VWAP Deviation Reversion Strategy

[bluebellmk]

I have also paid a coder to type the strategy into an algo to be run through ninja, I will of course test the algo again on the micros to make sure everything is in order.

 

[bluebellmk]

Hi to anyone who cares to read my journal. Today's trading is finished for the day. 3 trades taken in total 2 winners and 1 scratch trade. Total profit was $56.24 bringing the total on this micro testing for this strategy to $153.56.

As always trades taken below:

Trade summary below:

 

[bluebellmk]

Zero trades today, waited patiently all day but I have a hair cut at 4pm that is long overdue now the barbers are finally open.

We came close to getting filled but in the end we was not.

@Trader333 the advice about starting at the 2nd deviation has been a massive beneficial, stopped overtrading which has always been my downfall.

Looking forward to starting on the Emini shortly

 

[Trader333]

Zero trades today, waited patiently all day but I have a hair cut at 4pm that is long overdue now the barbers are finally open.

We came close to getting filled but in the end we was not.

@Trader333 the advice about starting at the 2nd deviation has been a massive beneficial, stopped overtrading which has always been my downfall.

Looking forward to starting on the Emini shortly

Letting the trade come to you as opposed to forcing a trade when conditions are not optimum helps with maintaining discipline and is generally lower risk in my view. One of the main keys to successful trading is "capital preservation" which in itself requires patience. If you have a trading edge then over time you will make money so long as you stick to taking trades based on that trading edge.

 

[bluebellmk]

There will be no trades this week as I am away in the Lake District.

 

[bluebellmk]

So had to return from my holiday early due to an injury which meant a walking holiday would of been no fun !

One trade taken today which was $29.06 profit. Total running profit on the strategy is $182.62

 

[bluebellmk]

Hi Guys,

Just thought I would update, I have began using this strategy on Oil futures as well as ES. Obviously this thread hasn't got much traction & quite a bit of effort goes into the screenshots etc.

Will just post my trades weekly instead

 

[bluebellmk]

Hi Everyone,

So the strategy has been scaled up to the full eminis. I have found that on Oil I get many more signals. The total profit for the last 2 weeks was $2725 gross.

I have been more aggressive with averaging down on trades, this could be a good or a bad thing ... time will tell.

Results below:

 

[Trader333]

You may already have said but how are you deciding where to place a stop ?

 

[bluebellmk]

initially 2 atr based upon the 15 min chart after the 3rd deviation.

But since I took your advice and started trading from the 2nd I have been averaging down to scratch I.e placing another entry at the 3rd Dev

 

[Trader333]

...I have been averaging down to scratch I.e placing another entry at the 3rd Dev

On a strongly trending day that is a bit risky in my view. What would you do if the market kept moving away from your entry at the 3rd SD and at what point would you close the trade ?

 

[bluebellmk]

2 ATR 15 min past the 3rd deviation mate.

My thinking is I would rather risk that little bit more to have the chance of a scratch.

 

[bluebellmk]

On a strongly trending day that is a bit risky in my view. What would you do if the market kept moving away from your entry at the 3rd SD and at what point would you close the trade ?

You are correct 100% just had a $2700 swing today was $1000 up but finished today $1700 down.

 

[Trader333]

You are correct 100% just had a $2700 swing today was $1000 up but finished today $1700 down.

Hmm, well it is all a learning curve and hopefully not one that is too costly

 

[VincentM]

I would love to hear how this strategy has been going or if you've abandoned it.