17/08/10

Pretty rare VWAP rule pattern was posted during the past monday session. After ES have slided below VWAP w/ new $tick session low, there was strong pullback. Moreover, after ES again started to shrink there was one more pullback to the upside. Only after that the market fell sharply, as the VWAP rule had called for.



Recent pattern indeed looks similar to its 31st march peer, w/ few differences.



Why did that monday's pattern appeared to be so ugly and pretty unusual in comparison to others VWAP rule occasion? The reason is volume. It has shrunk dramatically. Volume was at the lowest level during at least last five sessions and is staying now near quarters record lows.



That’s why correlation between stock indexes also fell dramatically.



Above you can see three futures charts of: S&P 500 (ES), Nasdaq Composite (NQ) and Russell 2000 (ER). From 20:04 Zurich time, when ES have posted lower high before VWAP breakout, to 21:13, after what it have started to rise considerably, it have lost only 0.6%. To compare, during the same period Russell lost 1.1% and Nasdaq some 0.8%. So it’s obvious, that on the back of low volume, there was huge support on ES near 1073.5pts, that bears had failed to breakout.

I was calling for more dramatic downside move after VWAP breakout and haven’t fixed near 1073.5. All at all, zero for the session.

11/08/10

The first trade of the past session was opened on fundamental reason. Yesterday the Fed have changed its monetary policy significantly from february's 2010 promises of pulling out financial aid and probable rate hike to support extension. Plus kind of preparation for larger scale moves to support US economy closer to the current year finish. ES already was sliding 2.5 percent but for me it was clear that during the day before stocks didn't react in full mode, that's why I was calling for downside continuation move. Internal were in favor of my digestion. As in the missle of the session ES refreshed its day low, I have decided to close the trade cause there was a possibility kind of pullback.

But I have not canceled my bearish contemplation. That's why when closing to the day finish ES was at the bring to make new session low, I ones again opened short position. Internals againg were in favor. As u can see below:



1) there was almost no $tick above +800 and 2 $ticks below -1.4k. Plus check out correlation between zero level and 20 EMA line;
2) strong downside trend on $vold chart.

ES indeed have slided as I have expected, but soon there was a pullback. I didn't expect it so I prefer to escape any possobility of the loss.

Nevertheless, after six minutes I have opened 3rd during the session short, ironically w/ open price equal w/ o/p of the 2nd position. The market again started to dip, but there was no free fall as I have expected (and indeed have occurred, but only after the closing bell). ES had some difficulties to go lower. Even more, swings were too dramatic and unclear, that's why I have decided to fix small profit. For the session plus 2.5%. I don't like this in a matter of fact, that after yesterdays Fed decision I have already been bearish on the market.

09/08/10

The long position was opened on:
1) financial sector - the weakest during the first session's hours - posted higher high;
2) $add was at the brink of higher high;
3) all the day $vold was trending higher;
4) Russell 2000 futures have already posted higher high unlike ES.

Was waiting for 1227 pts cross, that corresponds to be yesterday's overnight high, but the following issues were tending me to close the trade:
1) no financials and energies - the weakest - new interim higher highs;
2) inappropriate $add support of the ES recent move.
All at all, nice entry - nice exit.

06/08/10

OK, since now I'll forget about easy to reach take profit orders.

03/08/10

The market is loosing its momentum. Yesterday session's volume appeared to be one of the lowest during the current quarter. Useless to mention, volatility declined sharply w/ VIX near year's low. Nevertheless, have opened the position - short hour before the closing bell.

The reasons of the entry were:
1) energies and materials - the strongest and the weakest sectors during the session respectively - have posted lower low unlike ES;
2) $vold also have posted fresh session low;
3) plus $trin was at 1.5 at the moment of the entry.

Fixed as it was appeared, that leading internals - $add and $tick - were betting for continuing range mode - not decline. The trade was fixed by take profit order, placed near sessions pivot point level and day's previous lower lows.

Jul10 P/L%

As for the july 2010 minus 9 percent.

29/07/10

The short position's reasons of entry were:
1) bearish divergence on 5 minutes and minute charts, respectively;
2) there was faulty 'VWAP rule' execution hour before the trade open. Mean, there was no $tick session high, when ES have break out VWAP.

