GREY1 P/L daily

[evostik]

Hi Grey1,
Great trading!
I noticed that there were two VWAP Longs w/RIMM today (after the fact, on my part), one at 14:51-ish (for 0.92 max gain, for apprx 20 min trade), & another at 15.37-ish (for a 0.75 max gain, but would have taken an hour). Gains listed (from MPD risk band to VWAP), trade times in EU, both trades were in O/S (3 TF’s) territory for the INDU & RIMM (perfect O/S conditions).

NAS

Hi Nas

Would you mind expanding a little for me on what you mean by a 'VWAP long trade'? Do you mean it was a Strategy 3 trade but you also recignised the distance of the then current stock price to the stock's VWAP price meant there was enough 'meat' in the trade?

Thanks a lot,

Steve

 

[LevII]

Hi Nas

Would you mind expanding a little for me on what you mean by a 'VWAP long trade'? Do you mean it was a Strategy 3 trade but you also recignised the distance of the then current stock price to the stock's VWAP price meant there was enough 'meat' in the trade?

Thanks a lot,

Steve

a 'VWAP long trade' refers to a long trade taken on a buy signal from the VWAP engine at a time when other market conditions were favourable to being long.

Grey1 has explained the principles many many times if you look back over the last 2 or 3 months.

 

[evostik]

a 'VWAP long trade' refers to a long trade taken on a buy signal from the VWAP engine at a time when other market conditions were favourable to being long.

Grey1 has explained the principles many many times if you look back over the last 2 or 3 months.

Lev11, please understand that I don't have the VWAP Engine and I was (incorrectly it would seem) assuming that Nas didn't have it either. I was therefore just clarifying the terminology to try and stop me getting too confused! I assure you that I read and re-read every post in the Technical Trader Board and try really hard to only post questions when I feel I really need to. Sorry if you think I am being a pain, unreasonable or lazy - I don't mean to be.

Steve

 

[LevII]

Lev11, please understand that I don't have the VWAP Engine and I was (incorrectly it would seem) assuming that Nas didn't have it either. I was therefore just clarifying the terminology to try and stop me getting too confused! I assure you that I read and re-read every post in the Technical Trader Board and try really hard to only post questions when I feel I really need to. Sorry if you think I am being a pain, unreasonable or lazy - I don't mean to be.

Steve

Not in the slightest!

I suspect Nas has coded (from G1's posts) his own version of the 'VWAP Engine' as I doubt very much that he has a copy.

 

[Nastrader]

Hi Nas
Would you mind expanding a little for me on what you mean by a 'VWAP long trade'? Do you mean it was a Strategy 3 trade but you also recignised the distance of the then current stock price to the stock's VWAP price meant there was enough 'meat' in the trade?
Thanks a lot,
Steve

Hi evostik & LevII,

Yes you are both right, I do not have a VWAP engine. I use my own modified form with the use of excel, by providing the 3 variables to result in Upr/Lrw-MPD Risk Bands, for directional trades. I draw the lines onto a 1-Min Chart/1-Day Length) for a closer look at price action (normally just a horizontal line at the time of potential entry or view). Fwiw, if I use a 1-Min Chart/”2-Day Length”, then the VWAP price line is wrong due to the gap U/D from the previous day. I also have tables set up, which give me the VWAP prices in any time frame I’d like accurately, from my platform.

What I meant by “VWAP long Trade” was that RIMM (Oct 17th) from the L_MPD Risk Bands to the VWAP was a Long Trade Potential, with the Dow also leading the upward momentum by being O/S & going up at 9:51 am (ET-NY), 14:51 (EU). But only for this TF.

After looking at the RIMM chart again (see attached Chart), I see how I gave the wrong impression of a Strategy # 3 trade, in yesterday’s post. The 1st VWAP condition was correct, since both the Dow & RIMM were O/S and moving up for a Long (the Dow moved up at this TF coincidently till RIMM hit the VWAP line). But the 2nd TF I gave was wrong for a Long w/RIMM, since the Dow & RIMM happened to be O/S, but the Dow was going down (wrong direction for a Long trade) my error, simple as that.

