can you use vwap with futures trading?

[jayjay121]

Hi, im a scalper mainly and i trade the er2 mini futures. Anyway ive been studying Grey1's methods on using the vwap indicator with the mpd bands.

My question is can we use the vwap with the mpd bands on trading futures and does anybody out there do it?

Ive been experimenting with it and found when i trade once price hasa hit outside the bands and starts coming back into it towards the vwap, it appears to be quite a good signal. Does anybody else use it this way? Grey1 uses the indicator this way but in pair trading and only in trading equities, so what are your thoughts on this?, any input would be appreciated.

ive tried to print screen an example for you all to view, please let me know if there is a problem with it

jason

 

[neil]

Use the search facility above.
Ask Grey1. If you did a search on this site you would get a lot of info.

 

[jayjay121]

Use the search facility above.
Ask Grey1. If you did a search on this site you would get a lot of info.

Hi neil, thanks for the reply. I have already read and searched many of grey1's posts, he has a different technique as you know using equities and pair trading, im personally only talking about futures and whether there is any traders out there that use the vwap indicator in there trading and if the vwap is used in the same way by brokers and mm's as a benchmark in futures trading as it is in us equity trading?

many thanks and good trading to you,

jason

 

[Trader333]

can you use vwap with futures trading?

Unlikely to be effective in my view because where stocks are concerned MM are looking to buy at less than vwap and sell at more than vwap and this does not apply to futures trading that I am aware of.


Paul

 

[jayjay121]

thanks for the reply paul.

I respect your views paul and do enjoy reading your posts, however am i right in thinking that the vwap indicator takes the average price of the market (please correct me if im wrong), and if it does then cant it be used if and when it reaches 2d above the vwap line or ob and os conditions by setting the mpd bands? and if it does take the average price, why can't this be effective in any market including futures?

jason

 

[Trader333]

Jason,

It is not the average price of the market as that would not include any volume. VWAP includes the weighted average price and is used by MM as a benchmark for their own success. The MPD bands are risk bands not trading bands which Grey1 has frequently reminded us of. I am not aware that MM trade futures in the same way as stocks, bear in mind that MM will often be told to acquire a quantity of stock on behalf of clients. To determine if they did this effectively they use VWAP as a benchmark and I am not aware that MM are told to acquire (or dispose of) futures contracts in the same way. I am not saying that it is useless in futures markets but I cannot see how it can be as effective but I am happy to be proved wrong


Paul

 

[ptcm]

if you think yesterday's vwap as a price where buyers/sellers exchange most volume, it could also be used as a support/resistance level for the following day IMHO.

Does anyone here have the multichart code on an vwap indicator (just a line will do) ? many thanks.. I will run some back-testings and share the results here...