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Like I said... I could be wrong... it was just my opinion from a logical perspective.
Alot of those signals on the screenshots were early in the day, so the VWAP didn't have a large lookback, so it's basically the same as a regular average at that point in time. But the signals later in the day look good (continuations/pullbacks), but again, it could just be that a longer term average works well too -- maybe because it's showing you a larger scale. Also, one would probably get the same results as VWAP by simply plotting a line that's halfway between the high & low of the day. I notice the screenshots have multiple VWAPs so that tells me one VWAP by itself isn't working all that well, so if one doesn't work well, then why would more? But hey... I get it -- whatever works for you. Maybe there's something similar/same as VWAP that would make more logical sense (to me), but hey, if VWAP seems to work for anyone, then that's what matters. I personally don't think it has any magical qualities, but it's all good.
At the end of the day, the VWAP is still a moving average. It doesn't have any magical qualities but then again I don't think anybody said that it does. The charts you refer to do not have multiple VWAPs, they show the standard deviations of VWAP - which can play a significant role in support and resistance of VWAP executions. Not knowing this leads me to believe you don't really have an understanding of how VWAP truly works and just dismissed it with a statement that it wasn't suitable for day traders - but that is contrary to virtually everything I know and have been taught about VWAP.
I would go as far to say that 2 of the most important aspects of modern financial markets are VWAP trading and the order book. Not EMAs, SMAs, midlines...etc.
Although ES is my mainstay futures instrument, I also trade the stocks shown on those charts via Trading View. There are identical VWAP setups on many stocks every single day. Stocks are just easier to VWAP trade. These VWAP setups consistently make money day in and day out.
Early or late in the day doesn't matter. Although sometimes tricky to trade the first few minutes, VWAP is measurable from the first second to the last second of the trading day and can be traded accordingly. Every trader sees identical information at exactly the same time. A behaviour that is completely different than any other moving average.
VWAP’s enduring appeal lies in its ease of attainability. It is a moving target, and hence a more forgiving benchmark than arrival prices. With VWAP benchmarks, a trader or an algorithm models the volume distribution and then slices and dices the trades within a certain time interval on that distribution. As long as an algorithm does that, it is likely to achieve the VWAP over a given time horizon. This is true even if there are significant stock price moves during the day, either due to market impacts of the trading, or due to the stock’s volatility.
But, with the arrival price benchmarking, if a trader or an algorithm executes trades in size quickly, the ensuing market impact is likely to result in average execution prices that are worse than the arrival price. On the other hand, if the algorithm/trader executes the trades slowly (to reduce market impact), the volatility of the stocks may still result in execution prices that are far from the arrival price.
In short, given the availability of such a simple measure as implementation shortfall, VWAP remains the primary benchmark in algorithmic trading and has done for decades. No institution on a consistent basis executes or benchmarks against any other moving average except for VWAP.
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- Trade what you see. Invest in what you believe -
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So use the longer term average. There are many ways to skin a cat, and many ways to model a market.
So do it. Research your idea, and post the results. Of course, on some days (rotational, balanced days; and likely weakly trending days) they will be very close. On other days (afternoon breakouts from a developed base for example) they will be nowhere close. When you say "probably," I think you really mean "I'm completely guessing", with very little reason behind it. So, stop guessing and do some work.
You seem to be hung up on "working" ... VWAPs don't "work," nor do moving averages, nor does anything. It's just information. It's not trading. Blindly buying and selling lines is guaranteed to fail over a large enough sample size that span multiple market regimes.
Nobody else think it's magic either, and if they do, they're mistaken. It's a number. It's the sum of the products of the price and volume across a set of transactions, divided by the sum of the volume across the same set of transactions. That's it.
Its significance comes from the fact that it is widely used as a benchmark for order fills by institutions and investment firms. When a client order needs to be filled, if a VWAP algo is used, its goal is to buy or sell at a better price than the daily VWAP. This type of algo is available to retail traders also: https://www.interactivebrokers.com/en/index.php?f=1124 .... so no, there's no magic, no one claimed there's magic, and its use as support and resistance depends, as all things do, on the context.
An anchored VWAP, or profile, or anything, gives you information over the range that you specify. If VWAP represents some notion of "value", then the VWAP anchored at a particular starting point should represent value over that range, to you. It's that simple; no magic, just information that may serve as an edge for some.
does any one have any experience in taking the day be for vwap from the RTH and using it as fixed levels for the current days RTH , then over laying the developing vwap from the current days open . the idea is to look for areas of vwap confluence. thanks for input
I project 7 prior days of static RTH VWAP as horizontal lines. I also project the prior 7 days of rolling RTH VWAP.
I believe these levels (especially the rolling VWAPs) are important and I use them every day.
One thing to note, I don't usually consider historical ETH VWAP levels, other than the rolling ETH VWAP from the OVN. However, with the OVN volume changes just recently I might need to start thinking about incorporating more of them. The jury is still out but I am assessing.
Combining the VWAPs with volume profile (for me anyway) paints the only picture I need to know when trading.
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- Trade what you see. Invest in what you believe -
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Here are two 5 min charts of the AUS200 Thursday and Friday, with both the daily VWAP and the moving 50SMA. and the 15EMA averages more information and trading opportunities comes from the 50 SMA and the 15 min EMA on Thursday The early trade on Thursday from the opening cannot be traded by the VWAP as there is not enough information, however the 50 SMA acts as resistance for the Initial Balance. Both the moving averages and the VWAP changes trend together for a move up. Price does not break through the 15EMA, that is, no full body of a candle goes below the 15 EMA the opening initial balance becomes support , however the trend is still up as shown by the slope of the 50 SMA. moreover the 50 moving average and the VWAP turned for a trend change together on the first change but the latter the 50 SMA. changed slope for a trend change but the VWAP was still sloping up
On the Friday from the opening price moved down inside the 15 EMA , and the first deviation, price broke through both of them at the same time. Price moved into a balance across the weighted volume with the 50 SMA with a slight trend up which price did not break through with a full bar until it started to show a break in the trend.