Now I understand why Grey1, reply to me with “Top Down Approach” in Bold Red Letters. Funny though, I do have it burned into my memory to always use this approach (including market direction), but I failed on this one. But I learned something that I need to improve upon and be more stringent in my trading style. To be more careful and look for the Dow’s direction as well (always), I was so focused on Dow’s O/S condition that I missed the direction for the 2nd VWAP trade.

Sorry, but I could not reply till NY Market’s Lunchtime. Especially, since I am 8 hours behind EU time, while I live in US, CA, & rise for PM prep at 5:00 am (PT-CA) prior to market open at 6:30 am (PT-CA). Fwiw, NY to EU is 5 hrs, and CA to NY is another 3 hrs – LOL. I have my PC’s clock set to ET-NY times (as listed on my charts), so I don’t get confused with my own local time, but stay in tune w/market. This is no issue since this PC is dedicated to my trading platform only, nothing else.

Therefore, Top Down Approach (has 4 variables, not 3, as I mistakenly did yesterday) means to me that the Market’s Direction & O/B, O/S first, then with the Stock’s direction & O/B, O/S to follow.
Nas

 

[Nastrader]

NAS

You have to look the market first before you take a stock trade ( TOP DOWN APPROACH )..

SO ,, to ask me what time I took the RIMM trade is not going to make you any wiser.. SO the question should be " WHAT CHARTACRISTIC market was showing when I took the RIMM trade?

We made few RIMM trade and took 30C run in nearly each trade during the consoildation ( that was not enough to pay for our losses on other trades as we lost around 50C in shorting JOYG )

Now,, I took the final LONG RIMM trade with a largish pos size to cover my losses from yesterday and today @ around 8 UK time for a $2 run when MACCI diverged from the INDU ( very bulish sign ) and RIMM rallied fast

Hope this explain it

PS:-- always start with market then move to stock .. THIS IS A MUST
Grey1

Grey1, I now see why you made this statement, you saw where I went wrong. Thanks for waking me up on RIMM & market direction. I didn't see it until I took another look at yesterday's chart on RIMM.
Nas

 

[moreagr]

.

 

[moreagr]

NAS

I thought the same as you take directional trades based on mpd and macci os levels... but many others on this BB have told me that they are not trading bands but risk bands that should only be executed with a pair trade.


a few questions NAS... have you had any success with this strategy going directional only based on risk bands?... do you filter on divergences on day level?


the last few months i have been trading under vwap for bargins and they do seem to move in my favor but have been stuck with weak movers or strong downtrending stocks which has really ruined my P/L for the year I blame myself for poor risk managment

that is the problem i face right now

 

[Trader333]

Nas,

I am interested in how you have coded Excel to give what you have for VWAP. Do you have a lot of coding experience in this ?


Paul

 

[Nastrader]

NAS

I thought the same as you take directional trades based on mpd and macci os levels... but many others on this BB have told me that they are not trading bands but risk bands that should only be executed with a pair trade.


a few questions NAS... have you had any success with this strategy going directional only based on risk bands?... do you filter on divergences on day level?


the last few months i have been trading under vwap for bargins and they do seem to move in my favor but have been stuck with weak movers or strong downtrending stocks which has really ruined my P/L for the year I blame myself for poor risk managment

that is the problem i face right now

Hi moreagr,

Yes, I have had success (using small share size of 500 shs), but have made only a few of them, & yes they are risk bands (not trading bands). During those trades, it was paramount that the market 1st was O/S or O/B (same as stock), & moving in the same direction, very market dependent. Usually though I bailed early since the market direction changed and got out for under 20c. Also, I will only VWAP trades from my core watch list, stks w/daily vol > 1.5 mln; avg vol/minute > 10k minimum; stk prices btw $20 to $80; spreads < 3c; potential reward > 30c; & generally before Lunch.

I’m not sure what you mean by “filter on divergences on day level?”

What I do recommend is to only trade quality stocks with the same parameters I’ve listed above, and "not" Low Vol & cheap priced stocks (if this is what you’ve traded, since I don’t know if this is the problem).

