Best Thread Vwap Engine

[leovirgo]

In the end, it means: If prices are above VWAP of current session and if VWAP of current session is higher than VWAP of the previous session, I would look for buying a retracement to current VWAP, if confirmed by other indicators. If this happens repeatedly, much the better.
:cheesy:

Add 2 more days' vwaps, if they all line up nicely then aim for 1 Day ATR move.

That's how you've come round to the basics of my VE.:cheesy: ( see this post #402)

 

[leovirgo]

Expected move

I find that Daily ATR is a good benchmark for short term trading. Stocks, forex or futures, they almost always move 1 Day ATR on a normal trading day. On trending days and break outs, Day ATR is rising.

So, I try to imagine a possible Day ATR move from day's low/high before entering into a position. Then try to compare potential move with the stoploss distance to calculate a potential R:R ratio.

 

[leovirgo]

This is cable break out with vwap engine method. I was abit late to enter at 7/8am as it had already gone half way. Current day's vwap(mean) is above yMean and 20MA (red dotted line) acted as a trend line.

chart

 

[leovirgo]

ATR and targets

Someone asked me why I am scalping with vwap engine on forex thread as previously I was aiming for major portion of DayATR. That sounds true although my intention is different. I still wanna aim for DayATR move.

Comparison between DayATR move and 60ATR targets

H1 ATR
Using 1 H1 ATR risk for 2.2 H1 ATR return ( R:R = 1:2.2)
so, anything better than 33% win:loss ratio will give a positive expectancy

DayATR
DayATR : H1 ATR = 4:1 ( sometimes 6, sometimes 3, usually between 4 and 5 )

If DayATR move is aimed for, then stop required is about 2x H1ATR to allow breathing space.
R:R is still 1:2.

Best R:R
If smaller stoploss is used, i.e, 1 H1ATR, for DayATR (4 H1ATRs) return then R:R will be 1:4, best of both worlds. Then, the probability of getting such moves is reduced.

 

[mmembrana]

Hi, leovirgo!
I am wondering if you have a fully automized system on yout VWAP engine?
Can this system be coded solely, or it requires some intuitive entrace filtering?
if the system is working as the black box, then what are the real results of the backtesting?

 

[leovirgo]

Hi, leovirgo!
I am wondering if you have a fully automized system on yout VWAP engine?
Can this system be coded solely, or it requires some intuitive entrace filtering?
if the system is working as the black box, then what are the real results of the backtesting?

Hi mmembrana, it isn't a fully automated system. It's more of a framework. I did have it automated in earlier days but it was pc-resource-extensive and then I shifted it to higher TF and there was no need to automized it.

I am taking this opportunity to tell you all that I am considering about a trial with 'automated version' until 5pm UK time (12pm ET). So, watch this space (again).

 

[leovirgo]

My set up

This illustrates the way I trade.

 

[henkvanhirtum]

Re: My set up

This illustrates the way I trade.

Amazing stuff Leo! Can you explain how the blue and magenta lines and boxes are constructed?

 

[leovirgo]

Re: My set up

Amazing stuff Leo! Can you explain how the blue and magenta lines and boxes are constructed?

I use Open, High, Low, Close data from daily bars.

 

[leovirgo]

VE was brought back alive by Mr Market today and it gave a nice clean short level for NQM10 @2010.

Trades were called live on fx live calls thread. http://www.trade2win.com/boards/for...ading-live-calls-set-ups-322.html#post1107158

This is the entry level chart, VE uses Day, equivalent of H4 & H1 & M10 timeframes in ticks.

 

[leovirgo]

Index futures ES,NQ,YM all rallied in late day moves.. they are trading in positive territories.. It is within VE's expectation as it is not in a swing mode yet. I will be closely watching them.

 

[leovirgo]

I am going live with semi-auto engine.. a picture says a thousand words

 

[leovirgo]

this is NQM10 with the engine... smashing

patience is a virtue in deed