btw, the SMB capital Systems Trading sessions are free and held weekly - just sign up on their site. And no, I don't work for SMB or have any affiliation.
Using VWAP
Using VWAP
I recently sat in on a 'Systems Trading' webinar from SMB Capital in which the presenters claimed that VWAP is the only technical indicator they've 'tested' that actually provides an true 'edge'. According the SMB, traders for the large firms are actually paid by how close they execute to the current VWAP? I don't think anyone was using VWAP back when Earik was in Chicago but am curious if he has any thoughts or an opinion on its use? I don't even know if current W59 software offers VWAP but I'm using Sierra Charts and it allows setting of exactly what day and time you want the calculation of VWAP to begin - fwiw, I'm finding that pretty handy. If it isn't available in W59 am sure Earik could easily add?
btw, the SMB capital Systems Trading sessions are free and held weekly - just sign up on their site. And no, I don't work for SMB or have any affiliation.
btw, the SMB capital Systems Trading sessions are free and held weekly - just sign up on their site. And no, I don't work for SMB or have any affiliation.
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NDscorpini
- Posts: 200
- Joined: Tue Jul 21, 2015 10:34 pm
Re: Using VWAP
Could you post a screenshot as an example, PLEASE???
Best wishes,
NDscorpini
Best wishes,
NDscorpini
Re: Using VWAP
Hi Sean,
There should be a VWAP script in the library. I didn't write it, but I definitely remember seeing it in there. See what you think... Personally, I haven't used VWAP much, so don't have an opinion one way or the other on it. The traders that I know who worked in proprietary trading groups never said anything about trying to execute near VWAP. They got paid on how much they made, but could execute wherever their strategy told them to...
Regards,
Earik
There should be a VWAP script in the library. I didn't write it, but I definitely remember seeing it in there. See what you think... Personally, I haven't used VWAP much, so don't have an opinion one way or the other on it. The traders that I know who worked in proprietary trading groups never said anything about trying to execute near VWAP. They got paid on how much they made, but could execute wherever their strategy told them to...
Regards,
Earik
Re: Using VWAP
Hi Sean,
On the tail end of a nice long vacation so can’t go into a lot of detail here but let me see if I can give you my take on the indicator. VWAP, or volume weighted average price in my opinion is a fairly robust indicator that can be helpful in trading when, like anything else, is used correctly. A simple and effective way to use it is to think of it as an accumulation/distribution line. With accumulation naturally taking place above it and distribution below. You apparently have the ability to anchor the indicator where you choose and this is a big advantage and the proper way to use it. When anchored in appropriate locations it will also help you in recognizing market structure. Here you would anchor it to the end of an Elliot Wave formation, a cyclic bottom, or a simple swing bottom. In a bracketed market where you have a tendency for a reversion to the mean you will often see the VWAP act as support or resistance. In a really tight bracket you will often see the market “bounce around” the VWAP line. In a trending market you will want to look at the distance, in terms of price, from the VWAP to help identify overbought/oversold conditions. To accomplish this you might want to add standard deviation bands or simple price bands. You could also take it to a higher level by adjusting the bands to other dynamic studies or market statistics. Finally VWAP is often used in concert with other volume analysis tools such as Volume profiles, Delta bars, distributions, etc. A very simple example would be to look for confluence of VWAP and POC (Point Of Control) as support or resistance. Be forewarned however that there has been a plethora of these types of analytical tools that has become available to the trader lately and a lot of them are simply garbage. On the same token there are some very good ones available also but they require patience and dedication on the user’s part because the learning curve is steep. The effort however is well worth it for if you can truly master this type of analysis you will have a completely different perspective of the market then the one you hold now.
The bottom line here is that I believe the VWAP can be used effectively and profitably when used in the proper context. Back to the pool.
Joe
On the tail end of a nice long vacation so can’t go into a lot of detail here but let me see if I can give you my take on the indicator. VWAP, or volume weighted average price in my opinion is a fairly robust indicator that can be helpful in trading when, like anything else, is used correctly. A simple and effective way to use it is to think of it as an accumulation/distribution line. With accumulation naturally taking place above it and distribution below. You apparently have the ability to anchor the indicator where you choose and this is a big advantage and the proper way to use it. When anchored in appropriate locations it will also help you in recognizing market structure. Here you would anchor it to the end of an Elliot Wave formation, a cyclic bottom, or a simple swing bottom. In a bracketed market where you have a tendency for a reversion to the mean you will often see the VWAP act as support or resistance. In a really tight bracket you will often see the market “bounce around” the VWAP line. In a trending market you will want to look at the distance, in terms of price, from the VWAP to help identify overbought/oversold conditions. To accomplish this you might want to add standard deviation bands or simple price bands. You could also take it to a higher level by adjusting the bands to other dynamic studies or market statistics. Finally VWAP is often used in concert with other volume analysis tools such as Volume profiles, Delta bars, distributions, etc. A very simple example would be to look for confluence of VWAP and POC (Point Of Control) as support or resistance. Be forewarned however that there has been a plethora of these types of analytical tools that has become available to the trader lately and a lot of them are simply garbage. On the same token there are some very good ones available also but they require patience and dedication on the user’s part because the learning curve is steep. The effort however is well worth it for if you can truly master this type of analysis you will have a completely different perspective of the market then the one you hold now.
The bottom line here is that I believe the VWAP can be used effectively and profitably when used in the proper context. Back to the pool.
Joe
Re: Using VWAP
thanks Joe, appreciate your thoughts. Enjoy your vacation!
best regards,
best regards,
Re: Using VWAP
Hi again Joe,
Took your suggestion and created 'bands' around the VWAP line using 360* numbers from Gann's sq of 9 in points (27, 52, 85, 126). Initial results are quite interesting - thanks again!
best
Took your suggestion and created 'bands' around the VWAP line using 360* numbers from Gann's sq of 9 in points (27, 52, 85, 126). Initial results are quite interesting - thanks again!
best
Re: Using VWAP
Hi Sean,
Alas the vacation is over and still doing foundational work as I get back up to speed on the past few weeks. Probably won't get serious about actual trades until tomorrow. In any case glad to hear you were able to make good use of my suggestions. Going forward don't hesitate to ask if you have any other questions.
Best,
Joe
Alas the vacation is over and still doing foundational work as I get back up to speed on the past few weeks. Probably won't get serious about actual trades until tomorrow. In any case glad to hear you were able to make good use of my suggestions. Going forward don't hesitate to ask if you have any other questions.
Best,
Joe
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