Nas

 

[Nastrader]

Nas,

I am interested in how you have coded Excel to give what you have for VWAP. Do you have a lot of coding experience in this ?


Paul

Hi Paul,

Sorry if I misled you, but I did not code in Excel for VWAP. As I stated in my previous post # 585, “I use my own modified form with the use of excel, by providing the 3 variables to result in Upr/Lwr_MPD Risk Bands, for directional trades.”

But, I do have to manually enter the 3 variables into the excel formula I’ve constructed. The coding for this is very basic, though. I have attached the U_MPD and L_MPD Codes, which are based on Gray1’s formula.

Nas

 

[samtron]

Ok Gang,
I feeling brave
BRCM is reacting in a stange way (conf call after mkt close).
So I am going to try an Overnight (using The First/Third minute opening bars to close)
100 shares only BRCM 28.63.
watch it tank now lol

 

[Nastrader]

Ok Gang,
I feeling brave
BRCM is reacting in a stange way (conf call after mkt close).
So I am going to try an Overnight (using The First/Third minute opening bars to close)
100 shares only BRCM 28.63.
watch it tank now lol

Hi samtron,
Caution should be the word here! BRCM reports earnings after close today (Oct 19th). But these AH earnings movements have been totally unpredictable, hopefully with your 100 shs it'll work out.
(start quote)

19-Oct-06 14:50 ET In Play Broadcom: Earnings Preview (28.58 +0.09) -Update : Today after the close BRCM will report Q3 results with analyst expecting revs of $900.16 mln. Note the co is currently conducting a stock options review and may not report EPS. Amtech expects that BRCM will meet or exceed its conservative guidance of $900 mln for the September quarter. They believe that BRCM needs to reduce consensus expectations for either the Dec of March quarter to work down excess inventory and address completive challenges. They remain sellers on strength as they see downside risk to $23... Jefferies believes Q3 rev will meet or slightly exceed their est of $901 mln (-4% Q/Q). They say with expectations significantly lowered on its July earnings call due to excess inventory in its Ethernet switching, DSL and WLAN segments, they believe Broadcom has set an achievable bar for Q3 and Q4. The firm believes Broadcom's Bluetooth business rebounded from a down qtr in Q2 and is likely up 5-10% Q/Q driven by the start of production of the Nintendo Wii. The firm believes Broadcom will likely guide Q4 rev at or above consensus of $945 mln, driven by WLAN, Bluetooth, STB, and DSL. The firm says although they believe business for Q4 will improve, the stock has largely priced in the improvement in fundamentals. The firm says they continue to like Broadcom as a long-term product cycle story, but believe it will likely trade down after earnings and could be range bound in the near-term as they do not believe investors will be willing to pay higher than 20-25x forward earnings for Y/Y revenue growth of 10-15%. Click here for technical levels of interest. (End Quote}.

 

[samtron]

Hi samtron,
Caution should be the word here! BRCM reports earnings after close today (Oct 19th). But these AH earnings movements have been totally unpredictable, hopefully with your 100 shs it'll work out.
(start quote)

19-Oct-06 14:50 ET In Play Broadcom: Earnings Preview (28.58 +0.09) -Update : Today after the close BRCM will report Q3 results with analyst expecting revs of $900.16 mln. Note the co is currently conducting a stock options review and may not report EPS. Amtech expects that BRCM will meet or exceed its conservative guidance of $900 mln for the September quarter. They believe that BRCM needs to reduce consensus expectations for either the Dec of March quarter to work down excess inventory and address completive challenges. They remain sellers on strength as they see downside risk to $23... Jefferies believes Q3 rev will meet or slightly exceed their est of $901 mln (-4% Q/Q). They say with expectations significantly lowered on its July earnings call due to excess inventory in its Ethernet switching, DSL and WLAN segments, they believe Broadcom has set an achievable bar for Q3 and Q4. The firm believes Broadcom's Bluetooth business rebounded from a down qtr in Q2 and is likely up 5-10% Q/Q driven by the start of production of the Nintendo Wii. The firm believes Broadcom will likely guide Q4 rev at or above consensus of $945 mln, driven by WLAN, Bluetooth, STB, and DSL. The firm says although they believe business for Q4 will improve, the stock has largely priced in the improvement in fundamentals. The firm says they continue to like Broadcom as a long-term product cycle story, but believe it will likely trade down after earnings and could be range bound in the near-term as they do not believe investors will be willing to pay higher than 20-25x forward earnings for Y/Y revenue growth of 10-15%. Click here for technical levels of interest. (End Quote}.

