Yan Vas 

Thank you Jonny Boy! Either I don't see the differrence, or we have different VWAP.

Sorry, I am not seeing your point here? Can you expand please?

JonnyBoy 

Sorry, I am not seeing your point here? Can you expand please?

I did not understand correctly. I thought that you have a building
VWAP and SD depends on the selected Tick value, namely 987. But after reading your message in more detail, I realized that this is not so.

Can you elaborate what you mean by the next level? I am kind of on the same path .

I don't have ninja trader. Any resources for the relative beginner how to maximize use of VWAP (I know what it is, not THAT beginner).

Maizietrader 

@JonnyBoy, I am always around reading and learning here –thank you @Big Mike. VWAP is big part of my trading and I was trying to articulate it more (e.g dividing the day and targets into VWAP units) and you have just took it to a different level and opened my eye to a truly amazing way of looking at all that. Thank you for sharing your hard earned knowledge.

yoyotrader1 

Can you elaborate what you mean by the next level? I am kind of on the same path . I don't have ninja trader. Any resources for the relative beginner how to maximize use of VWAP (I know what it is, not THAT beginner).

There is plenty of information within this thread. NinjaTrader isn't a pre-requisite to be able to learn VWAP setups. You just need to put in the inordinate amount time it takes to recognise them live, know when NOT to take them and learn when to leave profits to run. This thread is a BIG step in that direction already.

(pasted screenshot)


I took the liberty of modifying the relevant template VWAPs from RTH to ETH. My screenshot juxtaposes an NQ RTH VWAP chart on top and an ETH VWAP chart of NQ on the bottom.

I'm going to play around with trading these two to look for additional entries and potential confirmation. The screenshot covers roughly 6:45 AM EST to 12:45 EST, and you can see there are TONS of valid VWAP-related entries on the ETH chart (many with little draw down.

The problem with trading the VWAP based off RTH is the limited time frame. It takes hours for the bands to develop to the point where there is a significant gulf between different SD values. I think in the context of a series, this makes the ETH bands more statistically actionable since they started building @ 1700 EST (5:00 PM EST) the previous day. By 6:45 AM EST, I have almost 9 hours worth of data. That's more than the entire RTH trading period.

I'm going to dig into this more, but my hypothesis is that the VWAP setups on the ETH chart have a higher success rate than RTH, along with more opportunities. I'm using the same parameters, entries, SLs and TPs as the RTH setups. If both charts VWAPs are valid, there's no reason in my mind not to trade them both to potentially hit daily goal or nut faster.

JonnyBoy, thank you much for the meticulous and informative post! I incorporated your template with the strat that I currently trade and it works wonders! I also use it on MES during the overnight session (ETH) to swing trade the MES. Here is the chart I use for ES during the RTH.
Thank you again!



(pasted screenshot)

yoyotrader1 

Can you elaborate what you mean by the next level? I am kind of on the same path . I don't have ninja trader. Any resources for the relative beginner how to maximize use of VWAP (I know what it is, not THAT beginner).

I use Sierra Charts which I love. Tried many platforms and this one stands out for me.

What I mean by next level is how @JonnyBoy explained in details action around the bands. I came across a VWAP band by chance. I wanted to make the VWAP big so I added 0.2 band around it to just see it and to remind myself how the day is moving. I then noticed that this band has some interesting dynamics. I never thought that these bands should also be considered around 1VWAP and 2VAWP which I use. I also use VWAP unites as initial target/stop and adjust from there (a VWAP unit is the value of 1STD)

What @JonnyBoy explained here is such a gift. As he said you need to put in the hours , it takes long time to recognize the move when it is happening (not after it happened)


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Maizietrader 

I use Sierra Charts which I love. Tried many platforms and this one stands out for me. What I mean by next level is how @JonnyBoy explained in details action around the bands. I came across a VWAP band by chance. I wanted to make the VWAP big so I added 0.2 band around it to just see it and to remind myself how the day is moving. I then noticed that this band has some interesting dynamics. I never thought that these bands should also be considered around 1VWAP and 2VAWP which I use. I also use VWAP unites as initial target/stop and adjust from there (a VWAP unit is the value of 1STD) What @JonnyBoy explained here is such a gift. As he said you need to put in the hours , it takes long time to recognize the move when it is happening (not after it happened) Sent from my iPhone using NexusFi mobile app

I am absolutely in it full time, and am putting a LOT of hours in it. The reason I was asking - is that I did not want to put in those hours in the wrong direction.
I am a big fan of 10,000 hours book and approach, but if you beat it against the wrong wall - no good for anyway.
You are correct, seemingly simple, but @JonnyBoy advice is indeed priceless. P.S. Already bought the Ninja trader too as seems like many people use and refer to examples from it here...

Kris and Harry (Fat Tails) have Lizard which has a great standard VWAP and a kick-ass premium VWAP. You have to pay a nominal fee for all their library indicators but they keep them updated and they offer so much value. These gentlemen are amongst the most stand up folks that I've come across in my trading career.

https://www.lizardindicators.com/indicator-library-2/session-tools/

https://www.lizardindicators.com/

yoyotrader1 

I am absolutely in it full time, and am putting a LOT of hours in it. The reason I was asking - is that I did not want to put in those hours in the wrong direction. I am a big fan of 10,000 hours book and approach, but if you beat it against the wrong wall - no good for anyway. You are correct, seemingly simple, but @JonnyBoy advice is indeed priceless. P.S. Already bought the Ninja trader too as seems like many people use and refer to examples from it here...

I really wish that it was easy. The right direction is never clear. Depends on personality, type of trading , — etc). I have been down too many wrong paths and I still stumble a lot to find the “right way”. BigMike advised (not sure when) that it might be a good idea to really focus on one market. Even if you change directions, you will develop a sense for that market. Good Luck


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