWAP is the magenta / blue hashed line.

Trade 1 - an early pullback to VWAP generating a long pullback trade. Yes, not an exact touch of VWAP but close enough.

Trade 2 - a long volume stop entry launch from VWAP SD-1

Trade 3 - a long pullback and launch from VWAP SD+1

Trade 4 - a long pullback and launch from VWAP SD+2. Keep tight profits as nearing yVAH.

Trade 5 - a short pullback (below SD+1 and below yesterday's RTH rolling VWAP [dashed pink line] so expect a test of RTH VWAP.

Trade 6 - a short pullback but as sandwiched in between RTH and ETH VWAP you should skip this or reverse position if you are wrong.

Trade 7 - a long pullback launch from rolling vwap from yesterday. Target would be a test of VWAP SD+1 which it did.

Trade 8 - a short pullback from VWAP SD+1, expecting a re-test of RTH VWAP.

Trade 9 - Ugly location but a failed attempt to re-test RTH VWAP without a small correction first.

Trade 10 - Under both VWAPS (RTH & ETH) and a re-test of both of them coinciding with the RTH IB HIGH test for a volume stop / pullback short.

After that the market just gyrated around probably due to OPEX, so no VWAP associated trades.

Bumping up an old post - I found this conversation around VWAP very interesting and also the way you analyze your trades. Do you suggest any good resources to read up on VWAP and the nuances of trading using it as one of the tools in the arsenal.

Thanks!

There are plenty of “trading” videos on YouTube about VWAP, but most, if not all of them are useless. This also includes the hundreds of websites and forums that essentially just repeat the same thing. Much of it is click bait. None of it is informative.

In short, there are very few worthwhile sources regarding VWAP.

I have a suite of VWAP setups, but you need to discover these for yourself. This means hundreds, if not thousands of hours spent in front of your chart not looking at anything else.

This is the chart from yesterday. The setups are obvious (to me anyway), but in hindsight it's easy to say that. The skill is to be able to recognise them in real time.

Oh and one more very important note. Never, ever pay anybody a dime to learn about VWAP. Anybody selling information about trading VWAP IMO is out for one thing, your money.

Thanks for responding. I did post my response here after having seen a few of those videos and found that they barely added any value. Your approach seems far more well derived and researched.

That said, you've spent 1000s of hours on the screen and derived them - would simply ask that if you are so inclined, do suggest a newbie a direction / book or anything that would avoid my wasting some serious no of hours on things of no value

Have a great day!

As far as I know there are no books or great resources to tap into. You will however probably stumble across one particular vendor who is selling a VWAP course online. I find this excruciating. I guess he has found a gap in the market that he is trying to leverage.

I would start by encompassing your VWAP (and the 1,2 and 3 standard deviations of) with a +/- 0.25 standard deviation band. You can see these in my screen shot in the prior post, each VWAP line is enveloped. It is what happens within this "band" that is the key.

The four main setups are:

VWAP: A test from above / below
SD BAND: Standard deviation continuation
VWAP: Reversion to VWAP
VWAP: Crossing of VWAP

You need to be looking at what price does within these bands. Is price stalling? Is price continuing or reverting? Is price testing?

The VWAP will look the same on every single traders chart, but your choice of time frame is key here.