A VWAP system simulated performance

jayjay121 said:
great link there dcraig,

interesting to see that traders on that forum are using vwap in trading futures markets such as er2, I was not aware that vwap could work in futures markets.

Also they seem to be using the vwap in a different way to grey........they wait for the price to touch vwap before trading and take profits at 1st and 2nd deviations.....I wonder why they do this?......I would have thought buying or selling at the extremes of the vwap price would be best and then exiting once price touches vwap.

I'm going to read through the whole threads there on vwap, maybe i can gain more insight..............thanks again for the link.


jason
Click to expand...

It is my observation that some stock index futures do "notice" VWAP. It does sometimes act as support and resistance. I recall seeing 500 contracts sitting on inside ask right on the VWAP on the DAX - an exceptional number when you consider normal conditions are maybe around 1 to 10. The order was taken out in a flash on a news event. The seller clearly wanted to get rid of them at VWAP.

I think DAX and asian markets such as K200 and Nikkei take "more notice" than US markets.

Having said this I don't have any strategy for utilizing VWAP in any systematic way.

I guess that if VWAP is important in the underlying cash market, that must flow through in some way to the futures. It is a complex issue and this thread is proably not the right place for it.
 
What if????

What would you guys do if you got conflicting signals;

ie. you were currently short within a swing trade, but got a intra day signal long on the same stock, what would you do, exit short??? reverse short go long???

Glen
 
Last edited:
belflan said:
What would you guys do if you got conflicting signals;

ie. you were currently short within a swing trade, but got a intra day signal long on the same stock, what would you do, exit short??? reverse short go long???

Glen
Click to expand...

They are two separate trades with different set ups ( i.e, position size, stop, target if any, and exit strategy). Therefore, trade them separately if you can.

I would usually ignore a few intraday trades within a swing trade. You may adjust your position size but it's not worth an effort.
 
belflan said:
tonights P/L =

-$358


account balance =

$25,786

View attachment 31758
Click to expand...

Hi

Just noticed your spread sheet,

Today

GA falls 23C , FITB falls 22C one loses 345$ the other loses 174$ They are suppose to lose the same amount so the risk is not evenly distributed
T gains 13 ,, CCE loses 7C then The amount of gain is 84$ but the amount of loss is 95$. Again this is an obvious error. Not an even distribution of the risk

Yesterday

CE gains 69Cents and wins 414$ but ARTC loses 49Cents and loss is 735$. This is miles out. the loss should have been around $290 not 735$


Day 11

SOLF wins 16Cents amount of win is 86$, PLTE loses 7 cents amount of loss is $263, again miles out


Every day there seems to be the same problem ,,, The risk and your pos sizing is not correct, Which means the risk level for each stock is different and miles out.


Now

Are you using correct figure for 15 MIN ATR ? if yes then you can manually add or deduct from the position sizing to adjust the risk level while the trade starts, In another word if the stock moved say 5Cents and you lost 100$ make sure this applies to the opposing stock too ,,

The best way around correct pos sizing would be the use of volatility envelope which I have not discussed


Thanks for such a good job but we need to manage the risk of each trade other wise as seen above the win and loss becomes in correct.

Grey1
 
Grey1 said:
Hi

Just noticed your spread sheet,

Today

GA falls 23C , FITB falls 22C one loses 345$ the other loses 174$ They are suppose to lose the same amount so the risk is not evenly distributed
T gains 13 ,, CCE loses 7C then The amount of gain is 84$ but the amount of loss is 95$. Again this is an obvious error. Not an even distribution of the risk

Yesterday

CE gains 69Cents and wins 414$ but ARTC loses 49Cents and loss is 735$. This is miles out. the loss should have been around $290 not 735$


Day 11

SOLF wins 16Cents amount of win is 86$, PLTE loses 7 cents amount of loss is $263, again miles out


Every day there seems to be the same problem ,,, The risk and your pos sizing is not correct, Which means the risk level for each stock is different and miles out.


