joe s 

thanks I only see 1 chart

The other chart is up now !

thanks martinhunting

martinhunting 

Here are two 5 min charts of the AUS200 Thursday and Friday, with both the daily VWAP and the moving 50SMA. and the 15EMA averages more information and trading opportunities comes from the 50 SMA and the 15 min EMA on Thursday The early trade on Thursday from the opening cannot be traded by the VWAP as there is not enough information, however the 50 SMA acts as resistance for the Initial Balance. Both the moving averages and the VWAP changes trend together for a move up. Price does not break through the 15EMA, that is, no full body of a candle goes below the 15 EMA the opening initial balance becomes support , however the trend is still up as shown by the slope of the 50 SMA. moreover the 50 moving average and the VWAP turned for a trend change together on the first change but the latter the 50 SMA. changed slope for a trend change but the VWAP was still sloping up On the Friday from the opening price moved down inside the 15 EMA , and the first deviation, price broke through both of them at the same time. Price moved into a balance across the weighted volume with the 50 SMA with a slight trend up which price did not break through with a full bar until it started to show a break in the trend.

Very nice. It's great you have found something that works for you.

Now this is how you get peoples attention on the topic!

martinhunting 

Now this is how you get peoples attention on the topic!

Let's hope she knows the difference between VWAP and VWMA then...

sydney white belly sea eagles


If you need something to watch this is great!

martinhunting 

sydney white belly sea eagles ... If you need something to watch this is great!

@martinhunting, this is getting pretty off-topic.

Let's move back to the topic of the thread.

Thanks.

Bob.

josh 

So use the longer term average. There are many ways to skin a cat, and many ways to model a market. So do it. Research your idea, and post the results. Of course, on some days (rotational, balanced days; and likely weakly trending days) they will be very close. On other days (afternoon breakouts from a developed base for example) they will be nowhere close. When you say "probably," I think you really mean "I'm completely guessing", with very little reason behind it. So, stop guessing and do some work. You seem to be hung up on "working" ... VWAPs don't "work," nor do moving averages, nor does anything. It's just information. It's not trading. Blindly buying and selling lines is guaranteed to fail over a large enough sample size that span multiple market regimes. Nobody else think it's magic either, and if they do, they're mistaken. It's a number. It's the sum of the products of the price and volume across a set of transactions, divided by the sum of the volume across the same set of transactions. That's it. Its significance comes from the fact that it is widely used as a benchmark for order fills by institutions and investment firms. When a client order needs to be filled, if a VWAP algo is used, its goal is to buy or sell at a better price than the daily VWAP. This type of algo is available to retail traders also: https://www.interactivebrokers.com/en/index.php?f=1124 .... so no, there's no magic, no one claimed there's magic, and its use as support and resistance depends, as all things do, on the context. An anchored VWAP, or profile, or anything, gives you information over the range that you specify. If VWAP represents some notion of "value", then the VWAP anchored at a particular starting point should represent value over that range, to you. It's that simple; no magic, just information that may serve as an edge for some.

I went to visit my cousin a few weeks ago and he is a senior sell side trader at a major financial institution. His job is to buy shares that fund managers want to have in their portfolios and to get the best price. No I don't know why it's called sell.side either?!

I asked him about VWAP on the individual shares as my understanding was that it was the benchmark to beat. He surprised me by saying that it was certainly a metric but the real comparison tool something which was a completely different calculation based on who knows what. As it's an institution I'm sure it would.be unfathomable but would assume that some of it would be based on underlying market conditions for that day e.g. if market was up 1% that day, the sector was up 1.5% and the stock itself was up 2% then it would have to take all that into account. But I really am guessing!

But I do know that this calculation it was a very different figure to VWAP. As this was individual share trading perhaps this explains the difference? Who knows...

Keab 

I went to visit my cousin a few weeks ago and he is a senior sell side trader at a major financial institution. His job is to buy shares that fund managers want to have in their portfolios and to get the best price. No I don't know why it's called sell.side either?! I asked him about VWAP on the individual shares as my understanding was that it was the benchmark to beat. He surprised me by saying that it was certainly a metric but the real comparison tool something which was a completely different calculation based on who knows what. As it's an institution I'm sure it would.be unfathomable but would assume that some of it would be based on underlying market conditions for that day e.g. if market was up 1% that day, the sector was up 1.5% and the stock itself was up 2% then it would have to take all that into account. But I really am guessing! But I do know that this calculation it was a very different figure to VWAP. As this was individual share trading perhaps this explains the difference? Who knows...

You are not wrong here. There are many moving pieces that establish an individual traders success (and overall the institutions success) and VWAP is an important piece but not the only piece.

A friend of mine is an ex-institution VWAP trader. Whilst I can't divulge detailed specifics of how all these things work (or used to work at his institution), what your cousin could have been referring to are the trading and KPI tools available to them that can be used for liquidity aggregation. This is especially relevant where high volume positions must be hedged as a result of adverse moves in security prices.

What he could be meaning (and I am trying to pick up on some things you referred to) here is that the traders are also measured against their efficiency in maximizing the volume that can be hedged against his/her position. What I mean by that is that they can offset some volume from what might be considered an "expensive" position at the cost of the price that is saved when acquiring "cheaper" positions. This isn't any simple hedge, this is a carefully crafted calculation.

They achieve this by building their position using their own calculated spread using VWAP as the price calculation, remembering at the same time that this type of execution should also have minimal price movement. They never want to been "seen'' accumulating or distributing to give away their positional intent.

This could or it could not be what your cousin was referring too but it is one of a handful of benchmarks.

Thanks for this great post! It is helping me a lot in my trading.