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, 10:47pm   #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 6:11pm.
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Old Feb 3, 2009, 12:46am   #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 ?


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Old Feb 3, 2009, 3:25am   #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, 5:53am   #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, 10:44pm   #5
 
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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, 10:57pm   #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, 11:06pm   #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.
Attached Thumbnails
090204nq100.jpg  
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Old Feb 5, 2009, 12:55am   #8
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Quote:
Originally Posted by leovirgo View Post
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.
So, you are using cycles (or some confluence of cycles over different TFs) combined with a cross of VWAP to generate entry signals ?
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Old Feb 5, 2009, 1:13am   #9
 
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So, you are using cycles (or some confluence of cycles over different TFs) combined with a cross of VWAP to generate entry signals ?
that's right. however it requires a bit more than crossing vwap. it has to be a strong set up to buy and a weak one to sellshort. with proper money management and precision entry at lower TF it can be a viable strategy. my favorite set up is going long/short from smallest tf such as 50tick, 89 tick with a view to exit at 60minutes overbought oversold levels. R:R ratio is at least 10.

by the way, do you use tick chart? I am beginning to find it easier to catch cycle with tick charts rather than fixed time interval charts such as 1min,3min etc. It doesn't make much difference to futures like ym/nq because liquidity is not an issue but for some stocks 3/2/1min charts are not always useful..
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Old Feb 5, 2009, 9:52am   #10
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This looks good, can you say what do the white bars signify ?


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Old Feb 5, 2009, 10:17am   #11
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As a matter of interest, here is current DAX session reacting around VWAP. Constant volume bars of 250 contracts. VWAP is black. Up move stops at pivot.

leovirgo, it would be interesting to see your work applied to DAX as IMHO, VWAP is often a significant level. Maybe more so than for some other futures contracts.
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Old Feb 5, 2009, 2:15pm   #12
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Originally Posted by leovirgo View Post
by the way, do you use tick chart? I am beginning to find it easier to catch cycle with tick charts rather than fixed time interval charts such as 1min,3min etc. It doesn't make much difference to futures like ym/nq because liquidity is not an issue but for some stocks 3/2/1min charts are not always useful..
Yes, but not for stocks and not for cycles. And it's also not a true "tick" chart as it's driven of IB data which is aggregated to some extent.

I use it for display of what others might call "tape reading" data. An example (10 "tick" bars) from today's DAX session:

Bottom plot shows which side of the order book size is on. 2nd from bottom is a smoothed market delta (difference of contracts traded at ask and traded at bid). 3rd from bottom is bar by bar delta. Notice the market delta and order book behavior as the market falls from around 4462.

Orange line is one of our friends - yesterdays VWAP. Yellow line is this session's VWAP. And pink line is market profile POC (point of control). Sometimes it is quite astonishing how "technical" the DAX can be - even at the micro level.
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Old Feb 5, 2009, 10:19pm   #13
 
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Originally Posted by Trader333 View Post
This looks good, can you say what do the white bars signify ?


Paul
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It's just an ordinary bar. It shows that that particular bar is out of sync with the rest of the cycles.
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Old Feb 5, 2009, 10:56pm   #14
 
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Quote:
Originally Posted by dcraig1 View Post
As a matter of interest, here is current DAX session reacting around VWAP. Constant volume bars of 250 contracts. VWAP is black. Up move stops at pivot.

leovirgo, it would be interesting to see your work applied to DAX as IMHO, VWAP is often a significant level. Maybe more so than for some other futures contracts.
Nice chart! one can sell from vwap with tight stop. DAX- I don't have DAX data and currently I am in carribean so can't really trade uk session.

Yesterday's vwap is also a good benchmark to determine strong or weak and as a matter of fact it is part of my engine.

POC
I've never used POC, do you find it useful? Can I have it in TS?

I think I wil aim for indicator-free trading once I can see through vwap and other SR levels because these cycles are good but it often misses good moves. On positive side with cycle the drawdown is limited perhaps for me at this stage.
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Old Feb 5, 2009, 11:20pm   #15
 
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5 Feb wild swings

leovirgo started this thread Another flat day with no program trades!

Thought I'd missed the big move up yesterday. But it turned out to be followed by two mean reversals. At the moment, I am passing that kind of reversal trades. They are big though!! Got to burn midnight oil to crunch them.

I've attached NQ swing analysis and stocks for today...enjoy the charts ...
Attached Thumbnails
090205_mean-reversals.png   090205-stock-set-ups.png  
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