VWAP Distribution Set-Up: '2 Std Devs & a Div'

[Frank]

This thread is just to publicly evaluate a set-up I have been working on. comments appreciated.

I will call it the '2 std devs and a divergence' set-up.

Concept: If S&P futures move 2 standard deviations in a direct move (without a decent correction) AND form a momentum divergence (using LBR's 3/10 oscillator) -- then fade the move for a SCALP targeting roughly 1 deviation.

1st example from Tuesday Jan 8:

[osaru]

	Quote:	Frank
	This thread is just to publicly evaluate a set-up I have been working on. comments appreciated. I will call it the '2 std devs and a divergence' set-up. Concept: If S&P futures move 2 standard deviations in a direct move (without a decent correction) AND form a momentum divergence (using LBR's 3/10 oscillator) -- then fade the move for a SCALP targeting roughly 1 deviation. 1st example from Tuesday Jan 8:

Hi Frank,

I am very interested in this thread. I have a newbie question... how do you calculate your standard deviations?

[Frank]

hi,

the code comes from a Traders Lab post... Here is the Tradestation code I am presently using (1-min chart is used on ES.D):


vars:
PriceW(0),
ShareW(0),
Count(0),
VolWAPValue(0),
VolWAPVariance(0),
VolWAPSD(0);

if date > date[1] then begin
PriceW = 0;
ShareW = 0;
Count = -1;
Value1 = 0;
Value2 = 0;
VolWAPValue = 0;
end;
PriceW = PriceW + (AvgPrice * (UpTicks+DownTicks));
ShareW = ShareW + (UpTicks+DownTicks);
Count = Count + 1;
Value3 = 0;
if ShareW > 0 then VolWAPValue = PriceW / ShareW;
{Calculate the individual variance terms for each intraday bar starting with the current
bar and looping back through each bar to the start bar. The terms are each normalized
according to the Variance formula for each level of volume at each price bar }
For Value1 = 0 To Count Begin
Value2 = ((UpTicks[Value1]+DownTicks[Value1])/ShareW) * (Square(AvgPrice[Value1]-VolWAPValue));
Value3 = Value3 + Value2;
End;
VolWAPVariance = Value3;
VolWAPSD = SquareRoot(VolWAPVariance );
Plot1(VolWAPValue, "VWAP");
Plot2(VolWAPValue + VolWAPSD, "VWAP1SDUp");
Plot3(VolWAPValue - VolWAPSD, "VWAP1SDDown");
Plot4(VolWAPValue + (2*VolWAPSD), "VWAP2SDUp");
Plot5(VolWAPValue - (2*VolWAPSD), "VWAP2SDDown");

[Frank]

remember, this is just a scalp.

Set-Up for Wednesday Jan 8:

[Frank]

there was no set-up all day today for this. the market was moving 1 deviation at a time and therefore 'self-correcting' along the way..

There was one moment that was really close though and I was watching for an entry but it didn't happen. I will watch to see if this should be included in the set-up in the future (2 std devs and a higher low -- 'turn up in the oscillator).