Value Trading versus Momentum Trading

[stevet]

yep -thats better

thx blash

its ok - got all the stuff and i will get it programmed into the system - not to trade off as price is all that is needed for that - but as another test of institutions pumping or dumping

there is too much money to be made trading the whole curve from one side of the standard deviation to the other, to just trade one part of the curve

 

[Grey1]

Stevet,,
Beer is the liquid of life .. Donot give up on it.. I am looing 4ward to my sat night with the boys

This is the formula for VWAP
VWAP= Sum of ( Price * traded volume/ total volume )

 

[stevet]

Grey1

i used to be a real red wine fan - elixir of life and lost interest in beer - but had a few swigs of stella a little while back and got firmly hooked

ok and de VWAP, but over what time frame? or does it go back to the start of whatever it is was issued

and drink and the opposite sex is the ideal for me! note : ideal - another example of theory not always passing into the real world!

 

[Grey1]

Stevet,

Since we are day traders we use the single day for calculating VWAP .. So we only use the volume from today's open ..
Some fund managers use VWAP for much longer time frame for example Monthly or yearly.. They obviously are long term investors


PS:-- Can you first make sure VWAP data is not already on your trading platform because I get all that on realtick as standard..

Going to gym now be back later

 

[stevet]

grey1

by the way - now that blash pointed out that i was illiterate

and i now have the proper initials ]

and i now know what they stand for

Volume Weighted Average Price

and you said it does move - even if it is like an elephant

and i had called it a moving average of volume weighted price

and you said it wasn't

i now dont believe you anymore! you lied to me and i am hurt

de VWAP is a moving average of price for sure

moving only a little bit is still moving in my book!

 

[Trader333]

Grey1,

I see you have acquired the title "Tradestation Moderator" what does this entail ?


Paul

 

[stevet]

grey1

yep - one of the packages i have access to is real tick

but the api is a pain to use to get data on real tick and it does freeze up a lot - so i as i would want to program the data in for automated computer programming and need to access the data raw and then program the analysis

real tick is a good provider - but the do have some issues with their systems which have been causing real probs lately

interesting enough and re prior comments i have made about level2 - i believe level2 on real tick is compressed data due to all the bandwidth issues

 

[Finlayson]

Stevet & Grey

red wine & beer man myself.

We all seem to agree that VWAP is a very useful guide, but this is simply exhaustion trading & entry still must come from price & market sentiment

Jay

 

[Grey1]

Trader333,

It entails nothing .. LOL all I do is to post EL codes for those who are interested for Freeeeeeeeee.. Of course if others care to contribute few Codes here and there for the benefit of others then I would be more inclined to post few more efficient strategies...

 

[madasafish]

well thanks for that Grey. I calculated VWAP and added MPD bands and lo and behold DAX this am was below Lower VWAP band and rallied.. and failed at 3795 the exact top of the upper VWAP band..

BTW you asked about when does a trend end?

I have 2 simple indicators in a 1 minute chart : a 20 bar moving average weighted on the last 20 bars volume (blue line) and a ditto based on 38 bars and 20 bars volume.(red line) . when 20>38 long and when it crooses over = end of trend.. (of course exact tops and bottoms will have a wide range...before they switch...

VWAP bottom is horizontal red line, VWAP top is green line, VWAP is orange...

 

[Trader333]

Are people 1) Unable or 2) Refuse to edit the size of the charts
they post ? It makes reading the thread a real pain and seems
to happen everywhere ?



Paul

 

[fowkesp]

Trader333,

Are you running at lower than 1280x1024 screen resolution? Everything displays just fine on T2W at this resolution.

Paul

 

[bonsai]

lol
that's an interestingly phrased question.

now why would you assume that everybody uses 1280x1024 ?
a lot are still on 800x600 and most I think are 1024x768

 

[fowkesp]

I thought most people used 1280x1024 or higher nowadays

 

[SallyT]

Nope - I'm with Trader 333, it's a real bind to keep swishing side to side! I'd say 1024X768 is more popular. Would help if you could edit your charts guys, before posting.

 

[Grey1]

Mad,

I have edited this posted because I thought the yellow line was the VWAP ... Sorry ...

VWAP strategy works best on stock where you can watch other players on the L2 for ur entry

This is the VWAP strategy :--

if market ( in ur case DAX ) is in positive , then we only go Long when price is below VWAP . Opposite would be true for going short.. Under no circumstance we would take a postion near the VWAP ..


Simple

 

[fowkesp]

Grey1

I thought the vwap was the orange line on MAD's chart. That seems to move around a bit - definitely not a fixed value. Or am I misunderstanding in some way?

Paul

 

[Grey1]

Sorry mate.. and thanks for the correction ,, Donot know why I thought it was the yellow one.. My appologies to mad..

The chart above shows an excellent demonstration of how VWAP can be used. One must not take a postion near the VWAP no matter what other TA indicators say ..

 

[madasafish]

Well Grey I must admit I was sceptical but having looked back over the past few days on the DAX, a VWAP based strategy defined the tops very well (DAX high today at 3821.5 was right at VWAP upper band)... and this morning's low was right at the lower band as well....

I note VWAP does change during the day.. which it will do if the day is trending n one direction .. of course if all that happens is that the day's price oscillates then VWAP should by definition change very little.

Now all I need to do is add a few scans , and tell when trends end.. (lol)

 

[Grey1]

Mad ,

The best news about VWAP is that it can control ur risk levels.. It tells you when to be out of trade and being out is a position itself.. Now that we have a bench market we can calculate our entry levels to suit our risk levels..