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I've been using VWAP a lot recently. Finding a good level near daily weekly and even yearly VWAP is a good method to ensure your entries and exits work out.
Can you help answer these questions from other members on NexusFi?
@JonnyBoy - at the outset many thanks for the elaborate post of the topic. You mentioned that you coded vwap which matched the NT vwap indicator. I don’t have a paid NT version and am still using / exploring my trading via a free NT version. Would it be possible for you to share the coded vwap so I could explore your setups further.
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- Trade what you see. Invest in what you believe -
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@JonnyBoy First, thanks for sharing. I have used VWAP for some time, but not in the fashion you do. I found this thread to extremely helpful. Several questions:
1) I traded the ES today following your style, and had LOTS of trades, probably too many. Would appreciate you sharing your chart and trades from today, if possible.
2) I also applied this to the CL chart, on a 233tick basis and found it also fairly tradeable, not as easy to see as the ES is, but still some very good setups. I'm assuming this may be because Hedge Funds and Institutional Traders primarily apply VWAP to the ES and there is so much more volume, but appreciate your thoughts on the CL also. I know you have addressed before you primarily trade ES.
1) What data series are you using? And what is your definition of lots of trades?
Attached is my chart for this morning's trading. What is shown here is my custom coded algorithm & strategy to define entries and targets along with my custom data series. You absolutely need to understand that not all of these trades will meet the criteria I have specified. Why? Well, depending on the type of day (and a few other factors) I think will develop (based on the metric harvesting I have discussed before) dictates which of my algorithms I will use. One reason is that I knew very early on the probabilities for a trend up day were high, so my targets are set differently from the 'base' setups (to catch larger moves) and in some cases the setups fall a little outside the 'base' setups, but I have coded it that way.
With that said, the majority of these entries fall within the sphere of VWAP/SD influence.
2. I have traded CL only a handful of times. I wish I could provide some more insight but I can't. I can give you a dissertation on why VWAP is so important to institutions, but that isn't for this thread.
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- Trade what you see. Invest in what you believe -
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Thanks for sharing. I am on NT's Continuum Datafeed using a 987 tick. I suspect you have a different datasource than mine since I have a lot more candles than you do, I appreciate that this chart is your proprietary bar setup, With regards to how many trades is a lot, I had 9 today. Obviously this is relative but I typically run 3-4 setups in a normal day. Not saying this is good or bad, and thats why I wanted to see how many trade setups you saw. Very helpful.
My feed is direct from CQG. Don't get me started on the differences between CQG and CQG Continuum! Not for this thread but plenty to say in this one...
This is a really interesting thread. My data feed is CQG. Not CQG Continuum but CQQ direct. I word it like that because I have a wealth of evidence that these 2 data feeds are "different", contrary to the claims by NinjaTrader that CQG Continuum …
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- Trade what you see. Invest in what you believe -
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I am not sure if your question was answered in the last 21 pages but i can provide an answer for it.
Try to take only longs above vwap and take only shorts below vwap.
Thats all.
This was worth 176k (net after comms) to someone in 2019, and ytd May 11 2020 has been worth 221k (net) on two contracts. No more no less. All in all out. Trading only the emini.
You might be tempted to go long below vwap or short above vwap however you might find these trades often fail and reduce your overall profitability. Prove me wrong!