Take profit order was near 1095.50 - 2009's one VPOC, session's S1 and previous day lower low. But after yesterdays faulty take profit policy, I thought better small profit versus no profit at all. Time have showed I really had to wait.

28/07/10

Entered short position on:
1) $add have posted lower low unlike ES;
2) $vold have posted lower low unlike ES;
3) overall bearish internals (1 $tick above 1k vs 1 $tick below 1.2k).



Take profit order was placed one tick above 1099.00 - 11th december '09, 2nd february '10 VPOCs. But ES twice failed to touch this level. It was not a secret, that the trade reasons of entry were rather poor, so after 1st 1099.25 points touch I have to push take profit order one tick to the upside.

27/07/10

Today was revealed one more add to the VWAP rule. The market, that have breakout VWAP w/ new $tick day high, will not continue upside momentum, if there was a version of the rule before during the session.

14/07/10

For the first time since VWAP rule was conceived, I have seen at ones two rule's patterns during single session. It occurred yesterday, on wednesday. Primarily there was VWAP downside breakout w/ new $tick day low. And then, in 35 minutes dead before the closing bell, there was upside VWAP breakout w/ fresh $tick session high, respectively. And the market performance in this situation did provide worthless data how to make profit while such pattern would took a place in future.

Downside VWAP breakout, that was the first, indeed was not strong and did not look like usual rule's pattern. When ES did break below VWAP, $tick have posted minus 938. That was not enough to confirm VWAP rule at a place, cause previous $tick day low was minus 999. But three minutes later $tick have refreshed its day minimum to minus 1013. That was already 14 point more than previous sessions low.



Moreover, there was no appropriate pullback. As u can see below, typically on the VWAP downside breakout pattern there is always a pullback - point two - at least to the VWAP level.



But in that time there was no pullback to the VWAP, and the market was trending lower w/ no pauses during first half an hour after the breakout.



In comparison, upside VWAP breakout at the very beginning looked more appropriately. When there was the breakout of the resistance level, $tick have posted plus 1186. That was 158 points higher than previous $tick session high.



In anticipation of a bulls coming superiority I have entered long position. But there was no upside move continuation. The market have pooled back far below VWAP. Nevertheless, up to the closing bell the market have surged sharply, breaking VWAP to an upside ones again.



All at all, consumptions I have to conclude are:
1) 14 $tick points spread is OK. Back to my post on 8th july of the current year I have said: "the market will continue to move in a direction of the VWAP breakout only when $tick higher high is more than 15-20 points higher than $tick lower high". Today was the second occasion when the spread between $tick higher high and lower high (and vice versa) was comparably small. In previous occasion the spread was only two point and the VWAP pattern rule was not materialized. And yesterday it was 14 points and the rule was in action.

That's why when the spread between $tick higher high and lower high, while VWAP rule potentially at a place, is lees than 10 points - no upside momentum continuation will be. Between 10 to 20 points - I can enter w/ usual trade risk limit. If more than 20 points - trade risk limit could be doubled.



2) For now, seems like second VWAP rule's pattern during single session will likely not realize. But to know better typical market execution during such occasions I have to meet mote situation like that.

13/07/10

The closing bell has rang and here goes one million bucks new add to the VWAP rule. As I have said in my previous post, equal $tick highs do signify no continuing momentum after VWAP breakout. Equal highs means the difference between previous $tick maximum level during the session (lower high) does not exceed 15-20 points w/ new $tick high (higher high) posted while the market was breaching VWAP level.

But now it appears, that equal $tick highs do not necessarily signify bulls coming superiority, as it was considered before. Indeed, while equal $tick highs were posted, the market is likely to breakout VWAP to an upside ones before the session finish. Still, there is possibility of no bulls win. And vice versa.

That conclusion is based on the second out of two trades I made during the past tuesday session. The first position was hugely based on false VWAP breakout. According to VWAP rule that was obvious, cause there was no new session $tick low during the market VWAP breach.



As u can see on the chart below there was fresh session $tick low - minus 1126. But it was posted when SPX was only close to touch VWAP. And when the market slided below VWAP there was no new $tick low - only minus 1091.



It means there was kind of equal $tick lows under VWAP rule. In fact, the spread here is 35. But here goes some discount, cause both $ticks were placed over 5 minutes distance.

