VWAP Deviation Reversion Strategy

bluebellmk

Member
51 5
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

Member
51 5
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:

VWAP 0907.PNG


Trade summary below:

TRADE SUMMARY 0907.PNG
 
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bluebellmk

Member
51 5
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

VWAP 1007.PNG
 

Trader333

Moderator
8,652 980
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.
 
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bluebellmk

Member
51 5
There will be no trades this week as I am away in the Lake District.
 

bluebellmk

Member
51 5
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

VWAP 1607.PNG


TRADE SUMMARY 1607.PNG
 

bluebellmk

Member
51 5
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
 
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bluebellmk

Member
51 5
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:

performance 3.1.PNG

PERFORMANCE 3.2.PNG
 

bluebellmk

Member
51 5
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

Moderator
8,652 980
...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

Member
51 5
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

Member
51 5
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.
 
 
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