Value Trading versus Momentum Trading

[madasafish]

and here is yesterday's ES action.. Orange VWAP. Green upper VWAP band.. defined action perfectly..

(hope I've resized piccie correctly for Paul

 

[Trader333]

madasafish,

Thanks for trying, I see that you lose definition when you resize which may be more of a pain for those trying to read your charts.
I am sure your fans would rather see a bigger chart with better definition.

It would be better if the boards automatically defaulted to a smaller width then all would be OK


Paul

 

[Trader333]

madasafish,

On your chart you have a VWAP top and VWAP bottom, how are
you plotting these ? ie is it just the high VWAP of day and low or
some other method ?


Paul

 

[fowkesp]

Weren't they standard deviation lines?

Paul

 

[madasafish]

Paul
I read Grey's link to previous posts and have added and subtracted MPD which is( HIGH -LOW)/2 of prior day..

 

[fowkesp]

Ok, thanks. Half previous days range either side then.

 

[Rognvald]

For those who have an interest in vwap and are perhaps not as well informed as some posters and for those who might like to know more about it and its uses check out

http://www.spacelike.com/fries/evwma/evwma_intro.pdf


http://home.golden.net/~pjponzo/VMA.htm

https://www.tradestationworld.com/discussions/Data/20021223162219_AT-VWA July 2001.pdf

for some intersting insights and ideas

 

[Grey1]

Thanks for the links ..

Just one point about the links above,, VMA or VWMA are time frame dependent but VWAP is not.. VWAP is just a mean of price * volume/Volume.. we donot smooth out VWAP over any time period simply because the noise level is so little to have any need for that ..

I think using any kind of Volume based MA is far better than price only MA...

 

[Rognvald]

Distinguishing point taken - I agree - the posting was for educational purposes only.

I thought that the eVWMA article was interesting as it gives examples of the relationship between price action and differing volume levels

 

[jayjay121]

hi grey, hope you don't mind answering my question as i've not seen it posted anywhere.


On most days i've noticed that when the price hits the 2sd or goes far from its vwap, it normally reverts back to vwap like you say and gives great trading signals, but what happens if it rallies all day or it's a strong trending day all day........ price will not revert to its vwap right?, not even on the retraces, as vwap does not move much and pretty much stays the same value throughout the day..........what do we do if this happens and how can we protect ourselves from this or will this not happen?, is this where our stop comes in to play?, and we just accept that this is one of the 5% of trades that go wrong with the vwap system? please clarify, i hope im making sense.


regards,

jason

 

[Grey1]

hi grey, hope you don't mind answering my question as i've not seen it posted anywhere.


On most days i've noticed that when the price hits the 2sd or goes far from its vwap, it normally reverts back to vwap like you say and gives great trading signals, but what happens if it rallies all day or it's a strong trending day all day........ price will not revert to its vwap right?, not even on the retraces, as vwap does not move much and pretty much stays the same value throughout the day..........what do we do if this happens and how can we protect ourselves from this or will this not happen?, is this where our stop comes in to play?, and we just accept that this is one of the 5% of trades that go wrong with the vwap system? please clarify, i hope im making sense.


regards,

jason

1) Stocks that have high MACCI ( OS or OB ) they often rally so we avoid them
2) Stocks that have news around them we avoid them
3) If market is very very strong then we avoid VWAP trading ( pair trading )

Like all other strategies the out come of the strategy can be measured in a long term and not couple of trading days

Grey1

 

[jayjay121]

1) Stocks that have high MACCI ( OS or OB ) they often rally so we avoid them
2) Stocks that have news around them we avoid them
3) If market is very very strong then we avoid VWAP trading ( pair trading )

Like all other strategies the out come of the strategy can be measured in a long term and not couple of trading days

Grey1

hi grey,

i was only talking about directional vwap trading, not vwap pair trading, sorry i should have said, anyway does the sames rules above keep the same? ............if market is oscilating 0- 50, then we can pair trade right?, but if its up or down by more than 50, market is trending right?, so we take directional vwap trades?, so if i take into account what you have said above i can't really take directional trades at all or was you only talking of pair trading? I think you was.

Anyway if market was strong up +50, i could look for stocks or futures that become oversold or hit the lower 2sd then buy, this would make sense, but does this actually happen in trending days, do stocks or futures actually drop that far realistically when trending to give the oppotunity?.....if they do then this is great and i suppsoe we could check the index macci also when its oversold.

One last thing, can we use the vwap benchmark the same way for swing trading? and does vwap stay the same price value no matter what time frame we look at?.......i guess it has to change value when we look beyond one day charts, like weekly charts? am i right?


many thanks,

jason

 

[Trader333]

so we take directional vwap trades?

When using the vwap indicator there were no directional trades only pair trades. If you are talking about the Grey1 vwap engine then this is not the same thing.


Paul

 

[jayjay121]

Remember the vwap signals are not based on the vwap or mpd bands. In directional trading the bands are merely risk levels not trading bands. quote from ll2.




Found the above quote and now i see what you are saying paul, So ok the bands are risk bands, so what do we use to get us into a 'directional only' vwap trade then? if we cannot use the bands?..............do we use the bands, index and macci and l2 all together as confirmation? or is there something i'm missing?.............the vwap engine gives grey his signal to get in, right? so what can we use then if we cannot use the mpd bands in this way?


jason

 

[Trader333]

so what do we use to get us into a 'directional only' vwap trade then

I don't think I can answer this question because I don't direction trade using vwap and don't use vwap in my trading any more. As such any comments I make would not be of relevance any more for this style of trading.


Paul

 

[wheezergeezer]

Details to follow I believe.


Paul

Thanks paul, much appreciated.......:clap:

 

[Glenn]

FIBBO AND VEGAS be there ,, You can ask any question about trading you wish and any thing which is not clear in my own way of trading but I give you my word that after this meeting you feel a major turn around in your trading career.

Please make sure you will be using your own NICK name to get access to the room as i can only allow members of this TT to use the room ,,

I will post the details of the room and how to get access later .

Those of you who have my "STRONG WEAK CODE " try to use it and if there is any problem i will reply as best as I can ,,


Without a shadow of the doubt Thursday will have a massive impact in your future for those of you who are dead serious to become wealthy .

Grey1

Hi Iraj
Good of you to allocate more of your time to do this.
I'd like to listen in if I may - a refresher is always useful.
(All I need then is a stable Tradestation )

Best wishes as always.
Glenn