Vwap Engine

This is a discussion on Vwap Engine within the Trading Journals forums, part of the Reception category; Here I will post buy sell signals genertated from my own VWAP ENGINE. It will be fully automated in a ...

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Old Feb 2, 2009, 9:47pm   #1
 
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Vwap Engine

Here I will post buy sell signals genertated from my own VWAP ENGINE. It will be fully automated in a few days' time and here is today's chart.

It produced a total of 3 trades today- of which 2 were winners - second trade ( a loss ) was due to programming glitch which had been corrected.

Essence of the engine is -

- Buy above VWAP
- Sellshort below VWAP

if cycles permitted.
Attached Thumbnails
090202_nqtrades.png  

Last edited by timsk; Nov 28, 2009 at 5:11pm.
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Old Feb 2, 2009, 11:46pm   #2
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Why are you buying above vwap and selling below as this is the opposite of how it is traditionally used ?


Paul
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Old Feb 3, 2009, 2:25am   #3
 
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leovirgo started this thread Paul, I do not consider a stock or a futures instrument as strong until and unless it is trended away from vwap. The birth of a trend takes place at or around vwap. The journey back to mean is not considered a trend. My Vwap Engine is in early stage and it is very promising. I thank Iraj(Grey1) everyday for his inspiring works. I'll be glad if my engine is half as good as his.
regards,..
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Old Feb 3, 2009, 4:53am   #4
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Should be an interesting thread. A couple of questions - Assuming you are calculating VWAP for the session:

1. At what time do you consider VWAP to be useful eg after 10AM US EST ?

2. For something like the ES which trades almost 24 hours a day, are you calculating VWAP from the market open (9:30 AM US EST) or from earlier in the pre market ?
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Old Feb 3, 2009, 9:44pm   #5
 
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leovirgo started this thread
Quote:
Originally Posted by dcraig1 View Post
Should be an interesting thread. A couple of questions - Assuming you are calculating VWAP for the session:

1. At what time do you consider VWAP to be useful eg after 10AM US EST ?

2. For something like the ES which trades almost 24 hours a day, are you calculating VWAP from the market open (9:30 AM US EST) or from earlier in the pre market ?
1. It can be useful even before market open such as big news days. But I am not taking any signals before 14:35 uk time. It depends on the set up really.

2. For ES, YM, NQ and YG I use continuous vwap. I haven't tested Market Hours Only Vwap and I don't think it could be reliable on strong news days.
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Old Feb 3, 2009, 9:57pm   #6
 
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leovirgo started this thread A profitable day but it could have been much better. I need to refine my engine for both entry and exit conditions.

1. First trade should have been exited at higher price due to $INDU 60minutes' bearishness. NQ itself was strong so I let it breath. Will see if Topdown approach still applies i.e, from $INDU to NQ

2. Missed early signal around 7pm uk time for another rally. Program entries for NQ were late and as a result had to give back small points. Pleased with the way it limited the downside though

all in all +5 pts. will work on the codes tonight...
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Old Feb 4, 2009, 10:06pm   #7
 
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leovirgo started this thread Today's set up was a BUY day. VWAP engine was ready to buy but somehow it missed the big move up because of a clash between 10minute TF cycle and one of the smaller TF. It is exactly the same as yesterday's missed trade. It can be seen as a white bar among the green bars that all mean long.

Time < 1440
Another reason was the time - a signal at smaller TF happened at 14:37pm and I don't wanna take the signals before 14:40pm.

Strong NQ100
NQ was much stronger than $INDU and it reached all target lines. For me, no trades for today as the engine did not produce anymore signals. ( there were dark red bars which signalled Sellshort half-size but at this stage I am not taking that kind of reversal trades. )

To sum up, I am flat today hence no change in equity curve. And there were no extra trades .. that means I sticked to to discipline.

Wondering if I should re-jig codings to include this kind of trades.
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