JonnyBoy 

With this scenario I can't honestly tell you if statistically speaking you would be worse off or better off. Assuming this presumptive entry, your stop is 0.5 SD from VWAP vs. 1.0 SD from ''typical'' entry. So, in effect it is 50% "better''. Taking two of these presumptive trades that don't profit is equal to taking one of the ''traditional'' setup types that is also not profitable. You would certainly need to model this out.

I quickly threw together a strategy on NinjaTrader with only the VWAP test long/short and so far with a risk/reward of 1:1 it's just above a third win rate. I'm trying several things but so far a 1:1.5 has a positive net expectancy.

MiamiTrader 

I quickly threw together a strategy on NinjaTrader with only the VWAP test long/short and so far with a risk/reward of 1:1 it's just above a third win rate. I'm trying several things but so far a 1:1.5 has a positive net expectancy.

Are you adding in a bias for the day based on price action or you just taking every touch.

MiamiTrader 

I quickly threw together a strategy on NinjaTrader with only the VWAP test long/short and so far with a risk/reward of 1:1 it's just above a third win rate. I'm trying several things but so far a 1:1.5 has a positive net expectancy.

So in other words, 2 out of 3 times (based on whatever sample you used) we cross VWAP for at least 0.5 SD before reversing back through by 0.5 SD?

Has anyone seen hit the bid multiday vwap each day the vwap starts on the previous days close and keeps aggregating day by day. they said you can look back years if you want has anyone seen something available like this they use a standard vwap and the multiday vwap together to trade

joe s 

Has anyone seen hit the bid multiday vwap each day the vwap starts on the previous days close and keeps aggregating day by day. they said you can look back years if you want has anyone seen something available like this they use a standard vwap and the multiday vwap together to trade

Yes. This is called rVWAP or Rolling VWAP. I have 7 days worth of roll, but in theory you can have more than that. After a while they all flatten out and statistically speaking I haven't gone beyond 7 days worth of rVWAP to ascertain their validity. Within the 7 days though, you betcha.

richa61416 

Are you adding in a bias for the day based on price action or you just taking every touch.

Yes, only trade from 10am to 3pm. I suspect a better way is to do it by the height of the VWAP purple area. VM was acting up so i could only run a couple of months so very little data at this point.

Scalpingtrader 

So in other words, 2 out of 3 times (based on whatever sample you used) we cross VWAP for at least 0.5 SD before reversing back through by 0.5 SD?

VM was acting up so i could only run a couple of months so very little data. With a stop and a buy order at the stop/buy zone respectively it reached the T1 target just over 30% of the time. Criteria is what JonnyBoy boy described in previous post where it had to at least touch VWAP but never break the VWAP purple area zone.

Thanks JonnyBoy I will look that up

joe s 

Has anyone seen hit the bid multiday vwap each day the vwap starts on the previous days close and keeps aggregating day by day. they said you can look back years if you want has anyone seen something available like this they use a standard vwap and the multiday vwap together to trade

7 day rolling vwap:

Silvester17 thanks for the pick