Trading with Market Statistics VII. Breakout Trades at the PVP

[sbatrader 10]

are the Bollinger bands a good substitute for what you describe as the 1st and 2 nd SD of the VWAP?

[jperl 11]

are the Bollinger bands a good substitute for what you describe as the 1st and 2 nd SD of the VWAP?

no they are not the same.

[macdfx 10]

are the Bollinger bands a good substitute for what you describe as the 1st and 2 nd SD of the VWAP?

 

no they are not the same.

 

sbatrader, read the posts on VWAP in this forum, as it explains it in detail for you (but there is a lot to read as well)

[BlowFish 10]

There are issues with how IB report volume (even if you process it tick by tick). Usually it's fine but every now and then it's a point or two off over the day. IB's charts are rudimentary at best (many others are less generous) .

 

You can use any charting package that supports IB and has the appropriate indicators written for it. I use Multicharts. Amibroker would do the job though I don't think it reads IB history. I am not sure about Sierra but would guess so. Ninja is a possibility too.

[tucciotrader 10]

Hi everybody,

 

I have the following scenario as shown in the screenshot attached. I am trading the italian index future and from 10am to 11am a lots of good news has come out. so the future has just gone up like great! So the PVP is at 20450 and the VWAP is at 20259 I'd assume that means negative skew also because now the price action is in the low region and I'd be expecting the market to retrace. Would I be wrong going short from PVP to the 1SD or what is best to do?

 

thanks

[jperl 11]

Hi everybody,

 

I have the following scenario as shown in the screenshot attached. I am trading the italian index future and from 10am to 11am a lots of good news has come out. so the future has just gone up like great! So the PVP is at 20450 and the VWAP is at 20259 I'd assume that means negative skew also because now the price action is in the low region and I'd be expecting the market to retrace. Would I be wrong going short from PVP to the 1SD or what is best to do?

 

thanks

 

Wait for the price action to drop below the 1st SD before you consider a short.

[tucciotrader 10]

Wait for the price action to drop below the 1st SD before you consider a short.

 

thank you! By the way it ended up like this (attachment)

[BlowFish 10]

If you go through the threads Jerry has answered my questions on this subject on a couple of occasions. There are a couple of scenarios that cause it that result in price continuing in the original direction. If the 'base' that price comes from is not within your data sample you can get PVP leapfrogging the PVP and price trending on. This can quite often happen on days where price just trends from the open. This is one of the issues with using Persons approximation.

[slowpork 10]

From my screenshot of 2-min EurUsd futures on 8/12. As a newbie, I can understand section A where skew is negative (blue VWAP is below purple PVP) and to trade short from VWAP and target at SD1 or SD2.

 

However, in Section B, purple PVP moves below SD1 and skew becomes positive. Price doesn't seem to care about positive skew, breaks downside and touches SD3 3 times. I don't wanna be newbie anymore. How do I trade as an expert? Scalp using Shapiro effect and go short at SD1 & SD2 , and long at SD3 & SD2 & SD1, whenever price touches them?

 

Section C, PVP moves up while skew is still positive. However, price never touches VWAP. Price dances at SD1 several times before breaking downside from SD1 to SD3. If I were to go long and short at SD1 w/ Shapiro effect, I would be stopped out 2-3 times because getting it right. :crap:

 

Any comments or kind words from Jerry will be greatly appreciated.

 

-Slowpork

[BlowFish 10]

This 'stair stepping' of the PVP is a phenomenon that I noticed fairly early on and has been discussed on several occasions within the threads. It tends to happen when you don't have the 'base' that price is moving from in the data sample or if volume is steadily increasing (so each new higher volume move causes a pvp 'jump') often it is a bit of both.

 

There are a couple of potential ways of dealing with it but they are not ones that Jerry has advanced, in fact he may well frown on them. One obvious one is to trade a different sample size. I don't know about currencies but with the indexes this behaviour often occurs at the open when there may well be no 'base' established that day. Adding the previous days sample in (as Jerry describes in the position trading thread) often sorts things out. There is a danger here of looking for a sample that fits what you want rather than picking a sample and letting it tell you what it wants. I have grown to like adding the previous day's sample in, currently in the DAX it often seems to 'interact' with price better than today's only.

 

Another thing I do (and I think Jerry might be more disapproving of this one ) is look at a larger data sample for 'context'. Pretty similar to more traditional 'TA' where you look to a larger time frame for context. Again I think I have spoken of this before and Jerry has offered his words of caution about this! (Missing plenty of good trades on the sample you are trading).

[ochie 10]

Another thing I do (and I think Jerry might be more disapproving of this one ) is look at a larger data sample for 'context'. Pretty similar to more traditional 'TA' where you look to a larger time frame for context.

 

Yes. And it's also similar to the way a trader using MP might reference the previous day POCs from a 30 min to a faster TF (as I did in the past) although Jerry's previous session HUPs offer the levels but not the true context nor was there a step up in TF if memory serves. That said, it's still the best work on practical market stats I've seen.

Edited August 17, 2010 by ochie

[gebi 10]

A greeting to all,

 

congratulations to Jerry for its 3D. This is my first post and my question is this:

 

What is the formula to automatically detect the position of the PVP and its around on the VWAP?

 

Thanks for the reply.

 

PS: sorry for my bad English, but is not my mother tongue.

[BlowFish 10]

There is a series of threads if you work through them it is all described.

[malverd 10]

On the last trade with the Shapiro Effect, is the initial stop loss still at the PVP?

 

After you move into a profit with the bar closing, then you move the stop to breakeven?

 

Thanks, great videos & insight.

