The VWAP line itself gave a couple of solid long oportunities today. If my chart is set up correctly at 1:15 and 1:25 EST the ES bounced off of main VWAP to the tick.

Unfortunately I had already ruined my day and *missed* these opportunities.

Tuglife 

The VWAP line itself gave a couple of solid long oportunities today. If my chart is set up correctly at 1:15 and 1:25 EST the ES bounced off of main VWAP to the tick. Unfortunately I had already ruined my day and *missed* these opportunities.

You are correct, although I was actually out of the market by that point because I had met my daily goal, ironically enough cashing in at VWAP. However, there were picture perfect VWAP TEST LONG SETUPS with virtually no heat shortly after that.

As for any missed opportunities in the market, don't sweat it. There will be lots more opportunities. The key is to ensure you stay in the game so you have a chance to play tomorrow.

@JonnyBoy Do you think the VWAP has significance in the ES ETH session? I am watching it and it looks like (for tonight's session anyways) the +1SD -1SD and VWAP are predictive for quite a few swings. Again, to the tick.

Why does it always look so easy on the left side of the chart?

Tuglife 

@JonnyBoy Do you think the VWAP has significance in the ES ETH session? I am watching it and it looks like (for tonight's session anyways) the +1SD -1SD and VWAP are predictive for quite a few swings. Again, to the tick. Why does it always look so easy on the left side of the chart?

I start my ETH VWAP at the beginning of the CME Globex session, but I only very occasionally (less than 1% of the time) put any trades on during that session regardless of how good the VWAP setups may look. The Globex session data trades based on correlated spreads and does not have the 500 stocks trading for the ES at that time.

However, I do let the OVN VWAP roll into RTH and use it as a reference point. And really that is where it ends for me. Historically, going back 5 years or so I sucked at trading the OVN session, so one of my rules was to never trade it again. The OVN ES is notoriously thin and can catch you off guard very easily as it sweeps through price levels like butter. It should be noted though, I never traded VWAP back then. So, as for the validity of the ETH VWAP and accompanying SD bands I couldn't tell you with any level of confidence as I haven't studied it.

But, when you spot reoccurring things like this, you just have to exhaust the bejesus out of it until you have looked at every possible scenario. I would start off by collecting as much data as you can and go from there.

How would I start gathering VWAP probabilities for different market conditions?

Tuglife 

How would I start gathering VWAP probabilities for different market conditions?

Did you see my post here?

VWAP for stock index futures trading? That is a fair question to ask but I don't know if I can give you a fair answer to it. In fact, the more I think about this the more I don't feel there is one, mainly because of the assumptions and context required to do it. If you are looking …

The approach below are the metrics I wanted to measure, but it may not be the same for you. Anyway, I started collecting data on:

• Opening Types - Open drive, open test drive, open rejection reverse, open auction in range but out of value, open auction in range but in value, open auction out of range.
• What is the market trying to do - Horizontally develop or vertically develop.
• Day type - Normal day, normal variation, trend day, double distribution trend day, non-trend day, neutral day, neutral day extreme.
• Volume

Once you have this information, you can start to develop the probabilities of a particular VWAP setup working in your favour.

So, on an RTH open that has a gap down opening out of range with an open drive down, the probability that a VWAP TEST LONG setup reaching T1 is 23.7%* and the probability that a VWAP TEST SHORT setup reaching T1 is 84.7%* and so on.

* I completely made those percentages up, but gives you the idea of some framework in which to build around.

EDIT: If you go take a look @mtzimmer1 journal, you can see how he approaches the market. I haven't read his entire journal but he has a sound approach and is starting to incorporate some VWAP setups.

Fascinating to read, and I mean that sincerely. I just wish I could use it for Forex. I have the VWAP you mentioned and I played around with it, but I think it looks better on the ES chart.

Agree, it was amazingly spot on minus a few blips up, as at was coming down.
Any idea why it was so near-perfect? Large institutions getting on the train or what?

I have been getting a ton of PM requests about this so I thought I would try to cover all bases in this post.

The XML file I attached in a previous post was an NT8 Chart Template. It isn't the VWAP indicator! However, if you are a NinjaTrader Lifetime License holder you will be able to replicate my chart exactly by loading this chart template. How does this load the actual indicator? When the chart template is loaded, it will automatically call for the Order Flow VWAP indicator, but again only if you are a NinjaTrader Lifetime License holder.

You can follow this link https://ninjatrader.com/support/helpGuides/nt8/?order_flow_plus.htm for more details.

Step 1 - download and save the XML file to the following directory. This should be the default directory where you installed NinjaTrader.

\Documents\NinjaTrader 8\templates\Chart

Step 2 - right click on your chart and select Templates > Load and select "@JonnyBoy VWAP Chart Template V2 987 Tick" from the list.

If for some reason it doesn't load and you are a NinjaTrader Lifetime License holder (perhaps you can't transfer templates with an "@" in front of them for some reason), I will gladly post the settings here. Just let me know...

EDIT: One user suggested removing the @ from the file name helped them load the chart template.

works great, I look to contributing to this forum.

JonnyBoy 

I have been getting a ton of PM requests about this so I thought I would try to cover all bases in this post. The XML file I attached in a previous post was an NT8 Chart Template. It isn't the VWAP indicator! However, if you are a NinjaTrader Lifetime License holder you will be able to replicate my chart exactly by loading this chart template. How does this load the actual indicator? When the chart template is loaded, it will automatically call for the Order Flow VWAP indicator, but again only if you are a NinjaTrader Lifetime License holder. You can follow this link https://ninjatrader.com/support/helpGuides/nt8/?order_flow_plus.htm for more details. Step 1 - download and save the XML file to the following directory. This should be the default directory where you installed NinjaTrader. \Documents\NinjaTrader 8\templates\Chart Step 2 - right click on your chart and select Templates > Load and select "@JonnyBoy VWAP Chart Template V2 987 Tick" from the list. If for some reason it doesn't load and you are a NinjaTrader Lifetime License holder (perhaps you can't transfer templates with an "@" in front of them for some reason), I will gladly post the settings here. Just let me know...