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Good question. The weekly VWAP I refer to is anchored to the first day of the current RTH trading week, i.e. Monday. This means that for Monday, your weekly and daily RTH VWAPs would display the same information until the following session when the daily will reset but the weekly will continue to roll.
As the weekly VWAP starts fresh at the beginning of RTH for each new trading week, there isn't any weekly VWAP information to go on until Tuesday. So, to answer your question more thoroughly I also have the ability to display the last 7 days of rolling VWAP on a continuous basis as per the chart below. Again, these are RTH rolling VWAPs.
As for Globex and ETH VWAPS, I have been paying more attention to them in recent months. It appears that the ETH session is increasing in volume, meaning that more attention needs to be placed on the OVN VWAP and SDs moving into the day session, but that is something I plan to write about in the near future. I spotted ''something had changed'' and so I modified my approach.
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- Trade what you see. Invest in what you believe -
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I had struggled with the "starting day" of the weekly anchored vwap too. At first, my idea was to start from the expiry day of the market (we have weekly as well as monthly expiries, it falls on Thursday of every week)
But while making the observations I realized Monday was still the day which had the highest relevance when it comes to price action for rest of the week, not to mention conventional logic here is that expiries are manipulated and very rarely give good starting point. Someone else might find this useful, just putting it out there since I've already tried that.
However, what did give more interesting results was actually Anchored VWAP from EPS, its a place I intend to dig in more, I've only finished coding that one but didn't give a real run since EPS are rare events, on small TF it means less, I say that because I'm mostly intraday trader.
I got a beautiful SD cont. short entry just at the beginning of your larger white rectangle around 10:35 for 33 ticks. Looking forward to the additional flurry. Thank you again @JonnyBoy for these vwap strategies.
Here is one of the pieces of the puzzle I look at with respect to VWAP and VPOC.
As I have stated multiple times, although I believe VWAP to be a very important piece of the trading puzzle, it is a piece in my trading puzzle. It isn't the holy grail and/or the only way to trade. However, the daily is what I like to use to determine the big picture. I also apply this to the the major indexes and not just their e-mini counter parts to complete the picture.
You can get more granular in your approach by dialling into the monthly, weekly and finally daily, potentially adding in more VWAP granularity too. Something which I will try to make a video on if I get the time and people want me to do it.
I fully intended to post my trading from Friday's session, but unfortunately I recorded it but didn't save it. That is a shame as there were some really good real-time VWAP opportunities. I'll have to post my chart instead.
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- Trade what you see. Invest in what you believe -
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This video is more of a prompt for me to do more VWAP stuff, but I literally just took this trade with very little heat so I thought I would post here.
Now, my hypothesis was that we would revert back to VWAP. BUT - I closed this trade early (prior to it reaching VWAP) for the reasons I state in the video. However, price in fact did just rocket back to VWAP (and more actually, way more) and I missed that final move.
Sure, I verbalised that I am going to hold and whatever happens happens but in the end I closed it out.
I guess my point is that although ''perfect'' trades do exist, I close out trades when the internals don't support the continuation. The market internals are extremely important and often overlooked. IMO if you don't have at least some of the market internals as an ultra short term guide then you are missing a huge window into the underlying market structure.
Am I ultimately trading against the trend today? No. It is a range day, however at the moment I took that trade you could say in the ultra short term the price trend was down..so the shorters shorted! Thank you (I expected you would) but this added fuel to the move higher whilst using the known VWAP levels of prior sessions to, in part, support my hypothesis.
So, is this it? Just trade off of VWAP levels and be done with it? NO. NO! Not at all. Again, these are all just pieces of the puzzle which I will try to get around to discussing when I get the time. Plus, I also want people to know I don't knock it out of the park with every hit.
Controlled swings and bunt when you need to.
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- Trade what you see. Invest in what you believe -
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The video with your live thought process during the trade was very helpful! Also seeing how you monitor market internals versus VWAP behavior to confirm trade entry and manage trade exit. Thanks
Following on from today's post, you saw some of the moving parts of my workspace. With this video I go through that chart build. Some of this stuff is proprietary, but my goal is to try and find a way to build this out of stock indictors.
My VWAP is so much faster than NTs Order Flow VWAP, so it might mean a slower chart but I'll have a go at doing that if people are interested. In the meantime, for the people that are interested in the this setup I am sure you will find a way yourselves.
Anyway, I hope this is informative. It ended up being near on 20 mins so I apologise for the length. This is about 85% of my setup. No algorithms, no decomposition theory, just charts!
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- Trade what you see. Invest in what you believe -
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