StockFetcher Forums · General Discussion · What's the hype on VWAP all about?<< 1 2 >>Post Follow-up
styliten
66 posts
msg #154646
Ignore styliten
11/17/2020 12:53:18 PM

Is it really that good? Does SF have an equivalent to that?

Introducing Anchored VWAP in StockChartsACP | Brian Shannon, CMT

Any one? Please shed some light.

risjr
172 posts
msg #154659
Ignore risjr
11/18/2020 11:12:06 AM

Way too much hype...stay with what you know that works!

Dood

fotchstecker
258 posts
msg #154681
Ignore fotchstecker
modified
11/19/2020 5:04:40 PM

Don't know what you mean about "hype". VWAP is effective if you understand what it is, exactly like anything else.

I can tell you that I personally know professional quants (real pros managing 1B books, not retailers mucking about) and they use VWAP regularly. They use it primarily for layering-in large positions after the market cross for some of the models they run. The VWAP period and timeframe they use for those executions is typically on an intraday basis. But I don't think any one of them thinks there's "hype" around vwap; it's just another technique, and to be honest it's a pretty straightforward and simple calcuation.

styliten
66 posts
msg #154684
Ignore styliten
modified
11/19/2020 8:34:47 PM

@ fotchstecker Thank you for your input.

I guess my question is that when I ran a sample code to test out VWAP, I really didn't see that much difference or benefits with vs without volume consideration:

Fetcher[dow 30

chart-time is 20 days

draw ema envelope(9, 0.05)

draw cema(clri(close multiply by volume, 5) divided by clri(volume, 5), 9) on plot price
]



Only in IBM's case did I saw a 1 day difference in timing, everywhere else timing signals seemed to have been almost identical between the simple EMA(9) and VWAP(9).

Did I misinterpret the power of or the formula for VWAP?

Cheese
1,049 posts
msg #154685
Ignore Cheese
11/19/2020 9:01:04 PM

sty,

sF does not have VWAP

The VWAP that fotch wrote about above is called Traditional VWAP by Stockcharts.com
The VWAP that Brian Shannon is introducing is called Anchored VWAP by Stockcharts.com
More details about the two can be found here:
https://school.stockcharts.com/doku.php?id=technical_indicators%3Aanchored_vwap

fotch is right: Traditional VWAP is a popular and useful tool.

Your "hype" gut feeling about Anchored VWAP ia also right. Some of Brian's examples
appear to be back fitting. The choices of anchor points and the chart settings for Anchored VWAP
might seem arbitrary or evolving in order to support some pre-established conclusions.

Here's one chart example from Brian. There may be more.
https://twitter.com/alphatrends/status/1328893257447858177

Just my two cents.
WDIK

fotchstecker
258 posts
msg #154702
Ignore fotchstecker
modified
11/20/2020 2:47:44 PM

I just dug up an old VWAP related calculation I used to use for initiating buys. YMMV:

AVG((O + H + L + C) * V, 90) / 4 / AVGV90

Where AVGV90 is average volume, 90 periods. I believe the above was TC2000 code.

The way I used this at the time was to initiate longs when close was under vwap. I can't remember what timeframe chart I was using this on, but it likely was a 90 minute chart.

The only reason I cared about VWAP was that it gave me rationale for a price to enter at. That's all. I didn't use it for anything other than to pay a price that generally the market was paying in that timeframe. Underneath this was the fact that whatever system I was using had triggered a signal. So, this was just a way to enter.

Regarding what and how you backtested and whether it had a benefit, I would say this is hard to answer. I don't think there's really a way to backtest this unless you have tick-level data on the bar, curvefitting everything else notwithstanding. If you don't have that bar resolution, you make a lot of assumptions on a daily bar.

Cheese
1,049 posts
msg #154703
Ignore Cheese
modified
11/20/2020 3:16:56 PM

This is meant to be FYI and to apply only to me.

Just to be thorough and to make sure I did not ignore a potentially powerful tool,
I've tried to use Anchored VWAP with March 24, 2020 and Sep 22, 2020 as anchors.

In my very limited experience, I've found that using moving averages like MA(20)
and eMA(8) would have kept me on trend and out of the trades better than aWAP.

My two cents

fotchstecker
258 posts
msg #154706
Ignore fotchstecker
11/20/2020 4:45:51 PM

Cheese, I know your note was to yourself, but I just wanted to say that I've used 8EMA in a lot of system, too.

Cheese
1,049 posts
msg #154707
Ignore Cheese
11/20/2020 4:55:27 PM

Thanks, fotch.
I also got ema(8) from safetrade, nibor100 and davesaint86.
So many smart people like you here !

fotchstecker
258 posts
msg #154709
Ignore fotchstecker
11/20/2020 8:40:38 PM

Cheese, I'm hardly in that company and am always learning. SF is where I test ideas but most of my dev is in Tradestation. If you ever move to it, let me know I'll get you started in easylanguage and some strategies you can test out.

StockFetcher Forums · General Discussion · What's the hype on VWAP all about?<< 1 2 >>Post Follow-up

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