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General Discussion · Swing Trading Ideas and methods
fotchstecker
msg #154793
12/2/2020 4:31:31 PM

Eman93, that begs the question:
What scans are you running each day?!

Shared Symbol Lists · Vanguard ETFs
fotchstecker
msg #154773
11/30/2020 12:12:21 PM

Here's a list of Vanguard ETFs, which VG makes surprisingly hard to scrape. I might do mutuals next. This list is as-of the post date today. Double check on your own to make sure it's comprehensive, but it should have nearly all if not all.

EDV
BIV
VGIT
BLV
VGLT
VMBS
BSV
VTIP
VGSH
BND
ESG
VCEB
VCIT
VCLT
VCSH
VTC
VTEB
VIG
ESG
ESGV
VUG
VYM
VV
MGC
MGK
MGV
VONE
VONG
VONV
VTHR
VOO
VOOG
VOOV
VTI
VTV
VXF
VO
VOT
VOE
IVOO
IVOG
IVOV
VTWO
VTWG
VTWV
VIOO
VIOG
VIOV
VB
VBK
VBR
BNDW
BNDX
VWOB
VT
ESG
VSGX
FTSE
VEU
FTSE
VSS
FTSE
VEA
FTSE
VGK
FTSE
VPL
VNQI
VIGI
VYMI
VXUS
FTSE
VWO
VOX
VCR
VDC
VDE
VFH
VHT
VIS
VGT
VAW
VNQ
VPU


General Discussion · What's the hype on VWAP all about?
fotchstecker
msg #154709
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.

General Discussion · What's the hype on VWAP all about?
fotchstecker
msg #154706
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.

General Discussion · What's the hype on VWAP all about?
fotchstecker
msg #154702
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.

General Discussion · What's the hype on VWAP all about?
fotchstecker
msg #154681
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.

Filter Exchange · Started as a rotation filter -- enjoy
fotchstecker
msg #154678
modified
11/19/2020 3:08:07 PM

Hi, Ed. I'm not sure. I wonder if running the filter intraday is the difference. It seems after the market closes and the prices are settled for the day, when I re-run the filter I get the expected symbols for historical runs. At least, this is my cursory observation. When intraday scans are run, maybe that affects historical runs intraday, too. Not 100% sure.


Filter Exchange · Started as a rotation filter -- enjoy
fotchstecker
msg #154655
modified
11/18/2020 8:30:35 AM

Cheese, thanks. If you are interested in market breath studies like those, there are two really good ones with a variety of indicators/approaches:

"stock market logic" by Fosback (older, but really good)

"the complete guide to market breadth indicators" by Greg Morris. Newer, and includes analysis of many of the Fosback indicators.

You can probably find the first on something like Abe Books and the latter on Amazon or similar.

Filter Exchange · Started as a rotation filter -- enjoy
fotchstecker
msg #154650
11/17/2020 6:01:18 PM

Cheese, by the way, at time of this writing the bearish tickers from the 16th filter run are definitely (re) appearing:

FAZ - Direxion Daily Financial Bear 3x Shares
SRTY - ProShares UltraPro Short Russell 2000
TZA - Direxion Daily Sm Cap Bear 3X ETF
UVXY - ProShares Ultra VIX Short Term Futures E
SDOW - ProShares UltraPro Short Dow 30 ETF
TWM - ProShares UltraShort Russell2000
HDGE - Active Bear ETF
LABD - Direxion Daily S&P Biotech Bear 3X Share
SPXU - ProShares UltraPro Short S&P500
VXX - iPath Series B S&P 500 VIX Short-Term Fu
VIXY - ProShares VIX Short-Term Futures ETF
DXD - ProShares Dow 30
SDS - Proshares S&P 500
RWM - Short Russell2000 ProShares
DOG - SHRT DOW30 PROSHARES
SH - SHRT S&P500 PROSHRS


Filter Exchange · Started as a rotation filter -- enjoy
fotchstecker
msg #154648
11/17/2020 2:50:55 PM

Cheese, I'm laughing. :)

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