Thanks for the feedback Nas its appreciated.

 

[moreagr]

Hi Nas

what i meant as far as daily divergence is that do you only look for stocks that are stronger or weaker compared to the index or sector or range bound?

also by filtering i meant that are trending up or downward... or just oscillating in a range.

the problem i have is that i would get into a stock that is trending downward to strong even when market reverses the stock would go down even further or would not go anywhere. .with stk o/s index o/s and a reversal under way but it does not follow the market... Its hard for me to know how much the specialist or market makers are planning to sell.

Hi moreagr,

Yes, I have had success (using small share size of 500 shs), but have made only a few of them, & yes they are risk bands (not trading bands). During those trades, it was paramount that the market 1st was O/S or O/B (same as stock), & moving in the same direction, very market dependent. Usually though I bailed early since the market direction changed and got out for under 20c. Also, I will only VWAP trades from my core watch list, stks w/daily vol > 1.5 mln; avg vol/minute > 10k minimum; stk prices btw $20 to $80; spreads < 3c; potential reward > 30c; & generally before Lunch.

I’m not sure what you mean by “filter on divergences on day level?”

What I do recommend is to only trade quality stocks with the same parameters I’ve listed above, and "not" Low Vol & cheap priced stocks (if this is what you’ve traded, since I don’t know if this is the problem).

Nas

 

[Nastrader]

Hi Nas

what i meant as far as daily divergence is that do you only look for stocks that are stronger or weaker compared to the index or sector or range bound?

also by filtering i meant that are trending up or downward... or just oscillating in a range.

the problem i have is that i would get into a stock that is trending downward to strong even when market reverses the stock would go down even further or would not go anywhere. .with stk o/s index o/s and a reversal under way but it does not follow the market... Its hard for me to know how much the specialist or market makers are planning to sell.

Hi moreagr,

Yes, I do look for stocks that are not only stronger, but the strongest compared to INDU, in an up market (opp for weakest in down market). Grey1 gave an excellent discussion during his last paltalk session on Oct, 11th, 06, on this topic & others that I think explain your questions, better than I can. Garthb provided us an audio of the paltalk & I believe you have a copy from him. It’s worthwhile to listen to it repeatedly. As for stocks being range bound, I won’t touch any of them if they don't have a Daily ATR(14) of at least 150c, although there are a few exceptions like NVDA, & RHAT. But if they continue to have a low daily ATR(14), then I’ll drop them like I did with MRVL.

To help my trading I do use a “Change Open %” for both my core Stocks (including $DJI, to see which stocks outperform) & core Sectors. This is where I get a quick glance on which Sectors and Stocks are Strongest/Weakest than INDU. Both lists are sorted (and color coded) by “Change Open %” Column in Descending order so that I can see the strongest stocks on top & the weakest on the bottom of the list. I usually pay attend to Sectors that have a > 1 % Change from Market Open, while for Stocks I like those > 3%. But Sectors within < +/- 0.8 % are usually oscillating in very tight ranges. But we are not trading Sectors, so I use this again for a quick glance to look for the best O/B or O/S stocks led by INDU, which is a late add to my trading thanks to Grey1. I’ve attached an excel copy of “Change Open % - means from Market Open at 9:30 (ET-NY).

As for market changing directions, it’s best to look at the longer TF’s for INDU’s intentions, since many times it’s only a minor pullback (takes our money if we went long from a 1 min chart, disregarding longer TF & O/B) and then continues down – but the change in direction could not have been confirmed by the INDU O/S or O/B indicators, unless we wait for this change in oscillations. Both longer TF’s like 3 or 5 & 10 min INDU charts must confirm that they are either O/S or O/B and it takes some time for them to change their oscillations.

