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method VWAP + TICK
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method VWAP + TICK

  #1 (permalink)
big mike
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method VWAP + TICK

I am thinking about a method using VWAP in combination with TICK. The idea is to fade TICK reading +/- 800 above and below but only in the zones abobe/below 2nd standard deviation of VWAP. This is entry only, first target could be VWAP, second other 2nd deviation.
The problem here is that trader must define condition of the market first. I think this method will work well in rotational markets, and will fail in strong directional move. The so0lution to this could be to watch other indeces and trade only when they dont move in sync, because in the indeces the strong move will happen only when all 4 participate.
I am trying to implement this method to trading intraday ES, watching 1 min bars.

VWAP serves as indicator to locate trade location and TICK is more a timing tool - trigger, to enter trade.


Last edited by Czechmade; May 14th, 2012 at 05:01 PM.
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  #2 (permalink)
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  #3 (permalink)
Live Your Bliss
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Czechmade View Post
I am thinking about a method using VWAP in combination with TICK. The idea is to fade TICK reading +/- 800 above and below but only in the zones abobe/below 2nd standard deviation of VWAP. This is entry only, first target could be VWAP, second other 2nd deviation.
The problem here is that trader must define condition of the market first. I think this method will work well in rotational markets, and will fail in strong directional move. The so0lution to this could be to watch other indeces and trade only when they dont move in sync, because in the indeces the strong move will happen only when all 4 participate.
I am trying to implement this method to trading intraday ES, watching 1 min bars.

This sounds like a great idea, actually. The 2nd standard deviation of VWAP is a great indicator of extreme, unsustainable conditions in non-directional markets.

"...the degree to which you think you know, assume you know, or in any way need to know what is going to happen next, is equal to the degree to which you will fail as a trader." - Mark Douglas
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  #4 (permalink)
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As a suggestion for "defining the condition of the market" add a 10 period simple moving average to your tick chart to define sentiment of the market. For instance, when the moving average is below 0, as it has been all day today, it tells you that negative sentiment is dominant and would limit you to only short trades.

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  #5 (permalink)
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Xelaneb View Post
As a suggestion for "defining the condition of the market" add a 10 period simple moving average to your tick chart to define sentiment of the market. For instance, when the moving average is below 0, as it has been all day today, it tells you that negative sentiment is dominant and would limit you to only short trades.

Just to avoid confusion - I was first confused.

You are probably referring to a 1-minute chart of the NYSE TICK, to which you want to apply the 10-period SMA.

Then you did not mean a tick chart, which would be a chart built from ticks.

The idea to combine VWAP as a filter in conjunction with extreme tick readings, is certainly worth to be considered.

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  #6 (permalink)
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7/5/12 NYSE Tick Divergence setup
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5 minute daily, 1) Price outside 2nd std deviation vwap, 2) Tick Extreme 3) Clear Divergence between price & Tick ma

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  #7 (permalink)
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Czechmade View Post
I am thinking about a method using VWAP in combination with TICK. The idea is to fade TICK reading +/- 800 above and below but only in the zones abobe/below 2nd standard deviation of VWAP. This is entry only, first target could be VWAP, second other 2nd deviation.
The problem here is that trader must define condition of the market first. I think this method will work well in rotational markets, and will fail in strong directional move. The so0lution to this could be to watch other indeces and trade only when they dont move in sync, because in the indeces the strong move will happen only when all 4 participate.
I am trying to implement this method to trading intraday ES, watching 1 min bars.

VWAP serves as indicator to locate trade location and TICK is more a timing tool - trigger, to enter trade.

I think this is a good starting point to build a viable trading system. Did you pursue this idea further more? The idea of price reaching an extreme condition is an elusive concept. Bollinger, VWAP and Keltner channels are all interesting ideas to measure relative highs/lows. Market Profile offers another perspective with more variables to condider before assessing if we are at a relative extreme point. There are tons of possibilities. It would have been interesting to read about your discoveries.

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  #8 (permalink)
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I agree...I definitely think there would be something to this

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  #9 (permalink)
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long setup today. price/tick
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