Best Thread Vwap Engine

[leovirgo]

Plan for 5 March

INDU cash
Still bearish, will need at least 3-4 hrs to get to cycle neutral in order to go up.

@ES futs
already come down abit from yest high, below all the lines. So, even if cycles push up higher, 710 is resistance.

@NQ futs
Strongest of all, MACCI and IF cycles ready to go up again. but lower TF OB can be good short opportunities below 1107.

 

[leovirgo]

The path of least resistance

Today, all the indices were lazy chaps. I said that because they all wanted to pursue the path of least resistance.

As mentioned in previous post, most of them were below the pivot lines (various VWAPs) before the open. There was some potential to see cycle up in futures but INDU cash called the shots.

As shown in the chart, INDU cycles shifted to DOWN/DOWN and all of them were forced top down. As they were so lazy or so scared, they didn't resist and ran like horses on whips.

As for cycle entries, ES was the best with clear LTF OB signal. Enjoy the chart..

 

[leovirgo]

Good call - knowing you have to post the results here is additional pressure you don't really need to burden yourself with

thats for one. sometimes I have 4-5 stocks and indices swing/scalp trades and I can't just pick vwap engine signals from there. I don't wanna talk about all my trades either. hence the vwap(mean) lines and cycle analysis may be more helpful as food for thoughts.

 

[leovirgo]

Surprisingly NQ was the weakest today and produced a nice short entry. It looks like it is testing overnight lows of Tue/Wed after hours session.

On INDU/ES charts there is still bearishness, but the cycle is just beginning to turn up. Lets see if they will follow NQ or make its decline stop and reverse.

 

[leovirgo]

9 March '09

I was looking at the charts to go long when the markets opened. Cycles looked as if it was to lift it up abit more. Saw the markets OB at Medium TF and waited for the LTF entry only to see that it was a very good meanline rejection short trade at the OB point. Cash INDU was firmly bearish. Hence on the sideline for the day.

 

[leovirgo]

Much awaited rally came today. It broke all SR lines and even went beyond targets. (on a personal note, I am not well and not sharp today).

 

[leovirgo]

11 March

More lile a distribution at the top. There are some long scalp entries but in fact it could be a set up for a sell perhaps for tomorrow.

 

[leovirgo]

Moving to the higher ground

It's been just over a month since I started this thread and it was a fascinating journey. I've tweaked the system a couple of times - ditching 10minute for 2000 ticks was the most significant one of them. Now I have even greater change. I am moving the whole Engine to a higher timeframe.

Previously I have used 10/3 minutes cycles as the core of this engine - with 60 as a background (mainly for profit taking purposes) and ticks for the precision entry. Some entries were so good that there wasn't even a single tick against the trade. However, there are drawbacks, too. The most annoying thing is constant need for human supervision. It produced too many trades in consolidation areas and as it is semi-automated, I have to monitor it all the time to filter out unwanted entries. (It may be due to my ameteurish programming skills.) This engine is just one of my tools to trade, so I have to free myself up to do other things, hence the need for shifting gear.

From now on, the engine will be running in Daily/H1 (60minutes) environment with 2000 ticks (or equivalent) as the entry TF. That means two things
1. fewer trades and higher targets/stops; and
2. running the engine for stocks/fx etc as there will be more time available for decision-making/execution.

So, watch this space... and wish me luck..hhahaaa

 

[pedro01]

It's been just over a month since I started this thread and it was a fascinating journey. I've tweaked the system a couple of times - ditching 10minute for 2000 ticks was the most significant one of them. Now I have even greater change. I am moving the whole Engine to a higher timeframe.

Previously I have used 10/3 minutes cycles as the core of this engine - with 60 as a background (mainly for profit taking purposes) and ticks for the precision entry. Some entries were so good that there wasn't even a single tick against the trade. However, there are drawbacks, too. The most annoying thing is constant need for human supervision. It produced too many trades in consolidation areas and as it is semi-automated, I have to monitor it all the time to filter out unwanted entries. (It may be due to my ameteurish programming skills.) This engine is just one of my tools to trade, so I have to free myself up to do other things, hence the need for shifting gear.

