Grey1's US trades using VWAP

Grey1

Well-known member
Jun 11, 2002
2,185
175
73
#1
Two Long signals ..

VRTS and MEDI .. MEDI trade I pulled out as the VWAP signal was @ 25.08 but there was over 8K bid @ 25 and even 3200 lower @ 24.85 .. SO no trade .

The long VRTS was pretty clear cut trade with no lower support than my entry of 36.73 .. Sold 1/2 @ VWAP and the other 1/2 to run. The stop was moved up to VWAP ...
 

Attachments

Grey1

Well-known member
Jun 11, 2002
2,185
175
73
#2
Medi Trade on L2.. This is the advanage of using L2 for VWAP trading .. If I did not have access to L2 then I would not be any wiser and probably would take the trade..

See the 3 bids of 2476, 1820, 2500 @ 25 $...
 

Attachments

Grey1

Well-known member
Jun 11, 2002
2,185
175
73
#4
The argument That I have been putting forward has always been ,, would we trade the momentum or do we go for weakness while the rest are trading momentum ..

I feel momentum trading is no longer a viable strategy for professional traders.. We should be selling into momentum than buying into it ..

The whole idea is that a Momentum is BORN in lower time frame.. with little price movement .. This is where traders should be taking a postion and not when the trend is apparent to all market participants..

While VRST was going down the upward monetum was being born..

Regards
 

Rognvald

Active member
Feb 12, 2003
916
15
28
#5
ianh
I suggest you read Grey 1's posts by calling them up by a search on him under find a member and take it from there. Its what I often do when looking for an answer to a question when I know a member has expressed a view. It can be time consuming but is usually informative

Grey 1
Can you explain the symmetry of your upper and lower vwap lines against vwap itself at points of change please?

Ron
 

redart

Well-known member
Nov 6, 2003
890
247
53
#6
Well....i guess there's more than one way to skin a cat. Mr. Charts seems to use momentum for his trading which appears very successfull. Your style seems to conflict with his methods but you know what you are doing and seem very profitable yourself.

I guess its about making sure your good at whatever method you choose, and you'll be ok.
 

Grey1

Well-known member
Jun 11, 2002
2,185
175
73
#7
Rog,

In 1999-2000 I used SD but had a disastrous result so I moved to a MPD and the result has been much better//

MPD bands or maximum permissible deviation =( High _low)/2

The upper and lower bands then becomes VWAP + MPD and VWAP – MPD

How ever the key in VWAP trading is not going long or short if stock hits the bands .. You only trade the signals from the lower VWAP ( buying into weakness ) in strong market and visa versa.

These bands also cater for cyclic oscillation of stocks intra day as the bands widen on both ends ..
The bands are symmetrical around VWAP at all times and not just at the point of reversals.. ( have I understood your question right ?)

As a complete strategy one needs to have a Money management attached to this strategy … You take a pos when stock hits the bands ( lower band in case of going long ) , selling ½ @ VWAP moving stop to around VWAP and let other ½ to run to outer VWAP ….

Just one point.. There is not such a thing as 100 % strategy.. .. But there are strategies which have statistical edge and are more mechanical than others..
 

Grey1

Well-known member
Jun 11, 2002
2,185
175
73
#8
Ian,

Some platforms offer VWAP as standard such as realtick, others donot and you have to define that yourself.. VWAP is a broker level data and is watched by all institutional trader and is vital IMHO in trading of any kind of instrument..

Look at the VWAP links

http://www.tradersmagazine.com/sup/atd.cfm

http://www.redi.com/iptrdr.html

Do a google search and u can read more about VWAP and why MM all watch this all important bench mark ..

Regards
 

Rognvald

Active member
Feb 12, 2003
916
15
28
#9
Grey 1
Appreciate your detailed reply and take the intraday oscillation point
Quite agree on the 100% (no such thing). I'm in the process of reading Bruce Babcock's 1989 Guide to trading systems just now and am trying to develop something with as little discretion as possible :)
 

Grey1

Well-known member
Jun 11, 2002
2,185
175
73
#10
May I invite members to look at the VRST to day .. it is currently trading @ 38.10 around 4.5% up to day .. VRTS opened rather weak to day while other were trending UP .. I could have traded the monetum hoping the market would rise further or buying weakness knowing that even if the market collapses the weaker stock has less risk attahed ( risk managment ) to it as it has already been trading lower ( near its lower VWAP.).

Regards
 

Attachments

Rognvald

Active member
Feb 12, 2003
916
15
28
#12
One advantage of vwap is its ability to utilise the early part of the day and not be distorted by previous days prices - that is if you want to trade this early
 

Grey1

Well-known member
Jun 11, 2002
2,185
175
73
#13
BBB,

Can't t see why not but I have no experience of VWAP trading longer than days.. I use Fundamentals as my long term strategy .. All my long term portfolio is based on the company itself. Bought loads SNDK as soon as I heard its deal with TOSHIBA and look at it now.. I think I posted some thing about SNDK ( few month back ) on buying it..

regards
 

Rognvald

Active member
Feb 12, 2003
916
15
28
#14
Grey1
may I ask what level 2 platform you use please as I would like to survey what is available
Thx
Ron
 
Jan 14, 2003
8,424
870
173
UK
#15
There was an additional reason that MEDI did not give a good
Trading opportunity and that was the profit potential from the
entry given by Grey1 was only 21 points which is a little on the
low side.

Grey1,

I do have a question about the Level II bid that also put you
off taking the trade. You said that you could see a number of
orders on the bid at the $25 level. Why was this a concern to
you as many would see this as support at the $25 level ?


Paul
 

Attachments