Trading with Market Statistics III. Basics of VWAP Trading

[dupaski]

	Quote:	jperl
	Trading in the low volume region is dangerous and requires more advanced analysis.

From a MP perspective when price trades into the low volume wouldn't we would want to trade as price is potientially looking to establish a new value area and potientially starting to trend ?

I like your approach using VWAP however is seems to be most benefical in establishing a bias. I also think it would keep you out of trend days like yesterday as there was no substancial reversion to a mean, just a steady climb throughout the day. Would you mind going over how VWAP and PTP looked during yesterdays action (7/12)?

Thanks for shaing this with us.

-DT

[jperl]

	Quote:	dupaski
	From a MP perspective when price trades into the low volume wouldn't we would want to trade as price is potientially looking to establish a new value area and potientially starting to trend ?

HI Dupaski,
If you are a newbie, the answer is no. If you are an advanced trader, the answer is yes. You have to learn how to crawl first before you can walk. We will get to trading in the low volume zone in later threads.

	Quote:	dupaski
	I like your approach using VWAP however is seems to be most benefical in establishing a bias. I also think it would keep you out of trend days like yesterday as there was no substancial reversion to a mean, just a steady climb throughout the day. Would you mind going over how VWAP and PTP looked during yesterdays action (7/12)?

Slow creep upward price action is difficult to trade under any circumstances. I actually traded yesterdays ER2 action. Took about 4 trades.
Reversion to the mean (VWAP) doesn't occur all that frequently. You will have to wait until we talk about reversions to the Standard Deviation. Stay tuned.

JERRY

[Nick1984]

Good video Jerry, finally got it working! I like how noobie is learning lol.

[Dogpile]

I am trying to understand the logic here. the VWAP is a very logical. the PVP seems irrelevant to me. why is the PVP a meaningful number? seems like a marginal difference as to what it might be at any given time...

btw, if newbie were a pattern guy, he could have gone long off the A-B-C corrective pattern down (a lower low) pattern that lead to a re-test of the morning high.

[jperl]

	Quote:	Dogpile
	I am trying to understand the logic here. the VWAP is a very logical. the PVP seems irrelevant to me. why is the PVP a meaningful number? seems like a marginal difference as to what it might be at any given time...

As we will see later, the PVP is one example of a hold up price, HUP for short, prices where the market slows or reverses. More importantly for NEWBIE now, its the relationship between PVP and VWAP that is important for determining market skewness. When PVP and VWAP are close together, there is no skew. Volume distribution is then symmetric about the mean ( VWAP ). It's when they are further apart producing a market skew that things get interesting.

	Quote:	Dogpile
	btw, if newbie were a pattern guy, he could have gone long off the A-B-C corrective pattern down (a lower low) pattern that lead to a re-test of the morning high.

Yes he could have taken a long earlier...but again he's going to have to wait until later threads to understand why that would have worked using market statistics.

[Nvesta81]

Just wanted to say that I really appreciate you doing these videos, Jperl -that goes to SoulTrader as well for his videos...

My gratitude to you both, they are very helpful to new traders like me. I hope some day I can return the favor.

[jperl]

	Quote:	Unleashed
	Just wanted to say that I really appreciate you doing these videos, Jperl -that goes to SoulTrader as well for his videos... My gratitude to you both, they are very helpful to new traders like me. I hope some day I can return the favor.

Glad you like them Unleashed. Stay tuned, there is more to come. We've only scratched the surface.

[jperl]

NEWBIE wants to test his new found trading knowledge for other contracts besides the emini Russell 200. In this video he trades the Emini S&P500 for July 9, 2007. As usual, NEWBIE trades shorts when price action is below the VWAP AND the VWAP < PVP. So follow along as NEWBIE takes this ES short trade.

[thrunner]

Thank you for sharing, Jerry. For those having problems playing swf files automatically or wish to have some controls over the playback, you should try these freeware (small 600K downloads):
swf player: http://www.browsertools.net/download...penerSetup.exe
less features player: http://www.globfx.com/downloads/swfplayer/
BTW, Jerry, for those wishing to replicate some of your studies, are you using Ensign software charting and wrote your own VWAP and PVP functions? and are those available somewhere? Thanks.

[jperl]

	Quote:	thrunner
	Thank you for sharing, Jerry. For those having problems playing swf files automatically or wish to have some controls over the playback, you should try these freeware (small 600K downloads): swf player: