Best Thread Vwap Engine

[leovirgo]

NQH09
A number of short trades with hardly any luck. It was strong set up in the beginning and only turned bearish later on. Price action is choppy at LTF where the system works so had to take small losses.

Result: -1.5pts ( run up +5pts)

Stocks: PG = +40C, WFC +2C (breakeven)
Good to see it working in stocks .

 

[leovirgo]

Initially, NQ showed strength but it was shortlived. Market sold off with virtually no resistance from bulls. Had a number of sell signals but managed to take ONE short due to disconnections. Had to call TS desk to close the position as internet here is %$£&****. This carribean island is such a beauty but internet is ... phewwwwwwww. Anyway, vwap engine still rocks!

Result: +4.5pts
(just lost the connection a minute ago..)

 

[leovirgo]

Vwap Swing Engine

Today, original vwap engine was taking choppy trades, resulting in -6.5pts on NQ. Basically it was trying to sell below vwap which was acting as a support.

Hence, I've decided to take actual trade with a new SWING ENGINE for mean reversion. This move is mean reversion so it can only be taken with higher TF in the back- and the result - a cool 21pts from this move.

Internet was unstable at times so it was exited with a conservative limit order, rather than 100% target from 60Minute chart (1173). It reached there later.

240Minute chart is for reference only.

vwap engine = -6.5pts (NQH09)
vwap swing = +21pts (equivalent long on QLD ETF)

 

[Trader333]

How are you deciding where to enter the trade ? I have looked at your charts but I am not clear on this ?


Paul

 

[leovirgo]

How are you deciding where to enter the trade ? I have looked at your charts but I am not clear on this ?


Paul

No you won't because it needs more pieces of jigzaws. I didn't want to swamp that post with too many charts- it was one of the best combinations I can get for a mean reversion trade thats why I started taking actual trade while testing the method.

You need to see Market Internals (they were bullish today, pls check $ADD) and up cycle in ever important 10min chart. Actually I took two long trades, the first one was out at break even after it reached target1 (1155 NQ) and fell back to vwap. As 60 cycle was up and internals were bullish, I knew it would attempt to break yMean which was acting as a ceiling and would eventually reach target2(1165) and target3(1173). I will posts more charts later if it helps. thanks for your interest!

 

[leovirgo]

How are you deciding where to enter the trade ? I have looked at your charts but I am not clear on this ?


Paul

Paul

Here is the missing piece for yesterday. Based on that and 60minute cycle, NQ at LTF picked up the low risk entry to go long. now 80% of my engine is exposed!! lol..

 

[leovirgo]

vwap engine update

ok, vwap engine needs some improvement. I talked about the use of ticks rather than fixed time interval charts (at lower time frame). Tick chart has a major advantage - it adjusts to liquidy in the market not only for out of hour session but also for the volatile swings. See the chart for comparison - the cycles are much more tradable.

Vwap engine was still using 10min chart hence it was caught in some whipsaws and missed the last move UP although it went long from 1158.75, run up till 1169 and out with cycle exit at 1165.50. It barely covered earlier small losses. (net for the day -3pts) On the last leg up, it missed the whole thing.

Verdict: After nearly one month of forward testing, 10minute chart has to go. Still use 10min chart for cash markets such as $INDU etc.

The next step for vwap engine may be to get rid of most indicators ...

 

[leovirgo]

The dilemma is still - cash market cycle or futures cycle?

 

[Trader333]

Thanks for the update and for what it is worth personally, I would use cash cycle.


Paul

 

[pedro01]

The dilemma is still - cash market cycle or futures cycle?

Why not backtest both ?

I did some testing on a breakout system that works well in volatile markets with a profit factor of around 2.44, 40% win rate.

I tried to get it to follow cash but trade futures and the results were never as good as running it directly on the futures. This goes against a certain guys wisdom but since that time I have been forward testing it on futures & it has been doing fine.

 

[leovirgo]

A picture says a thousand words!!

 

[leovirgo]

market tricks ...

short @ 1125.50 (vwap)
target 1 @ 1118
target 2 @ 1112.75

set breakeven + afew ticks when it reached target 1. came back up and out with small pts.

"After 8.30pm no more trade rule" kicked in and then it fell again to target2!!

 

[leovirgo]

Why not backtest both ?

I did some testing on a breakout system that works well in volatile markets with a profit factor of around 2.44, 40% win rate.

I tried to get it to follow cash but trade futures and the results were never as good as running it directly on the futures. This goes against a certain guys wisdom but since that time I have been forward testing it on futures & it has been doing fine.

As a benchmark market cycle, cash market is the most appropriate.

Are you taking actual trades with your breakout system?

 

[leovirgo]

Today I missed a very nice swing short entry. Managed to scalp the decline but it was hardly impressive.

Weak set up, OB at LTF and hit the low of yesterday - perfect short entry. I saw it and just didn't take it expecting an entry at higher place. Must have shorted it when it was rejected at 1112 area. As it is a swing, it is not automated and was also looking something else - hence missed an opportunity.

Early scalps were losers though they were small. Finally, two successful scalps made my day. Scalping is so hard when compared to swinging. I will consistently take swing etries from now on.

Result: +4.25pts only

End of the day positive

 

[leovirgo]

just for fun.. click here Escapa!

I need to hold it for 26 secs.

 

[leovirgo]

Plan for 3 March

NQ boxed between SR lines. Still bearish zone, so IF cycles permit, will go long towards the SR lines where it will be shorted for re-test. Any OB in between can be sold off, too.

 

[leovirgo]

3 March '09
This is what's happened. It went up and OB. A nice short entry..

 

[leovirgo]

4 March 1700hrs update

60MC is still up, after giving a nice long entry at 1099. 1130 seems like a stretch. Internals are bullish. So will not short for the moment.

 

[leovirgo]

I've decided not to post my actual trades because I want to discuss the trades without emotions. Also, I will include market internals here to complement the trades.

Today, market internals were bullish, NQ 60cycle was up and it produced at least two long entries. The first one was mentioned in the previous post. Another long entry was 1112 around 19:00hrs. Exit at all TF OBEE (overbought exhaustion exit ) at around 1122/23.

And there was a nice reveral short entry at 20:30hrs (usual reversal time). It is because of unusual bearishness in volume delta despite the market breadth ($ADD) being very bullish. This can be seen in $INDU chart.

have a nice day!

 

[pedro01]

I've decided not to post my actual trades because I want to discuss the trades without emotions. Also, I will include market internals here to complement the trades.

Good call - knowing you have to post the results here is additional pressure you don't really need to burden yourself with