The Complete Vwap Strategy

[Trader333]

No it cant do because VWAP requires volume in its calculation and on FX there is no volume (or I should say no measured volume).


Paul

 

[TheBramble]

vwap Trade - Entry Criteria

We're pair trading and both of the selected stocks are close to their respective vwap bands.

We're looking to enter the short side first.

Do we go into the short trade:-

a) when the price drops below the lower vwap band
OR
b) after it's dropped below the lower vwap and then pulled back to a predetermined level above it
OR
c) dropped through and pulled back above it for the second time to a predetermined level

AND

What are we looking for the LONG stock to be doing at this time - the same? Just at/above upper vwap?? -

- before deciding to enter the short side?

 

[Trader333]

For the Short trade we are looking for the price to go through the Upper vwap band and not the lower as you have said. People differ slightly on when they would enter. Some will enter as soon as the upper band is passed through where others would wait for it to come back inside the band. In either of these cases we would want the MACCI to be above 100 at the point where it crossed the upper band.

That said the most important part of entry is to place the Short at an appropriate price determined by the play on the Level II screen.

Once the Short trade is filled go Long at Market for the other half of the pair trade so long as the spread is not too wide and it has been below its Lower vwap band with MACCI having been at -100 or less when it passed through the lower band.


Paul

 

[TheBramble]

I just realised I got that the wrong way round, but that is what I meant. Thanks for expanding on that Paul.

I'm still none the wiser on how you determine which level on the LII screen (directional or pair) to use as a target.

Are there any trading room sessions planned for this week?

 

[Trader333]

I dont know, Grey1 is obviously away and to be honest I am not comfortable running them myself.


Paul