Grey1's US trades using VWAP

Tradesmart,

When market is weak like to day you go short and not long ... If you read my strategy you should Know that I close @ VWAP .. So the postion was closed. when MACCI hit the OS level

YHOO touched the VWAP as shown ..

Regards
 
Grey1 / Trader333

On average how many VWAP Signals would be produced and over what number of stocks per day?

Thanks.
 
This is YHOO again after a small rally of DOW .. Second signal was issued when MACCI was OB .. L2 also confirmed that too.. If you have access to L2 screen watch the YHOO .. there are 10000 buyers sitting to buy @ VWAP ..
No wonder the price would go back to its mean ( VWAP )
 

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One/TWO

My scanner has only 40 stocks to filter and that is due to IB restriction ..As a result I am only getting few signals from TS .. Perhaps 1 to 3 signals ( some of them only generate around 15C only ) ... My main scanner is being looked into as it has leaking problem .. The more stock in your data base the more signal ..

I think Trader333 gets more signal than me.. He has moved on to another data vendor and uses a stand alone application..
 
Just one point to my younger fellow traders.

The break out rule in technical analysis says..

THE MARKET NEARLY ALWAYS BREAKS OUT IN THE DIRECTION OF PREVIOUS TREND ( ..

Today the market is weak and was down by 40 Points when it first opened.. it is more likely for market to slip further down than move to positive territory.. The rule above is not 100% and I do not know what the probability of the above statement is but it is more true than false.. So if you want to take a position you would be better off to trade in the direction of the previous trend> this is why I have taken the short signals from my VWAP scanner and not LONG ..

Plz don’t tell me in such a such a date market was down 70 points and by the end of the day was 200 up… I understand all these .. We ,as traders are interested in statistical edge and not few samples of mis behaving ..

DOW currently 58 points down
 
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I use Metaserver to import data from IB into TS and on TWS you can only have 40 active market data at any time.. You can however have up to 24 trading pages but only 40 of your stock be having data..

I think I am right. Others might know more..

regards
 
one/two,

I monitor around 160 stocks on a continuous basis throughout
the day. To say how many signals I get is difficult to answer as
it is not just VWAP that I consider but a number of other things
as well. The number of signals that turn out to be fully tradeable
is around 5 to 6 but I normally would only make around 3 to 4
actual trades and I am currently in a Short trade on ISIL from $28.78


Paul
 
Trader 333

are the final filters completed on a discretion basis or set to programmable basis?

thanks for all your comments.

Grey1
the low got made in the first HALF HOUR, from my memory you consider this period to give weak signals.
did this have any impact on your day??
 
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Boy,

I added another 20 stocks to metaserver but IB would only allow 40 of them ..I am not getting any data on more than 40 .. I think it is some thing to do with their API..

IB site says some thing about the 40 ticker restriction too.
 
The IB limit of 40 signals is via the API so it will not work for more,
I think that Boy is talking about data displayed in TWS and not
via the API.

one/two,

There is some discretion but this is because I havent figured a
way of programming it into Tradestation yet.


Paul

PS I closed my ISIL trade at 8.13pm at a price of $28.37
for + 41 points
 
Nice breakout to down side to day ...

Hope you all had your shorts on ..

Dow closes 10461 down 130 points ..
 
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