Quote from hypostomus:
They take it back by fading market order direction. Look at today's VWAP (I'm generalizing from NQ). It is almost indistinguishably close to the open.
The VWAP stuff is an interesting "theory". I respect that you are an avid mathematician of sorts so I will presume you have done your homework. VWAP is similar to anything MP (market profile) related as I am sure you know. My issues with all that jazz was two-fold which I presume, you already know.
Establishing an average price tells you nothing about what is happening now. In other words, it's context is the "hard left" side of the screen. As with MP, looking at the balance of some context whose boundary is the present moment has the issue of being skewed to the past which I presume you accept. On days like today, it looks to be a champ simply because of the ranging. If you pull any lateral region whether be a pennant of any size or lateral of any length, your VWAP/MP analysis will run the line straight down the middle of the formation. It works at this region because the operating point caters to this type of analysis. Of course the issue is then what happens when it trends, then the Price Volume distributions winds up adding fat tails where the "hard right" of the chart is fattening the tail side of the distribution.
I had to lay the MP stuff aside when I noticed that despite it's lengthy history and respectable results, it can still be improved on in a couple of ways.
Elsewhere you mention market makers etc... However, I have yet to filter out such an entity in arena's as large as ES/NQ. In equities, I understand how they can be. Thinking back to the folks who tried to corner the silver market, is it your understanding that such entities are prevalent in the futures market? That would be an enormous amount of contracts that they would have to flip without being noticed which is contrary to the PRVing we had seen for most of the day...
I consider myself to be a dummy. And I believe the statement that one can learn alot from a dummy. Again, consider me to be a dummy.
Kind Regards,
MAK