[linkon7 10]

Im having lil difficulty in understanding this, attaching chart of Nifty Future( Index Future traded @ NSE India )

Please answer my queries,

1) as one can see skew is +ve in chart but price is below Vwap n one point also below PVP--- how to trade this ? i have made notes while Reading these threads where i noted that in these situations ..trades should b done into Low volume region with range extension..don't remember exactly which thread that was..can u explain this again

and

2) mark at Point 1...so far skew is +ve/price above Vwap n im looking to enter long..if i enter @ Vwap( point 1) should i put my stop @ today's PVP or should i scale another lot @ PVP..n in that case what should be my stop or reverse method..coz i think buying another lot @ PVP ..it would be naked long..

 

I hope Jperl is around..Great Threads Jperl, learned a lot form it..Sincerely thank u very much for your time

Please reply.

[BlowFish 10]

Remember you don't need to trade all the time, if it does not meet your criteria there is no trade. Having said that you might want to review the break out thread (and possibly the symmetrical distribution one though this does not look symmetrical to me). That gives ideas of other circumstance to initiate trades.

[ammo 10]

Im having lil difficulty in understanding this, attaching chart of Nifty Future( Index Future traded @ NSE India )

Please answer my queries,

1) as one can see skew is +ve in chart but price is below Vwap n one point also below PVP--- how to trade this ? i have made notes while Reading these threads where i noted that in these situations ..trades should b done into Low volume region with range extension..don't remember exactly which thread that was..can u explain this again

and

2) mark at Point 1...so far skew is +ve/price above Vwap n im looking to enter long..if i enter @ Vwap( point 1) should i put my stop @ today's PVP or should i scale another lot @ PVP..n in that case what should be my stop or reverse method..coz i think buying another lot @ PVP ..it would be naked long..

 

I hope Jperl is around..Great Threads Jperl, learned a lot form it..Sincerely thank u very much for your time

Please reply.

it looks like a large hns,see if it sets up and plays out ,if not trade the mp on the left...i added an image,1st time, and it didnt come thru,sorry

[linkon7 10]

You r right Blowfish, there is no need to trade all the time but once u miss move, looking for reentries , may be i should have used Shapiro effect.

Actually there was no conviction at all at open..it was open Auction so i tarded both sides Trade(scalps) , made money..bt its Point2 in earlier chart..where Skew +ve bt price moved below Vwap n Pvp..i got Whipped there n ended day with loss :crap:

btw here is how it closed..from point 2..moved +30 points.

 

@ ammo ...in HNS shouldn't be ..head higher than both shoulders..here its opposite.

 

Thanks guys..

[ammo 10]

You r right Blowfish, there is no need to trade all the time but once u miss move, looking for reentries , may be i should have used Shapiro effect.

Actually there was no conviction at all at open..it was open Auction so i tarded both sides Trade(scalps) , made money..bt its Point2 in earlier chart..where Skew +ve bt price moved below Vwap n Pvp..i got Whipped there n ended day with loss :crap:

btw here is how it closed..from point 2..moved +30 points.

 

@ ammo ...in HNS shouldn't be ..head higher than both shoulders..here its opposite.

 

Thanks guys..

couldnt see the timeframe on your chart but hns can have 2 heads

[Malvolio 10]

 

Regardless of whether price action has moved to the PVP or the PVP has moved to the price action, the effect is the same. You are now looking at a zone where trade entry is precarious, so be cautious.

 

Hi Jperl,

 

thank you very much for your effort you made posting here. I noticed that a volume (PVP) shift not necessary means that you are trading in a zone where trade entry is precarous. Because when you are in a trending day the PCP (or VPOC) is shifting behind price and price will make a directional move away from PCP. So for me a PCP shift is often an indication for an established trend (depending on the volume distribution and price action). Trading with the skew would then mean trading against the trend.

How do you see it?

 

All the best,

 

Malvolio

[BlowFish 10]

Hi Jperl,

 

thank you very much for your effort you made posting here. I noticed that a volume (PVP) shift not necessary means that you are trading in a zone where trade entry is precarous. Because when you are in a trending day the PCP (or VPOC) is shifting behind price and price will make a directional move away from PCP. So for me a PCP shift is often an indication for an established trend (depending on the volume distribution and price action). Trading with the skew would then mean trading against the trend.

How do you see it?

 

All the best,

 

Malvolio

 

I have noticed this and mentioned it a couple of times over the course of the threads. (probably rather labouring the point).

 

Price will move in the same direction for most of the day and volume will increase with each push attracting new buyers and sellers. On days like this the PVP will frequently jump ahead and form in the new high/low territory (as there where so many buyers sellers at that point). Price often will not hang round there and continue in he same direction. You will get the PvP 'stair stepping' along with the new extremes.

 

There are several things you can do.

 

Stay out of the market. This would possibly be the best choice, it follows Jerrys principles too.

 

Take breakout trades at the 1 SD. In practice I have found on these days the PVP will usually be above the 1SD so this probably won't trigger a BO trade as described here.

 

You could take trades at the 1SD even if the PVP is not between 1SD and VWAP. This pretty much runs against what Jerry has shown us here. You might not even have much chance of that as price leaves the VWAP and 1 SD behind.

 

This is a little hard to describe in words but I have previously posted charts of this type of price behaviour/

[Malvolio 10]

 

This is a little hard to describe in words but I have previously posted charts of this type of price behaviour/

 

Thank you very much for your post. I will look for the others you mentioned.

 

I have attached a chart (FDAX) from yesterday where we had a strong trend day. You can easily see that the VPOC was jumping ahead (pink stepped line).

In addition price was often rejected at the VPOC.

 

All the best,

 

Malvolio