VWAP purchase with institutional

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dante tunica
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Volume Weighted Average Price (VWAP) is a measure that represents the weighted average price at which you trade
of a given time span on a given title have taken place. The measure is used in particular by institutional investors
as a reference for the execution of a sale and purchase operation articulated on several exchanges. The vwap and its upper and lower standard deviations represent supports and resistances (with particular emphasis on the second band).

On a day in range, strong hands like to buy on weakness (second band) and sell on strength (vwap), the price will bounce between vwap and bands. On a trending day the price will break out of the bands.
The same concept can be applied on longer time frames hence the need to have an indicator on a weekly / monthly / composite basis.
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Ulises Cune

Could you propose a strategy with this indicator VWAP? I could put it together and share it.

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seudry
Quote from Andrey Khatimlianskyi

So, you suggest just to ignore signals first hours of day?

It is the solution, but I don't like it.

Why not to start calculation of VWAP from other hour (05:00, 17:00, any other)?

Let's wait for other opinions.

I came across this post because I will be interested in incorporating VWAP into CP. This is the only indicator I use and rarely the volume profile. VWAP can be used other than daily.

For my part I use 4 VWAP.

Daily, weekly, monthly and yearly.

Just try and see you graph. It's interesting at first glance. ;)

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Jürgen

The starting time is a well discussed point, most people take the brokers start of the session, but I understand your point. Maybe it makes sense to do some timezone or session time adjustments as setting. 


See this discussion regarding the start point:

https://futures.io/traders-hideout/44007-start-point-daily-vwap-volume-weighted-average-price.html


For general informations about vwap I find this article useful:

https://www.investopedia.com/terms/v/vwap.asp


There are also a lot of docs and vids out there showing how vwap works. 

It is not a magic indicator but it is one of the few indicators used by big institutional traders (like the moving average 100/200).


The improvement to the moving average is to include the volume traded at a certain price point in the calculation which shows the acceptance of the price of big market makers (high volume traded). 


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Andrey Khatimlianskyi
Quote from Jürgen

When you change the vwap starting point, you will loose the relation to institutional traders and will also not gain any value, because the zero point will just be on another time ;)


Institutional traders Performance is somehow measured by the vwap. If they trade long, when the price is below the vwap, they have got a better deal with their position than average. That's why the vwap line is often called a magnetic line - the price is (most of the time) heading back to that line. But it will drift away over the day, so in the late of the day it will not work as good as in the morning. 



Maybe just include vwap it into the CP EA and make some tests with it and tune it afterwards. In combination with collective opens and with the trend following strategy of the CP, I think vwap would be a very nice extension! 




Thanks for the info!

1. Institutional traders from which country do you mean?

They can't start trading at the same moment, FX works 24 hours a day.

Another thing — brokers have different time zones. So, 00:00 at 1 broker will differs from 00:00 at another. Which one is true?

2. My previous question is still actual.

Why not to trade 5 hours every day just because VWAP is forming?

Something is wrong with this idea...

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dante tunica
Quote from Jürgen

When you change the vwap starting point, you will loose the relation to institutional traders and will also not gain any value, because the zero point will just be on another time ;)


Institutional traders Performance is somehow measured by the vwap. If they trade long, when the price is below the vwap, they have got a better deal with their position than average. That's why the vwap line is often called a magnetic line - the price is (most of the time) heading back to that line. But it will drift away over the day, so in the late of the day it will not work as good as in the morning. 



Maybe just include vwap it into the CP EA and make some tests with it and tune it afterwards. In combination with collective opens and with the trend following strategy of the CP, I think vwap would be a very nice extension! 




Nice reading of the VWAP, great information.

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Jürgen

When you change the vwap starting point, you will loose the relation to institutional traders and will also not gain any value, because the zero point will just be on another time ;)


Institutional traders Performance is somehow measured by the vwap. If they trade long, when the price is below the vwap, they have got a better deal with their position than average. That's why the vwap line is often called a magnetic line - the price is (most of the time) heading back to that line. But it will drift away over the day, so in the late of the day it will not work as good as in the morning. 



Maybe just include vwap it into the CP EA and make some tests with it and tune it afterwards. In combination with collective opens and with the trend following strategy of the CP, I think vwap would be a very nice extension! 




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Andrey Khatimlianskyi
Quote from Jürgen

I would like to see the VWAP in CP as well *thumbsup*.

VWAP is a powerfull indicator, because the "big guys" are measured on their performance with this indicator.

"How to avoid this?"

Maybe add a day/period waiting timer for like 5 hours for this signal to be valid. One can also use the general time settings if using the vwap indicator.

So, you suggest just to ignore signals first hours of day?

It is the solution, but I don't like it.

Why not to start calculation of VWAP from other hour (05:00, 17:00, any other)?

Let's wait for other opinions.

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0
Jürgen

I would like to see the VWAP in CP as well *thumbsup*.

VWAP is a powerfull indicator, because the "big guys" are measured on their performance with this indicator.

"How to avoid this?"

Maybe add a day/period waiting timer for like 5 hours for this signal to be valid. One can also use the general time settings if using the vwap indicator.

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Andrey Khatimlianskyi

I don't like how it works on period openings.. A lot of false signals will happen.

How to avoid this?

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dante tunica
Quote from Andrey Khatimlianskyi

VWAP indy is available for both MT4 and MT5, can be implemented to the EA.

I'll think about the best way to do it.

Great good news. Perfect Andrey.