[macdfx]

Here's a link I found to Video 3:

TechSmith | Screencast.com, online video sharing, Video 3 - Refinement and Optimization - Part II

[LS_Chad]

Yes, link for video 2 was pointing to video 3. I've corrected now. Thanks for pointing this out.

Chad

[LS_Chad]

Video 4 ,"Scaling Out: Adding a Second Target", completed in series "Fading the VWAP Bands: Idea Thru Automation"

In this fourth video, we continue to refine and optimize the system by adding a second target at 5 points to lock in profit. This change increased our ratio of winning trades to losing trades substantially.

Investor/RT - Fading the VWAP Bands (15 mins)

[BlowFish]

Chad, enjoying the series thanks. Seems like you have something pretty robust as the cornerstone.

A couple of thoughts.

Unless I have missed something you are not using out of sample data for your performance results? (maybe IRT automatically splits the data). Normally you would optimise on months 1 & 2 and look at results on out of sample data months 3 & 4. Maybe I have miss understood. It would be good to see out of sample results at the end of each segment, gives a far more realistic idea of what to expect in trading. It might add the complication that different parameters end up performing better out of sample!

By introducing a second set of targets you are essentially running a separate system (well the same system twice with different parameters). You are blending a 5 point stop 5 point target system that has a greater %winners but lower total profit with a 5 point stop 9.75 target system that is more profitable but with less winners. You might be able to achieve similar characteristics using a single set of intermediate parameters. Certainly as you mix more money management elements (3 targets trailing stops moving to break even) it becomes more difficult to have an intuitive grasp of what's going on. If you know that a certain cert of parameters maximizes return or another set % winners it's easier to keep a handle on things. I'd still be inclined to maintain them as 2 'forks'.

[LS_Chad]

Video 5 in Series "Fading the VWAP Bands" is now available: "Tightening Stops: Locking In Profilts: www.linnsoft.com/fade

In this fifth video, we look at moving our stop up to break even after hitting our initial 5 point target in order to lock in profits. The option of adding to our position instead of exiting when prices comes back to our entry price was discussed. We concluded by discussing some enhancements to the VWAP indicator that should benefit our system as well as how we plan on moving forward.

[LS_Chad]

Video 6 in Series "Fading the VWAP Bands" is now available: "Reality Check": www.linnsoft.com/fade

In this sixth video, we put the system we've developed through a reality check to see if it stands the test of time. We also put our system through a Realization process (walk forward optimization).

[macdfx]

This is a very detailed and good series on using the VWAP as the basis of a trading methodology. Hoping that there is more to the series going forward.

As for the VWAP bands, are you normalizing the Standard Deviations by the volume, as has been suggested, in detail, in various posts on TL?

Or are you just taking the raw SD of the VWAP without normalization?

[BlowFish]

The SD's are also weighted by volume.

I'd like to see more on trading with market stats too. Jerry has done a remarkably thorough job providing details of the framework and principles. If anyone starts a 'practical applications' thread or 'ongoing research' (or just a thread to post charts in ) I'll be there! (The reason I did not is that I am a bit old school about obligations and responsibilities of thread starters, Jerry's support of these threads years later are a shinning example).