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hi Maizietrader I also use sierra and so far, I have been unable to create these charts. The vwap that I have used does not have the same number of sd and I am not sure what you mean by 1vwap and 2 vwap. Please explain here or send me an email at [email protected]. That way, I wont miss your response.
Thanks Don
Can you help answer these questions from other members on NexusFi?
Thank you so much for this post! It was very helpful. Can I ask what software you use to record your screen? I have been meaning to add this to my daily routine for journaling and review purposes. Thank you!
I use Camtasia, but that is just me. There are traders who have success with free screen capture software. You can probably search FIO...screen capture software has most certainly been discussed before.
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- Trade what you see. Invest in what you believe -
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The only concerning part of these setups is the high risk. The SD Continuation Long trade risked 35 ticks and got stopped out. PA quickly moved back into the +SD1 band (+SD 0.75 to +1.25). Have you run these setups through enough sims to substantiate placing the stop all the way down to +SD 0.5? The value in ticks in relative, but PA traveled from your entry @ approximately +SD 1.35 down to +SD 0.5.
The majority of these trades are inherently risky. I know that you recommend more risk adverse traders tighten their stops, however i'd be interested to see what you sim history has been.
You are looking at one marked up chart I did in isolation to the entire context of this thread. Have you read the thread in its entirety? For this particular chart, I updated what the target locations should be because they were not entirely clear in my previous posts.
I have given multiple ways of using data collection to potentially increase your probabilities of one of these setups performing which inherently reduces your risk, and is light years away from being inherently risky. This form of metric harvesting is something I won't give away because this is my edge and for others to learn themselves.
I am not sure what you mean about SIM history? I haven't traded SIM in years, but yes I do have the history on thousands of VWAP trades. In one thread I believe I even gave my VWAP trading statistics. I can't remember which one now.
At the end of the day, this information is free. It isn't plug and play and I have made that abundantly clear (or at least I thought I had). Each trader has to assess their own risk tolerance and do their homework. If done correctly, you can determine as to when executing any VWAP setup has a high probability vs. low risk.
I hope that makes sense.
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- Trade what you see. Invest in what you believe -
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@JonnyBoy I wanted to express my gratitude for this very well written, thorough and educational post. Thank you for sharing your holy grail.
Understanding context is absolutely key to getting this (or any) method to work properly. For my first time test-driving this, I took several trades in SIM on Friday with the setups presented here and did very well with them. Looking back at trades that didn't work out, it was clear why they didn't (shorting against a strong uptrend). I know that's an over simplification, but it's amazing how much of a difference a simple common sense filter can make.
Again, thank you for sharing the result of your countless hours of research. Much obliged.
I am looking for Jerry Perl. I don't know if that is his real name, but that is the name he used to post under on Traders Laboratory (TL) back in 2007. I wonder if he is still around or if he continued to post somewhere else.
Here is his …
Anyway, the point is that Jperl suggested using a scaling in approach with his VPOC/VWAP/SD based strategy ie. if you believe a continuation set-up is likely taking place, you'd place ie. 1 lot at your initial entry. Then if trade happened to go against you and approached the next SD level, provided your underlying trade analysis was still intact and price action was confirming, you'd scale in using another lot. You'd keep doing this until your analysis had changed or your maximum $ Stop Loss level was reached.
Using scaling in with VWAP/SD, allows you to have statistical based entry locations rather than haphazard areas which really does help quantify risk from the offset (obviously levels are fluctuating but not wildly so after the first 30/60 minutes)
There are many ways to trade a VWAP/SD strategy. I always preferred the scaling in method as I was never that great at entries (always too eager to get in to a position) . Scaling in always allowed a little more leeway for me.
The thing is to take what is being taught and to make it your own given your risk tolerance and your own personality and trading strengths and weaknesses.
JB has been kind enough to show a few set-ups. In my humble opinion, to anyone who has decided to follow this, is to start with just one set-up and master that. Learn to identify the one set-up and then keep practicing execution on it until it becomes second nature. Once you have it down and can execute in a live environment consistently, then look to add the other set-ups.
More often than not, a couple of set-ups is all you need.
OBS Studio - free, wonderful, and easy to use once you invest 15-30 minutes to learn it. If you have a good GPU and set it to use hardware for encoding, you will not notice it's running. If you use software encoding, you will likely have to record at a lower framerate or resolution in order to ensure it doesn't affect your machine's performance while trading.
I can't begin to thank @JonnyBoy enough for his setups and explanation of VWAP. I had always only considered the actual VWAP itself, and never thought much of the SD levels (which are everything).
I reviewed the entries/scale-in strat suggested by Jperl, and it appears he only scales into a losing trade. There doesn't seem to be a method to scaling into the trade however, and looks completely discretionary. I don't like the idea of scaling into what may likely be a losing trade. I understand there will be some draw down (very few entries are perfect to the tick), however I don't like the odds. I'd much rather scale into what will likely be a winning trade, and add lots in the direction of the profitable PA.
I attached a chart from 5/7 (EST) of ES 06-20 to show a possible scale in strat. The buy zone continues to exist between +SD 0.25 and +SD 0.5, however I scale in @ interior SD levels in the direct of the signal PA. The stop is already a bit far for my risk appetite, but I'd much rather hit it with 1 lot than 5 lots.
This would be interesting to use to script orders. We'd need (2) additional VWAP indicators (or however many divisible by the amount of entries) to print the SD levels (e.g. +SD 0.27, 0.32....). The trade would remain discretionary and the script would just place buy limits.
