Best Thread Vwap Engine

[leovirgo]

ES short at vwap was stopped out for 3.75pts (2cars: 2.25+1.50) I must admit it was a rather late entry at just 14mins before market close. Anyway, it was a valid set-up, followed the rules, but market did what it wished. Well, see you later Mr Market!

 

[leovirgo]

17th Aug Monday

Just one word for today: SELL

 

[leovirgo]

18th Aug premarket analysis

My plan is to sell short with session highs as the resistance (yellow thick lines on chart)
Setup= INDU 1way short + EQX futs reversal

If it didn't fall and INDU recovered then it could become a long set up, after two hours into the live session.

115:43BST update
INDU Cash has conflicting signals: cycle cross UP (buy above 9150cash) and yet it is in bears zone (sell).
So I will be an observer although it is very tempting to join either side of bulls and bears. One will win at some point.

 

[leovirgo]

VE for FX

VE will be used for trading FX pairs starting from September. For Fx, I am using arithmatic mean in stead of vwap. I will use it in conjunction with previously developed volatility expansion models. So watch this space!

 

[leovirgo]

Plan for 19th Aug

It's simple- keep selling at key levels until break out above them.
As illustrated on the chart attached,
NQ: sell @1572, 1580, buy break out above 1580 and pullback
ES: sell @ 981, 985, buy break out above 985 and pullback

Well it is summer week just before option expiry, so spikey swings out of idle state are not unusual.

 

[leovirgo]

Gold plan

It is setting up for a low risk BUY. An entry between 941 and 937 would be ideal to buy and hold, stop at 931. Quite a few resistance levels up there but break out after a few days is what I expect of gold.

 

[leovirgo]

20th Aug Plan

At the moment, V E is looking for a long entry but if it stays down abit, it would change the situation into a wait-and-see. I don't like VIX. Its so ready to break out.

 

[leovirgo]

Gold plan

It is setting up for a low risk BUY. An entry between 941 and 937 would be ideal to buy and hold, stop at 931. Quite a few resistance levels up there but break out after a few days is what I expect of gold.

Gold breaking out just as expected- already tested 960

 

[leovirgo]

21 Aug

Index futures
Missed one hell of a big move north. There was a pullback for an entry at 25mins into the live session but I wasn't ready as I was just logging on. Been busy this morning for the weekend's events. Now everything is at 'sell out from long' point - ES,YM,NQ all above target levels.

Just before the close update
This swift moving ship USS Nasdaq has pulled back to the mean(vwap) before final journey to Targets TP1 and TP2. YM and ES heavy as they are could not come back as far as NQ. My patience has paid off despite it is a friday evening in August. Now I will call it a day!

 

[leovirgo]

24th Aug

All futs are in bulls zone. Will look to go long.

 

[leovirgo]

25th Aug

Markets are still strong. Still another buy day. But I will be careful with entry as INDU Cash on a daily shows potential reversal pattern. However, I will not be joining sellers at this stage. I want them to go below MDMean (INDU Cash at 9313, ES at 1000, NQ 1610).

Plan = cautious buy above 1028 (ES), 1639 (NQ)

 

[leovirgo]

Fx and VE

Got a little bit of spare time to post my recent works in which VE was applied to trade fx. The same principles apply as in equity indices. Went long EG for the last few days as it is breaking out of the 3day mean range (3DMR).

After all, be it vwap or mean, it is just a level that represents the balance between supply and demand. So, the essence is, once the price is breaking out of previous three day's balance area, it has natural tedency to continue in that direction.

VE rocks (again) .....

 

[leovirgo]

26th Aug

A good day so far. Had a nice short with GJ (gbpjpy) this morning and also a quick short with NQ before it reversed upward.

It was a pain initially and anxiety was felt during GJ short. I just had to keep reminding that it was a valid trade. Wanted to short Cable (GBPUSD) but GJ was shorted in stead as they were having the same set up.

GJ - 49pips (50%) and 80 pips (50%)
NQ - just 3.50 pips.

Now that equities have reversed for a break above yMean, I will watch how it develops. In the mean time, I will post FX chart for today. I won't bother with NQ as most of my regular readers should know how to short from vwap anyway. lol..:cheesy:

 

[brutusdog]

26th Aug

A good day so far. Had a nice short with GJ (gbpjpy) this morning and also a quick short with NQ before it reversed upward.

It was a pain initially and anxiety was felt during GJ short. I just had to keep reminding that it was a valid trade. Wanted to short Cable (GBPUSD) but GJ was shorted in stead as they were having the same set up.

GJ - 49pips (50%) and 80 pips (50%)
NQ - just 3.50 pips.

Now that equities have reversed for a break above yMean, I will watch how it develops. In the mean time, I will post FX chart for today. I won't bother with NQ as most of my regular readers should know how to short from vwap anyway. lol..:cheesy:

nice one leo......come on start tearing up the fx mate thats where its at!

 

[leovirgo]

nice one leo......come on start tearing up the fx mate thats where its at!

Hi BD, nice to see you around. Yes, it is the way.

 

[leovirgo]

27th Aug

Things look choppy at the moment. No preference on the direction.

2.20update
Have some plans for NQ, buy above yMean and sell below it as marked on the chart.

 

[leovirgo]

Gold vs ES

They are correlated but ES is stronger.

 

[leovirgo]

Been busy trading fx and finishing up trading plan for fx. GBPJPY short was great. Wanted to short USDJPY but had to pass it. Enough on the plate.

On equity front, it is too weak to sell today. So watching on the sideline.

 

[leovirgo]

Money Management

I am a bit bore with this thread especially with TA methods. So let's talk about money management. It can be a boring subject, but it can't be avoided in order to complete a trading plan. My approach is to ask questions and try to answer them so that it may be a little bit easier to think it through.

What is the most important thing with money management?
It is to produce positive expectancy.

How do we achieve that?
Easy, profits must be greater than losses for one of the followings

i) a set time interval .. daily, weekly or monthly etc, or
ii) a set number of trades.

That requires historic performance or projected performance. Win:loss money value ratio and winning trade % are required to calculate expectancy of a method.

When a new method or system is launched, there is no reliable performance data to be used as a benchmark. Backtesting can be done, but it is too idealistic as it lacks human factor in the equation. Therefore, the money management frameworks tends to be geared towards ideal situation and a trader may find it hard to copy that in real live trading.

The irony is that without no reliable performance data, money management framework can't be formulated. It's like a bit of chicken and egg situation. So how do we do that?

 

[leovirgo]

Money Management 2

Define Risk

There are two kinds of risk level to determine before going ahead with money management framework- i) monetary risk and ii) technical risk.

Monetary risk
It is simply the dollar amount willing to risk for each trade. Usually it is a percentage of the account size e.g, 1%, 2% or 3% etc.

Technical risk
It is a price level at which the position will be closed, usually in a loss. It can either be fixed ( e.g, support/resistance line) or dynamic ( e.g, trend following with moving average).

Monetary risk + technical risk = position sizing

So far, it is easy to calculate position size for a given set up. In the past, I used to end up here thinking that my trading plan was complete. I know my risk, TA stoploss is there and position sizing is perfect! But there is a much bigger thing to consider.