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I like using anchored VWAPs on trending days. It is fairly easy to anchor them on a swing low or high. If you're able, "slide" the anchor point back and forth to see where the price action kisses vwap. As usual, no magic bullet, but can give useful info.
Wow, I'm almost speechless. What a read! What a great information in this thread. Thanks everybody for contributing.
Special thanks and a deep bow to @JonnyBoy. What you have put here, the efforts you have taken, this stuff you have given to the community, unbelievable.
I hope one day to be able to do the same for others. In the meanwhile, I'm going to study it. Feel it. Exhaust it. And hopefully make some money along the way
Great thread!!
I personally do use a VWAP that begins each day during RTH. When I "use" an indicator, an average, an oscillator, it's something I do with a heavy amount of context by reading into price action with basic levels and some trade flow/tape reading as well.
I'm discretionary so my rules are quite flexible, which some will frown upon, due to it being discretionary and not a rigid "system". VWAP is something that is a tool for me, along with a basic MACD.
Each day is totally different so I have many strategies I use. Today I was thrown off the Mini Dow. I was too eager to buy above the VWAP, and I realized the market was too heavy going long and the VWAP bounce was NOT going to happen! Luckily I was stopped soon enough and reversed the trade. Based on that breakdown level area, I was able to re-short near the 30 mins prior to close.
I always tell myself, "I see XYZ happening, this means we could get ZYX outcome, but price doesn't have to do exactly what I think it could do, and then I will set a stop because if my expectation is proven wrong, I need to exit ASAP"
This almost always works, with anything. Patterns, order flow, VWAP setups, etc.
Sometimes I will just wait for a failure of my setup(s) and that is a form of confirmation that tends to work really well! By the time I spot a pattern or setups, I am usually late to the party, and I know this about myself!
I think with proper money management and using stops, you could literally trade based off of anything, but the VWAP is much much better than a random line. How price will behave according to the VWAP will be different each time.
I don't have software to backtest, but if I continue to hit a sweet $700 to $800 each day, it's not important for me to backtest at all. And it makes it even harder for me to backtest when I have several setups that I will trade, and not just 1 kind of VWAP setup etc. I am human, and when I get tired, I require myself to stop trading. The mental fatigue isn't always 100% obvious, but it's a sorta of mental fog that accumulates and then I need time off in order to function.
I've been watching @JonnyBoy 's setups the last few days and it's been worth while. One possibility that I may have missed (I didn't read all 46 pages of this thread yet) would be what I will refer to as a "strong cross". A "strong cross long" would come from the -1SD (or below) and basically just blow through the VWAP to the upside without a successful test. Maybe the buy zone would be in the .25 SD to .5 SD area. Success with this setup would key off of proper risk control of course. Maybe a stop set at -.25 SD to -.50 SD.
In general a VWAP cross is supported (but not always) by the market internals. The question you have to ask yourself is that when price get's back into VWAP territory what is it going to do next. Sometimes a blow through is very obvious, other times not so much.
I have written a new VWAP algorithm which I will be testing in SIM tomorrow for literally the first time. I hate SIM, but I need to be able to continue working on any issues before this runs live. This algorithm does not rely on the standard setups per se because it contextualises VWAP differently by looking at the TICK and the ADV.
The yellow circles are good VWAP choices for entry. Blue is not good VWAP (but it realised this and went the other way). My point being that the last yellow circle was a VWAP cross prior to it happening, so it is possible to predict beforehand if you quantitively assess the location where you are at.
I'll record the session and post tomorrow. I guess I'll post good, bad or ugly. But for reference it will be in SIM which I will be very clear about when I post.
EDIT: The spring green and tomato coloured lines are automatic VWAP anchors based on a 9 bar pre 2 bar post look back / ahead to determine if the VWAP swing is valid. Oh, and I also forgot to say that the algorithm enters mid bar which comes with a set of it's own problems which is I am am testing in SIM.
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- Trade what you see. Invest in what you believe -
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In SIM only, but this morning didn't quite go according to plan! I'll have to make some adjustments to the algorithm. If I manually closed out a position on the same bar as the entry bar it would re-enter that position because the criteria within the same bar was still being met.
Either way, there were some lovely VWAP TEST SHORT ENTRIES, it's just a pity I wasn't in them. Looks like I have a bit of work to do this weekend.
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- Trade what you see. Invest in what you believe -
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@JonnyBoy This is the one thing that the Eveday Drawcator VWAP cannot natively do (RollfromNthBar). You can 'AttachtoCurrentBar' , 'RollFromPreviousWeek' and 'RollFromNthSession' only. It can't dynamically draw a new VWAP every Nth bar. The Ninja Orderflow VWAP is of course limited to trading hours only.
In the past, you've discussed anchoring rolling VWAPs to swing highs/lows and other relevant bars (e.g. failure bar along an SD line), which can be subjective based on the user's criteria. The Nth bar however is objective and the only difference is whatever dataset is employed.
Another thing that I don't think has been mentioned is your usage of fibonnaci numbers in your datasets and some of the indicator values. I've created different tick datasets based off fibonnaci numbers (987, 377, 233, 144, 89) and have traded them with great success. I'll switch to whichever set complements price volatility.
Can you share how you are dynamically drawing the VWAP from Nth bar? Have you played around with different fib values for the Nth bar VWAPs? (e.g. 8,13,21,34). I could draw these manually, however the tick bars (especially the smaller datasets 144, 89) can draw bars extremely quickly.