Now

Are you using correct figure for 15 MIN ATR ? if yes then you can manually add or deduct from the position sizing to adjust the risk level while the trade starts, In another word if the stock moved say 5Cents and you lost 100$ make sure this applies to the opposing stock too ,,

The best way around correct pos sizing would be the use of volatility envelope which I have not discussed


Thanks for such a good job but we need to manage the risk of each trade other wise as seen above the win and loss becomes in correct.

Grey1
Click to expand...

thanks for the post Grey1

i believe my positions sizing works similar to Paul ATR RS code

but i will look into this later on tonight

cheers
Glen
 
Grey1 said:
Hi

Just noticed your spread sheet,

Today

GA falls 23C , FITB falls 22C one loses 345$ the other loses 174$ They are suppose to lose the same amount so the risk is not evenly distributed
T gains 13 ,, CCE loses 7C then The amount of gain is 84$ but the amount of loss is 95$. Again this is an obvious error. Not an even distribution of the risk

Yesterday

CE gains 69Cents and wins 414$ but ARTC loses 49Cents and loss is 735$. This is miles out. the loss should have been around $290 not 735$


Day 11

SOLF wins 16Cents amount of win is 86$, PLTE loses 7 cents amount of loss is $263, again miles out


Every day there seems to be the same problem ,,, The risk and your pos sizing is not correct, Which means the risk level for each stock is different and miles out.


Now

Are you using correct figure for 15 MIN ATR ? if yes then you can manually add or deduct from the position sizing to adjust the risk level while the trade starts, In another word if the stock moved say 5Cents and you lost 100$ make sure this applies to the opposing stock too ,,

The best way around correct pos sizing would be the use of volatility envelope which I have not discussed


Thanks for such a good job but we need to manage the risk of each trade other wise as seen above the win and loss becomes in correct.

Grey1
Click to expand...

Grey1
Ok,

Taking yesterdays GA and FITB trades as an example

When I originally started forward testing this strat my positioning would have been;


Using my risk model at start of thread (that was incorrect);

Yesterdays position in GA would have been:

1/6 of funds available to buy stock / stock price =

($20,000) / ($11.41) = 1,752 shares


Yesterdays position in FITB would have been:

1/6 of funds available to buy stock / stock price =

($20,000) / ($27.28) = 733 shares

You advised that this was incorrect position sizing and that the least way to do this was to base position sizing on ATR (or multiples of ATR similar to Paul’s code)



Using my interpretation for ATR position sizing

Yesterday’s position in GA would have been:

(Risk % * account balance) / (ATR * Factor) = number of shares

(1% * $30,000) / ($0.10 * 2) = 1,500 shares


Yesterday’s position in FITB would have been:

(Risk % * account balance) / (ATR * Factor) = number of shares

(1% * $30,000) / ($0.19 * 2) = 789 shares


I’m starting to think position sizing for a market neutral strat is not as simple as I first thought it would be.

If you have the time I would appreciate if you would work through the example above to give the position size that you would have used on GA and FITB.

If you do this I have no problem working back through the rest of the trades to show how this would have played out with your/the correct position sizing.

Thanks for your help
Glen
 
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won't be looking into this strat again until new year probably in much detail due to the poor performance start (it would have been up around $760 tonight out of interest)

I think to do the job right (make it profitable) there will need to be additional filters (VWAP may be a good start)

if anyone could send me VWAP & upper/lower bands code for TS2i that would be great.:cool:
 
belflan said:
won't be looking into this strat again until new year probably in much detail due to the poor performance start (it would have been up around $760 tonight out of interest)

I think to do the job right (make it profitable) there will need to be additional filters (VWAP may be a good start)

if anyone could send me VWAP & upper/lower bands code for TS2i that would be great.:cool:
Click to expand...

Glen

email me if you still need this and I will get it to you in the morning.

Cheers

Steve
 
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