Grey1's US trades using VWAP

[Grey1]

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 ...

 

[Grey1]

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 $...

 

[ianh]

VWAP

I always read your posts with interest Grey1, but I have to ask,
How do you get VWAP information?
I looked for a thread about VWAP, but can't find one?

 

[Grey1]

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]

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....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]

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]

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]

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]

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

 

[BBB]

Grey1, FAntastic stuff.

Can the VWAP methodology be applied successfully to larger time frames for position traders, or is this a strictly intra day method??

 

[Rognvald]

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]

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]

Grey1
may I ask what level 2 platform you use please as I would like to survey what is available
Thx
Ron

 

[Trader333]

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

 

[Grey1]

I use Realtick from Townsend

Regards

 

[Trader333]

Ron,

What do you want from level II ? The reason I ask is that
Quotetracker do an excellent Level II screen with a number of
possible data providers. I use Money.net as the datafeed and
will post a screenshot tomorrow.


Paul

 

[Grey1]

Paul,

If you have a look at the l2 Screen I have posted you could also see a further 3200 @ 24.85 and there was few over 1000 bid below 24.85 which I can 't remember.. Slightest weakness in the market , would result the bids to drag MEDI further down .. On top of that the reward would not justify the risk as you have mentioned
yourself.

regards

 

[Rognvald]

Paul
Can I talk to you about this another day please - I am just about to sign off after a rather tiring session

 

[Trader333]

Grey1,

Thanks for that and may I ask one more question say for a long
trade ? What would you be looking for on the level II screen to
support your decision to take a Long trade ?


Paul