ES Journal Archive (2009 - 2010)

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Quote from Lawrence Chan:

VWAP bots doing their job by buying below current day VWAP or selling above current day VWAP.

If there are pending orders that must be executed on a strong trend day, these hidden orders will flood into the market once the price reverted back into VWAP for the stock, turning that price level into support/resistance.
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LC:

i think i read it somewhere that vwap usually acts as a support or resistance. Is it a major or minor? How do we know if there are hidden orders?

in a strong day, should we long when the market pull back to vwap. In a weak day, should we short when the market rebounces back to vwap level? For sideway market, it will close at around vwap level?

In general, how do we use vwap in our trading plan?
 
Quote from yip1997:

LC:

i think i read it somewhere that vwap usually acts as a support or resistance. Is it a major or minor? How do we know if there are hidden orders?

in a strong day, should we long when the market pull back to vwap. In a weak day, should we short when the market rebounces back to vwap level? For sideway market, it will close at around vwap level?

In general, how do we use vwap in our trading plan?
More...

The answer is that you don't know if there are pending orders unless you are the one monitoring the bots. (I have tools that tell me if orders flood in at VWAP on the component stocks. So I have an extra confirmation.)

A strong trend buy day always turn at or above VWAP in the morning. Check it out yourself.

If you counter-trend on such a day, light up at VWAP can save your day.

And it is NOT the moving average type VWAP, I am refering to the current day only VWAP.

Edit: Summary - Using ES VWAP is a proxy to where many components are, say, near their respective VWAPs.
 
Quote from Lawrence Chan:

The answer is that you don't know if there are pending orders unless you are the one monitoring the bots. (I have tools that tell me if orders flood in at VWAP on the component stocks. So I have an extra confirmation.)

A strong trend buy day always turn at or above VWAP in the morning. Check it out yourself.

If you counter-trend on such a day, light up at VWAP can save your day.

And it is NOT the moving average type VWAP, I am refering to the current day only VWAP.

Edit: Summary - Using ES VWAP is a proxy to where many components are, say, near their respective VWAPs.
More...

Thank you, LC.

I have been monitoring cumulative VWAP (the term that is used in TOS) since you mentioned it some time ago.

Do you use the slope of cumulative vwap to determine if it is a trend day? A strong day usually doesn't have a vwap with negative slope. I am thinking of using the slope of vwap for long/short indication.

Here is my plan. Don't know if it makes sense:
1. short the market when price crosses vwap with declining vwap. (but sometimes, it doesn't give you a good r:r ratio)
2. long the market when it pulls back to around ascending vwap.
 
Quote from yip1997:

Thank you, LC.

I have been monitoring cumulative VWAP (the term that is used in TOS) since you mentioned it some time ago.

Do you use the slope of cumulative vwap to determine if it is a trend day? A strong day usually doesn't have a vwap with negative slope. I am thinking of using the slope of vwap for long/short indication.

Here is my plan. Don't know if it makes sense:
1. short the market when price crosses vwap with declining vwap. (but sometimes, it doesn't give you a good r:r ratio)
2. long the market when it pulls back to around ascending vwap.
More...

Answer to your question - no.

And on your plan - no idea because I have not tested that myself
 
Thanks for the education. Is the tool you are using also tick based?
Quote from Lawrence Chan:

The answer is that you don't know if there are pending orders unless you are the one monitoring the bots. (I have tools that tell me if orders flood in at VWAP on the component stocks. So I have an extra confirmation.)

A strong trend buy day always turn at or above VWAP in the morning. Check it out yourself.

If you counter-trend on such a day, light up at VWAP can save your day.

And it is NOT the moving average type VWAP, I am refering to the current day only VWAP.

Edit: Summary - Using ES VWAP is a proxy to where many components are, say, near their respective VWAPs.
More...
 
Quote from wohc:

Thanks for the education. Is the tool you are using also tick based?
More...

Yes, tick level data analysis on all components :)

VWAP on ES, however, does not need tick data to be pretty accurate.
 
The definition of trend is very subjective and mostly depends on the timeframe. Just because we are in a bearmarket that doesn't mean we can't rally 50 points in 2 days.

Oupps, we just did! Damn that downtrend!! :)
 
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