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@JonnyBoy
Thank you for the setups. Do you mind providing dates for the examples you used in your parts 1-6? I want to open those days on my platform to follow your explanations.
If your edge puts the odds in your favor, then every loss puts you that much closer to a win.
Can you help answer these questions from other members on NexusFi?
I can't remember the exact dates, but prior to April 16th (ish) most probably. Your best bet is to just look at the price and work your way back through the charts until you match some price levels and dial it in from there.
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- Trade what you see. Invest in what you believe -
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Thanks, I found one day. It's hard to match because your time zone is different and we also adjusted the clock not long ago.
Question about your post #109 (continuation long). Looks like the day you used was April 2nd, 2020.
Do you normally wait and trade after a certain time when vwap bands are more spread out? I see that the price came from 2SD to 1SD multiple times in the morning, but the first trade you took was after 10:13 EST.
When you look for your conditions, do you look for price to spend a certain amount of time or certain number of candles in each of the bands before exiting in order to trigger an order? I see some cases where a candle's wick will dip into the band and exit. If the other prerequisites are met, do you consider this a valid setup where the entry into the band and exit out of the band happened on the same candle?
What about the case where you get a very long candle that enters two consecutive bands. Would you consider that a valid setup if the candle didn't poke out from the opposite side?
My intention with the charts was to depict examples. It doesn't mean the first trade of the day was the SD Continuation I marked up.
Here is my chart from the same day. Remember I have a custom data series so things will look different. There were 3 trades on that spike up to ETH VWAP. A VWAP test long and two SD CONT. entries. I very likely took the VWAP test long on the same bar and held a runner until ETH VWAP. I doubt I added to my position with the SD CONT. long entries. I'll have to check.
Making a read on the VWAP and their bands early on in the day is tricky as you don't have much to work with. It takes lots of practice. Equally as tricky are days with large expansion (think very wide volatile days).
EDIT: the reason I developed a custom data series was essentially to make these entries easier to spot and help reduce fake outs.
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- Trade what you see. Invest in what you believe -
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Perfect timing. I just posted a chart (the post above) that shows the "dip of the wick". I do enter on the same bar and can exit on the same bar if the bar is wide enough. Again, this is on my data series.
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- Trade what you see. Invest in what you believe -
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Yes, I see the 3 back to back setups in your chart and I've seen it on various occasions on mine. The 2nd setup (SD reversion) often transitions into the 3rd one as price traverses across the VWAP band and exits the other end on strong directional moves. Instead of letting the 3rd position of the SD Rev setup to exit at Target 3, I think it's a good idea to let it run to take advantage of this back to back setup. It's true that you're not taking the last setup with a full position, but in my view, that's ok since you just had a good size winner and you're riding the runner.
I'm considering automating this in Strategy Builder in NT8, initially to generate alerts and/or run back tests. I'm pretty certain you've already done this work yourself. If so, is this automation something you are willing to share or is this part of your proprietary edge? I can understand if you don't wish to share all that work, but I figured you probably won't mind me asking before I dig in myself :-). Regardless of your response, I greatly appreciate all your work and for providing all the information in this thread.
I have coded every single possible combination of VWAP you can think of. A mechanically based strategy on the setups I listed, irrespective of all the factors that go into determining the type of day that lay ahead etc. etc. etc., you will probably come out break even at best - which in itself probably isn't bad for new traders. But if you apply the right diagnosis of the day early on, you can really nail those trades home, and skip the ones that don't fit the profile for that day. So if you could code something that takes that into account...
...is why in the end I developed coding that was more quantitative towards VWAP setups. If I was to give a Readers Digest version of how some institutions approach VWAP trading, you could essentially split the approach into 3 qualitative models. We have more or less covered the first here. It is that second and third non static approach that reveals significant advantages and VWAP insight that I am not willing to share publicly.
Probably never, unless I win the Lotto Max $70 million dollar jackpot and then all best are off...
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- Trade what you see. Invest in what you believe -
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@JonnyBoy, I don't think it's reasonable for anyone to request the indicators or data series that you've likely spent hundreds of man hours developing. Could you point those interested at least though in the right direction to look into these other qualitative, non static models? I have had good luck so far confirming your VWAP signals and simply moves off/around SD levels using a custom cumulative delta order flow indicator.
Are these additional models using VWAP, but anchoring the VWAP to a swing high or low? I've read that 70% of all the session's (e.g. RTH) transactions take place within one standard deviation of the VWAP (value area). I hate to think that I only have a 1/3 of the picture with PA behavior and VWAP.
This is what I am struggling with in futures trading.
In it seems easier to do in Stocks with high RVOL and news etc to find good conditioning factors.
With futures it seems harder to frame conditions under which to test performance of setups. There are market profile conditions, gap days and then Fat Tail's range analysis indicator tools and even journaling and screen time to develop intuition about good market structure.
Do you have any further tips as to how to provide yourself a basis as to the best time and reasoning or is it one of those things where there is no magic sauce except to try things out, record the results and accumulate data?
I will check out metricsmaestro.
P.S. oops. I kept reading and saw you had answered these types of questions further on in the thread. Thanks for all the info!