Recently, the market has been very choppy, causing consolidations, and with the INDU hitting all time highs seems to cause weaknesses (non-conformity) when we least expect it. Remember, Grey1 is correct when he said, that his strategies are meant for stocks “that have No News,” since they affect the stock uniquely from INDU, at least this is how I understand it. In summary, it’s best to use the O/B, O/S oscillators with his 3 strategies he has been teaching us, with the Top Down Approach.

Also, I like to trade the NASDAQ stocks rather than “Listed stocks” since I just seem to have less success with them, although lately I have an eye out for VLO (oil related) & PD (metal related).

Hope this Helps,
Nas

 

[moreagr]

repeat sorry

 

[moreagr]

Nas,

thank you for your response!

yes i have listened to grey1's paltalk sessions and find them of real value but was wondering how you approached your strategy regarding vwap deviations.

only problem is i am still using quotetracker which does not have on the filtering and alerting capabilities that TS has.

 

[samtron]

Hi moreagr,

Yes, I do look for stocks that are not only stronger, but the strongest compared to INDU, in an up market (opp for weakest in down market). Grey1 gave an excellent discussion during his last paltalk session on Oct, 11th, 06, on this topic & others that I think explain your questions, better than I can. Garthb provided us an audio of the paltalk & I believe you have a copy from him. It’s worthwhile to listen to it repeatedly. As for stocks being range bound, I won’t touch any of them if they don't have a Daily ATR(14) of at least 150c, although there are a few exceptions like NVDA, & RHAT. But if they continue to have a low daily ATR(14), then I’ll drop them like I did with MRVL.

To help my trading I do use a “Change Open %” for both my core Stocks (including $DJI, to see which stocks outperform) & core Sectors. This is where I get a quick glance on which Sectors and Stocks are Strongest/Weakest than INDU. Both lists are sorted (and color coded) by “Change Open %” Column in Descending order so that I can see the strongest stocks on top & the weakest on the bottom of the list. I usually pay attend to Sectors that have a > 1 % Change from Market Open, while for Stocks I like those > 3%. But Sectors within < +/- 0.8 % are usually oscillating in very tight ranges. But we are not trading Sectors, so I use this again for a quick glance to look for the best O/B or O/S stocks led by INDU, which is a late add to my trading thanks to Grey1. I’ve attached an excel copy of “Change Open % - means from Market Open at 9:30 (ET-NY).

As for market changing directions, it’s best to look at the longer TF’s for INDU’s intentions, since many times it’s only a minor pullback (takes our money if we went long from a 1 min chart, disregarding longer TF & O/B) and then continues down – but the change in direction could not have been confirmed by the INDU O/S or O/B indicators, unless we wait for this change in oscillations. Both longer TF’s like 3 or 5 & 10 min INDU charts must confirm that they are either O/S or O/B and it takes some time for them to change their oscillations.

Recently, the market has been very choppy, causing consolidations, and with the INDU hitting all time highs seems to cause weaknesses (non-conformity) when we least expect it. Remember, Grey1 is correct when he said, that his strategies are meant for stocks “that have No News,” since they affect the stock uniquely from INDU, at least this is how I understand it. In summary, it’s best to use the O/B, O/S oscillators with his 3 strategies he has been teaching us, with the Top Down Approach.

Also, I like to trade the NASDAQ stocks rather than “Listed stocks” since I just seem to have less success with them, although lately I have an eye out for VLO (oil related) & PD (metal related).

Hope this Helps,
Nas

Cheers Nas,
I also try implement a similiar rationale to the one that you excently decribed above; but I have found that gappers can distort the picture, (ie a stock gaps up say 7% but then sells off slowly, will allways appear near the top of the %change column ), have you found and easy way to cater for these?


PS made a profit on my overnight BRCM trade (more luck than judgement ) the stock was very active in the post market the evening I bought).

 

[garethb]

Samtron

Glad you made a profit on BRCM. I wasn't watching it at the open but looking at the chart afterwards I thought there was opportunity for a profit or a loss in the 1st minute alone and if you had hesitated you would have lost it. Well done


Gareth