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The Highest, High-Probability-Trade
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The Highest, High-Probability-Trade

  #11 (permalink)
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Fat Tails View Post
Any reasons, why you use the calendar day VWAP (EST) and not the VWAP of the trading session?

The Calendar Day VWAP starts 7 and a half hours later, so it is narrower during the RTH session than the Session VWAP, which means that the bands are hit earlier.

Below are a couple of screenshots which compare them for ES, YM and CL.


Thank you, for pointing that out, my friend.

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  #12 (permalink)
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I noticed an example of what (I think) you guys are talking about today on the NQ around 7:35 am PST. Check out the screenshot.

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The Highest,  High-Probability-Trade-nq-vwap-example.png  
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  #13 (permalink)
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@Haverchuck:

You might have a look at the VWAP of the regular session as well.

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The Highest,  High-Probability-Trade-nq-12-11-5-min-12_10_2011-rth.jpg  
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  #14 (permalink)
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Does make quite a difference! The ETH/RTH chart does not give you the sell at @1193.00, while the the RTH only VWAP does give you the signal.

Thanks again, my friend

Attached Thumbnails
The Highest,  High-Probability-Trade-es-12-11-15-min-10_13_2011-vwap-rth.jpg   The Highest,  High-Probability-Trade-es-12-11-15-min-10_13_2011-vwap-combined.jpg  
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  #15 (permalink)
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tigertrader View Post
Does make quite a difference! The ETH/RTH chart does not give you the sell at @1193.00, while the the RTH only VWAP does give you the signal.

Thanks again, my friend

I usually watch the ETH VWAP about 1 one hour into the regular session, because the RTH-VWAP is not stable then.

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The Highest,  High-Probability-Trade-es-12-11-3-min-13_10_2011.jpg  
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  #16 (permalink)
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Fat Tails View Post
I usually watch the ETH VWAP about 1 one hour into the regular session, because the RTH-VWAP is not stable then.

Roger, that.

I'm going to keep both time-frames on my workspace.

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  #17 (permalink)
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I notice something today. This might be a good setup to fade an extended move.

Look at the two screenshots (CL & TF), when the price extended beyond the 2SD, into the 3SD, enter trade at the first break and exit after it moved back to the 1 SD.

Almost note on TF: it completed the AB = CD move and then price broke.

What do you guys think?

Attached Thumbnails
The Highest,  High-Probability-Trade-cl.png   The Highest,  High-Probability-Trade-tf.png  
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  #18 (permalink)
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cw30000 View Post
I notice something today. This might be a good setup to fade an extended move.

Look at the two screenshots (CL & TF), when the price extended beyond the 2SD, into the 3SD, enter trade at the first break and exit after it moved back to the 1 SD.

Almost note on TF: it completed the AB = CD move and then price broke.

What do you guys think?

The mean reversion trade - outside in from the outer VWAP bands - only works with the trend. The multi-day trend is still up, so I would be careful shorting. Chart below, which shows that there was no short at that stage.

Attached Thumbnails
The Highest,  High-Probability-Trade-es-12-11-2-min-13_10_2011.jpg  
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  #19 (permalink)
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cw30000 View Post
I notice something today. This might be a good setup to fade an extended move.

Look at the two screenshots (CL & TF), when the price extended beyond the 2SD, into the 3SD, enter trade at the first break and exit after it moved back to the 1 SD.

Almost note on TF: it completed the AB = CD move and then price broke.

What do you guys think?

As small individual traders, we try to enter and exit at one precise "near perfect" point in the price action. So we are mostly looking at an arbitrary VWAP period, most likely, intraday- RTH only. We tend to forget that large market makers and other large actors are trying to enter and exit the market discreetly, for their own positions, monitoring their own specific durations of the VWAP.

The important VWAP to monitor is different for each participant and is dynamic. If large players plan to accumulate/distribute a security over x number of days (as determined by their liquidity algorithms), they will try to buy below the x-days VWAP and to sell above the x-days VWAP.

As relatively small players, the best we can do is to consider the proper VWAP for our own trading horizon. For example, in a trending market, swing traders like to buy weakness on a rising 5-day VWAP and sell strength below a declining 5-day VWAP. In a range market, where the VWAP is horizontal, traders can trade counter to the trend, and profit from fading moves to the plus or minus, 2nd standard deviations.

Therefore, when looking for an extended move, you should be considering a longer time-frame for your VWAP. The chart below illustrates the weekly VWAP for the ESZ, where a failure from the +2SD, when the VWAP is slope-less, not only works, but turns out to be the recent high of the move.

Attached Thumbnails
The Highest,  High-Probability-Trade-es-12-11-60-min-10_13_2011.jpg  

Last edited by tigertrader; October 13th, 2011 at 11:29 PM.
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  #20 (permalink)
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Fat Tails View Post
I usually watch the ETH VWAP about 1 one hour into the regular session, because the RTH-VWAP is not stable then.

@Fat Tails

Do you split anything up for the 6e? Thanks.

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