From now on, the engine will be running in Daily/H1 (60minutes) environment with 2000 ticks (or equivalent) as the entry TF. That means two things
1. fewer trades and higher targets/stops; and
2. running the engine for stocks/fx etc as there will be more time available for decision-making/execution.

So, watch this space... and wish me luck..hhahaaa

Good luck.

In terms of consolidating periods - there are obviously some times of day where consolidation usually takes place. Other than that you can check programmatically using things like volume or ATR reduction.

Do you feel these consolidation periods are recognised too much by 'gut' and therefore can't be filtered out programmatically ?

 

[Trader333]

How will you use it for FX as there is no volume and that is needed for vwap calculation ?


Paul

 

[leovirgo]

Good luck.

In terms of consolidating periods - there are obviously some times of day where consolidation usually takes place. Other than that you can check programmatically using things like volume or ATR reduction.

Do you feel these consolidation periods are recognised too much by 'gut' and therefore can't be filtered out programmatically ?

Thanks for the comments Pete.

Sometimes, the market is just range bound before it trends, so I can't really filter them as one of them will become a runner. E.g, for some days I know the market will tank soon but I had to enter two/three times and stopped out before it broke down and then I had to re-enter at lower prices. Had I used wider stops, it would be just one trade. There is an opportunity cost, too as I couldn't take any other trades such as stocks at that particular time.

 

[leovirgo]

How will you use it for FX as there is no volume and that is needed for vwap calculation ?


Paul

Paul,

Vwap is a concept based on mean, so I use pure mean as an alternative. It is in early stage so once I can say something substantial, I will bring it here.

 

[leovirgo]

13 March Friday

There was just one trade.

Long at 1151 / Stop (1142)
Target at 1170 (just hit afterhours)
R:R = 19: 9 (2.1:1)
+19pts

All produced from vwap engine calculations.

 

[leovirgo]

16th March

Cycles indicate a reversal at the moment. For Nq100, there is a short opportunity at 1160 ( stop 1174, target 1143 ). However, market internals are still bullish. So, will wait patiently.

 

[leovirgo]

NQ prices are all June future prices, not cash.

 

[leovirgo]

Beautiful.. target hit... was on the sidelines due to bullish internals.. but still nice to see it developed according to the plan. ( this trade was called live here on my personal blog Trading with VWAP Engine: Directional Cycle Swing )

 

[leovirgo]

17 March

INDU cash cycle is still in the bullish mode, however all futures YM/ES/NQ are all cycle neutral. Daily set up for all of them is WEAK. So, there will be crosswinds for both longs and shorts.

For shorts
Hourly close below INDU cash 7185, YM 7135, ES 749, NQ 1142 will set up for a short
Or, OBEE overbought exhaustion below CASH7320, YM7250, ES762, NQ1160.

For Longs
Hourly close above the above pivot levels + 60/MTF cycle UP would set up a long entry.

On daily charts, they are close to reversal points.

 

[leovirgo]

Cycle Cross long

Long NQM09 @ 1161
Stoploss = 1153
Target1 = 1170
Target2 = open based on 60 cycle/ see behaviour at previous high 1177

 

[leovirgo]

NQ long is nicely up however other big boys are still in their weak set up. There are levels to watch, any OB below/around that levels on INDU,YM,ES are still shortable, provided that 60 is turning down.

 

[leovirgo]

Target hit

NQ long target hit at 1170. Cycle is still up and YM/ES are also up. But profit target exit should be taken due to

1. INDU cash cycle for 60 is down
2. entry timeframe (ETF) are all over bought at/around pivot areas, so it is worth closing this long trade.

So the result is +9pts.