JonnyBoy 

Instead of writing word salad, how about you contribute constructively by actually reading the thread and posting some detailed quantitative reasoning as to why VWAP is the pipe dream you say it is. I am always interested in opposite views to my own...that is how I slaughter sheep on a daily basis after all. However, making a post without providing a rationale to back up your statements are meaningless. If your goal is to write disrupter posts in this thread (and others) and that is your sole reasoning to actually make any kind of post at all, then this forum probably isn't for you.

Thanks for this, Jonny. I and others have tried to stop this guy from treating pretty much everyone like crap, but thus far to no avail. Appreciate the effort.

mlm

JonnyBoy 

Instead of writing word salad, how about you contribute constructively by actually reading the thread and posting some detailed quantitative reasoning as to why VWAP is the pipe dream you say it is. I am always interested in opposite views to my own...that is how I slaughter sheep on a daily basis after all. However, making a post without providing a rationale to back up your statements are meaningless. If your goal is to write disrupter posts in this thread (and others) and that is your sole reasoning to actually make any kind of post at all, then this forum probably isn't for you.

JB, he said it himself. He didn't read the entire thread so I doubt you're going to get anything constructive out of him as he has no idea what has been discussed. He's placed judgement solely based on the title of the thread.

I said i was not bashing vwap as an indicator and i personally do not use it but if an indicator helps make you profitable then use it how you need to use it and that is all. If i was going to use vwap i would probably compare and use vwap from an index or a correlated stock and use that vwap with the other symbols swap and when both vwaps are x amount away from each other i would probably say hmmm. this seems unusual i wonder if these vwaps will get back in line with each other or I would get to know the vwap on multiple time frames for an index and watch vwap on other symbols and look to make trades that way where in the past if x happens then x should happen again. this is basic probability or you could take it a step further and use an anchored vwap and make comparisons from that and look for extremes or when they move together.

just taking a basic indicator and throwing it on a chart and saying well when it gets above here and below here i buy it and sell it see look how great it worked in the past. you need something with anticipation and thats why i dont need to read this thread from frotn to back. I read more of it than i planned to and it is already more of the same typically in the box thinking by retail traders who think it is all just overlaying an indicator.

I would be excited if once in 20 years i could someone doing somethign exciting with vwap or any of the indicators but most seem to settle for actually believing that trading is just that simple when the reality is that it takes someon who is smart very smart and willing to put dollars on the line when no one else wants too or they think it is dumb.

I never once said vwap was a bad indicator. have a nice night

jamrock 

I said i was not bashing vwap as an indicator and i personally do not use it but if an indicator helps make you profitable then use it how you need to use it and that is all. If i was going to use vwap i would probably compare and use vwap from an index or a correlated stock and use that vwap with the other symbols swap and when both vwaps are x amount away from each other i would probably say hmmm. this seems unusual i wonder if these vwaps will get back in line with each other or I would get to know the vwap on multiple time frames for an index and watch vwap on other symbols and look to make trades that way where in the past if x happens then x should happen again. this is basic probability or you could take it a step further and use an anchored vwap and make comparisons from that and look for extremes or when they move together. just taking a basic indicator and throwing it on a chart and saying well when it gets above here and below here i buy it and sell it see look how great it worked in the past. you need something with anticipation and thats why i dont need to read this thread from frotn to back. I read more of it than i planned to and it is already more of the same typically in the box thinking by retail traders who think it is all just overlaying an indicator. I would be excited if once in 20 years i could someone doing somethign exciting with vwap or any of the indicators but most seem to settle for actually believing that trading is just that simple when the reality is that it takes someon who is smart very smart and willing to put dollars on the line when no one else wants too or they think it is dumb. I never once said vwap was a bad indicator. have a nice night

you could pick a symbol say aapl and every day at 10 am if the nadsdaq is positive and apple is positive what ahppens with price vs vwap at 10 am? if apple is negative and nq is positive what ahppens with vwap at 10 am ? use this kind of stuff in order to start to get to know the mkt and how it behaves over and over again instead of slapping some bands over price and saying why is this happening? because you have absolutely no baseline do you?

im short a 2 lot dow futures minin at 27661 now

MiamiTrader 

Did you even read the entire thread?

jamrock 

of course not because it is using VWAP to try and make consistent profits

jamrock 

you could pick a symbol say aapl and every day at 10 am if the nadsdaq is positive and apple is positive what ahppens with price vs vwap at 10 am? if apple is negative and nq is positive what ahppens with vwap at 10 am ? use this kind of stuff in order to start to get to know the mkt and how it behaves over and over again instead of slapping some bands over price and saying why is this happening? because you have absolutely no baseline do you? im short a 2 lot dow futures minin at 27661 now

It is crystal clear that you haven’t read the thread and stated as such yourself. So, to use your terminology you have no baseline to discuss it. As I said, I am open to contrary ideas to mine. However, your understanding of VWAP and how or why positions are (or not) executed at VWAP/SDs is limited. This is being hindered by your refusal to contextualize your responses to the discussions that have already taken place.

In a prior post you stated.

“…or I would get to know the vwap on multiple time frames for an index…”

But of course the VWAP value of an index will be the same no matter the time frame. This is a clear misunderstanding of what VWAP is and how it is calculated and used.

Having read some of your posts in other threads, it is apparent that you have no real interest in having rational discussion about any topic. Your intent appears to be to provoke and not provide.

