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3 out of the 4 (or 6 out of the 8 technically with the inverses added) of the setups that @JonnyBoy demonstrates follow that logic. Only the 'STANDARD DEVIATION REVERSION TO VWAP SHORT/LONG' setups take a trade in the direction contrarian to the VWAP. I'm interested if @JonnyBoy will reveal additional, more advanced, setups.
Over the past few days I've witnessed a few ES VWAP setups that he hasn't covered with fairly consistent results. The TPs and SLs would need to be relatively tight for these however, and maybe they're lower probability in the long run. I'd like to hear his opinion on scaling into trades using the established setups as well. @Lfx987 mentioned scaling into VWAP trades, but only if the trade beings to move against you.
Can you help answer these questions from other members on NexusFi?
Would you recommend vwap or other institutional measures such as twap, or step trading algos be used only with a liquid instrument like ES or is something like the YM sufficient
Are these your results mmaker? or what is the background for the results? Trade setup? Just trying to follow your point. I don't disagree on the general issue of Long above VWAP and Short below, just trying to clarify. Thanks
There are as many ways to trade as there are people. All about finding an approach that suits your personality and your trading style.
I never like to go all in on my first trade (my timing isn't that good), I much like to probe an initial entry and then add (quickly moving stops of the first entry to break-even).
Reason I prefer to scale in, especially when trade goes against me, is that I always have the option to cut the trade if price action and orderflow seem to be turning. Agreed, I will never make as much should prices suddenly take off but at the same time, I have more leeway to let the trade play out.
Whilst VWAP/SD and it's various micro levels give statistical areas to enter/exit positions, nevertheless, they are still lines and as such, I don't believe simply leaving orders at those levels is ever a good idea. One really has to understand how price approached the level, is bid volume or ask volume picking up, is price approaching the level with momentum or just meandering along, is liquidity stepping up and looking to defend a level or or is stepping away. These are all the nuances that are likely to give clues as to whether price likely to breach or bounce off. As JB stated, it's all about context.
There are times when a market seems to be very algo driven in which case these statistical levels will hold. But there are times when levels just do not matter, this is particularly true when other time frame players are at play and they see liquidity available that they need to transact.
I had my VWAP bands set to "Standard Deviation". Why is it set to "Variance"? According to the setup it should be SDs
VWAP on the chart RTH VWAP is displayed as the green and red dot-dashed line in the centre of the chart. ETH VWAP is displayed as the dodger blue and magenta dot-dashed line. +1, +2 +3 and -1, -2 and -3 standard deviations (positive and negative multipliers of VWAP essentially)
If your edge puts the odds in your favor, then every loss puts you that much closer to a win.
