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ES and the Great POMO Rally
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ES and the Great POMO Rally

  #281 (permalink)
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tigertrader View Post
My point exactly -you're not CalPERS, you're not managing a gazillion dollars, or putting on the kind of size that has to be sliced and diced and insured a "fair" fill basis the average price. As an individual trader (trading your own capital) you want to buy as low as possible, and sell as high as possible - not the average price of the two extremes.

OK, I'm confused here. I was just stating what I saw occur in today's price action which is based on my past experiences. I didn't realize it was a challenge of the wits. Just trying to put some good thoughts on this forum. I won't be doing that anymore...

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  #282 (permalink)
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OK, I'm confused here. I was just stating what I saw occur in today's price action which is based on my past experiences. I didn't realize it was a challenge of the wits. Just trying to put some good thoughts on this forum. I won't be doing that anymore...

PB, do continue sharing. this thread is one which I constantly keep an eye on. I'm not sure if many of the people on this forum know the value of this thread.

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  #283 (permalink)
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tigertrader View Post
My point exactly -you're not CalPERS, you're not managing a gazillion dollars, or putting on the kind of size that has to be sliced and diced and insured a "fair" fill basis the average price. As an individual trader (trading your own capital) you want to buy as low as possible, and sell as high as possible - not the average price of the two extremes.

No, we are not putting on size and we do not use the VWAP as a benchmark. But as small traders we may exploit the behavior of the larger market participants. If the VWAP is regularly sold, I may conclude that a large selling program is under way and that I want to be short myself.

If I buy low or sell high, I put on a high risk trade, as it is a counter trade. If I simply sell the VWAP, this is a retracement trade supported by a selling program. What is wrong about that?

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  #284 (permalink)
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Private Banker View Post
OK, I'm confused here. I was just stating what I saw occur in today's price action which is based on my past experiences. I didn't realize it was a challenge of the wits. Just trying to put some good thoughts on this forum. I won't be doing that anymore...

Please continue to post. I really enjoy the perspective you present. I don't understand everything you present, but this is a learning environment. Many Thanks to you.

Champions are made by risking more than others think is safe,
Dreaming more than others think is practical,
and expecting more than others think is possible.
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  #285 (permalink)
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An Example of a VWAP Trade

This is an example of a nice VWAP trade.

CL is in an uptrend and retraces to a support zone as identified

- by the VWAP of the current session
- the floor pivot S1
- the supertrend indicating where maximum adverse excursion (MAE) could be located

This is a high probability trade.

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  #286 (permalink)
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Fat Tails View Post
This is an example of a nice VWAP trade.

CL is in an uptrend and retraces to a support zone as identified

- by the VWAP of the current session
- the floor pivot S1
- the supertrend indicating where maximum adverse excursion (MAE) could be located

This is a high probability trade.

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Please, don't get me wrong, My intra-day trading is strongly influenced by the VWAP, and I have written many posts (#186) alluding to the importance of it's implementation in one's trading methodology. My most recent reference to the VWAP was from a position trading perspective. In the chart above, where would you like to be long from ( 102.70) and where would you like to be short from (103.98), if you were initiating a position trade? The VWAP is not the optimal entry point from that perspective.

As I stated in my post #259 from Friday, "The market has accepted value at at higher levels, and seems to be preparing for an all out assault on the highs, but may chop around for the next few trading sessions between 1300 and 1320 as we approach the bearish seasonality associated with the Treasury auction on Monday - Wednesday and the last trading day of the month next Thursday." Therefore I was looking for 1300.00 today as an area of support and the optimal entry point to get long, not the VWAP.

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ES and the Great POMO Rally-es-06-11-15-min-3_29_2011.jpg  

Last edited by tigertrader; March 29th, 2011 at 01:08 PM.
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  #287 (permalink)
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no doubt the vwap is a very important and useful indicator. but one should not forget, if you work a big order spread over the day (maybe even guarantee the vwap as an execution price), you sure don't want to buy or sell the vwap. what you want is to sell above it and to buy below it.

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  #288 (permalink)
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Silvester17 View Post
no doubt the vwap is a very important and useful indicator. but one should not forget, if you work a big order spread over the day (maybe even guarantee the vwap as an execution price), you sure don't want to buy or sell the vwap. what you want is to sell above it and to buy below it.

This is the general rule, but when you are in a trending swing it is difficult & risky to buy away from the Vwap. I am not a big boy but I like to reduce risks by trading close to the vwap and set stops below/above LL or HH. This is how I trade:
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  #289 (permalink)
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redratsal View Post
This is the general rule, but when you are in a trending swing it is difficult & risky to buy away from the Vwap. I am not a big boy but I like to reduce risks by trading close to the vwap and set stops below/above LL or HH. This is how I trade:
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I strongly disagree. If you are in a a market that is trending higher/lower, you want to initiate/add, by buying weakness / selling strength, in the the direction of the prevailing trend. If we look at today as an example, 1300.00 is minus 2SD from the VWAP. IMO, that is a trade entry with a high probability of success.

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  #290 (permalink)
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tigertrader View Post
I strongly disagree. If you are in a a market that is trending higher/lower, you want to initiate/add, by buying strength/ selling weakness, in the the direction of the prevailing trend. If we look at today as an example 1300.00 is minus 2SD from the VWAP. IMO, that is a trade entry with a high probability of success.

as long as we both win it is fine with me, what do I add if I trade one contract per instrument?

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