Why not start a trading journal and show us how you trade and what you look for? Truly, if everybody else has this wrong and you have it right I am open to learning something new. Failing that, tell me why I shouldn’t be using VWAP.

Tell me why using a price-volume model is incorrect. I don’t mean a few throw away statements, I mean give me something I can have some soak time on and respond accordingly. Use charts, time & sales, liquidity assumptions, volume variability assumptions, competitive ratios…literally anything that will provoke fruitful discussion as opposed to souring it.

JonnyBoy 

It is crystal clear that you haven’t read the thread and stated as such yourself. So, to use your terminology you have no baseline to discuss it. As I said, I am open to contrary ideas to mine. However, your understanding of VWAP and how or why positions are (or not) executed at VWAP/SDs is limited. This is being hindered by your refusal to contextualize your responses to the discussions that have already taken place. In a prior post you stated. “…or I would get to know the vwap on multiple time frames for an index…” But of course the VWAP value of an index will be the same no matter the time frame. This is a clear misunderstanding of what VWAP is and how it is calculated and used. Having read some of your posts in other threads, it is apparent that you have no real interest in having rational discussion about any topic. Your intent appears to be to provoke and not provide. Why not start a trading journal and show us how you trade and what you look for? Truly, if everybody else has this wrong and you have it right I am open to learning something new. Failing that, tell me why I shouldn’t be using VWAP. Tell me why using a price-volume model is incorrect. I don’t mean a few throw away statements, I mean give me something I can have some soak time on and respond accordingly. Use charts, time & sales, liquidity assumptions, volume variability assumptions, competitive ratios…literally anything that will provoke fruitful discussion as opposed to souring it.

i dont hve anything to prove here but you are sayign a daily bar chart 24 hours has the same vwap value as a 5 minute chart? doubtful! there is a different amount fo volume and price in a 5 min chart vs a 1 minute chart vs a monthly vs a daily not sure you actually understand how indicators work.

anyway good luck out there hope you had a great day because it sure was an easy one!

jamrock 

i dont hve anything to prove here but you are sayign a daily bar chart 24 hours has the same vwap value as a 5 minute chart? doubtful! there is a different amount fo volume and price in a 5 min chart vs a 1 minute chart vs a monthly vs a daily not sure you actually understand how indicators work.

Actually, yes, the way VWAP is calculated, it will have the same plot on a 1-second chart, a 1-minute chart, a 1-hour chart, or any chart. It is not dependent on the size of the bars, that is, the amount of time represented by the bars. Generally, VWAP is computed over a fixed period such as a day, and resets for the next day, but it can be computed over any span of time. Whatever span is taken, a day, a week or anything else, the plot will be exactly the same no matter what the period of the bars may be.

It is computed, strictly speaking, on a trade-by-trade basis, weighting the trades by volume ("Volume Weighted Average Price"). Since it is based on the individual trades, the strict VWAP doesn't change due to the chart's bar size. In practice, generally VWAPs are computed using the price bars and the volume associated with them, which is faster to compute than using individual trades and works out to be a close approximation of the strictly-computed VWAP. You can switch from 30-second bars to 15-minute bars and the plot of the indicator is essentially the same.

Anyone who has ever put VWAP on two charts will have seen that the values are in fact the same, no matter which chart is used. It will be the same on an hour chart or a 2-minutee chart or a tick chart or a volume bar chart or a range chart, with any bar size you choose. This is why it is a useful and important indicator -- every trader sees the same levels on any chart.

I am surprised that you are unfamiliar with this yet are expressing strong views about the use and value of the indicator, when it is what this thread is about.

Bob.

bobwest 

Actually, yes, the way VWAP is calculated, it will have the same plot on a 1-second chart, a 1-minute chart, a 1-hour chart, or any chart. It is not dependent on the size of the bars, that is, the amount of time represented by the bars. Generally, VWAP is computed over a fixed period such as a day, and resets for the next day, but it can be computed over any span of time. Whatever span is taken, a day, a week or anything else, the plot will be exactly the same no matter what the period of the bars may be. It is computed, strictly speaking, on a trade-by-trade basis, weighting the trades by volume ("Volume Weighted Average Price"). Since it is based on the individual trades, the strict VWAP doesn't change due to the chart's bar size. In practice, generally VWAPs are computed using the price bars and the volume associated with them, which is faster to compute than using individual trades and works out to be a close approximation of the strictly-computed VWAP. You can switch from 30-second bars to 15-minute bars and the plot of the indicator is essentially the same. Anyone who has ever put VWAP on two charts will have seen that the values are in fact the same, no matter which chart is used. It will be the same on an hour chart or a 2-minutee chart or a tick chart or a volume bar chart or a range chart, with any bar size you choose. This is why it is a useful and important indicator -- every trader sees the same levels on any chart. I am surprised that you are unfamiliar with this yet are expressing strong views about the use and value of the indicator, when it is what this thread is about. Bob.

@bobwest nicely done sir!

J

im not sure why you are surprised because as i clearly stated i dont use vwap and i never have and i dont intend on using it.

well holy crap.. i am intrigued ..lol.. ok im in to learn about it more and see what it does or how many different ways it can be applied.

I will go back and look over the "entire" thread.

thanks..lol gotta keep an open mind and i was not.

have a great night

vwap
mvwap
anchored vwap

hmmm.. interesting.

if i take the vwap of a constant volume chart am i then just getting a moving average?