And the reason of the second trade was expectation of bears coming superiority and VWAP downside breakout, respectively. That anticipation was based exactly on previous equal $tick lows from the VWAP rule pattern, I have said before. I thought, that such kind of the pattern is a nice forerunner of coming downside leg. I have entered short position, but the market continued to climb higher.

All at all, have to say, that during the last 10 minutes of the session the market have slided sharply and during afterhours finally there was downside VWAP breakout.

08/07/10

From theory to numbers. Last session was coupled w/ the loss of 2 percent. The only to blame is the solid trade. The position that was opened on one key reason – VWAP rule.



Along w/ that, today I have extended the risk limit exactly on "VWAP rule" trades. Instead of receiving 2.5 percent maximum loss, now its possible to fix minus 5 percent on such positions. The possibility of huge drowndown have persisted already today, but I have managed to close the trade in time, so no major fund damages occurred.

Back on track, the reasons of loss are in my core approach in opening trades on the issue of "VWAP rule". It's when the market, for example, do breakout VWAP to the upside w/ new session $tick high that represents like a true confirmation of bulls superiority.

The first issue is that my $tick provider did show me different data reading. Firstly, lower high was plus 1029 and higher high was plus 1031. But then lower high was plus 1059 and higher high was plus 1054, that means no VWAP rule pattern at a place.

And the second is a $tick numbers valuation. Now, as the closing bell has rung, it's clear that lower high was plus 1029 and higher high was plus 1031, like it was initially said. But seems like it is time to correct the VWAP rule. Since now it is obvious, that:

1) I should not enter while it's VWAP rule pattern and two highs are almost equal. The market will continue to move in a direction of the VWAP breakout only when $tick higher high is more than 15-20 points higher than $tick lower high.



2) And as the session have showed up, equal $tick highs in the VWAP rule could be a nice forerunner of the bulls coming superiority and VWAP breakout to an upside, respectively.



Hour before the day finish the market again have posted VWAP rule pattern. But now $tick higher high was 1074. And previous session highest point – lower high – was only 1031 (43 points lower). And as u can see from the chart above, the rule pattern excellently realized.

07/07/10

While inarguable bull markets goes on it's a buy time w/ no need of an entry reasons. That is the key conclusion from the past wednesday session.

No trades were done. But there could be one. Long position hour before the closing bell. And the main issue of the trade open could be strong bullish internals. Market environment indeed was so:

1) no $ticks below minus one thousand and three $ticks above one thousand and two hundred hour before the day finish;
2) while $spy was adding some 2 percent in the second half of the session $add have surged on two thousand points w/ nice market higher high confirmation;
3) $vold looked like crude on the daily chart at the first half of '08 - no drawdowns w/ gradual and stable pushing higher. The only difference - no huge and record, respectively, numbers;
4) and finally $trin was near zero dot three at the second half of the session.

Match this w/ leading 8 sectors of the US economy that statedly confirmed almost each market higher highs and u'll get exactly true bullish internals. On the back of this, seems that is OK to rush into a long position while it is clear that all bears attempts to strike market down were broken up.

06/07/10

Today was a good trading day. The fund have lost some 2 and a half percent, but on perception that was still nice session in term of my analysis.



In short, I have entered short position w/ the bet of the market downside move on some 6 points from the level of my entry. In fact, the market exactly have dipped like I was forecasting. But before, there was the pullback, when my trade was fixed by stop loss order. And instead of fixing plus 6 percent, the fund get minus 2 and a half percent as of this trade. So what the hell was wrong?

Now probable answers are:
1) poor spread policy between stop loss order level and open price level;
2) poor issues of entry - I should wait for more valid reasons;
3) everything was OK - blame a hedge fund or a tough guy on a floor that have sparked that sudden upside move.

The reasons of the short position were:
1) $add was making lower low - but only one minute before ES have made this - poor forerunner, but here OK;
2) $vold have posted sharp downside move. Here it's not OK. Huge draw dawn was on 13:18 ET and the moment of the trade entry was 13:19 ET. Lets be honest, yes $vold weakness good reason but a trading is not watching in a crystal ball;
3) internals were in the trade favor - bearish according to $tick and $vold stats;
4) no recovery in the weakest sectors - not appropriate.



So lets go back to my proposed answers on the question about what have exactly caused the trade to bring the loss to the fund.

1) Spread policy between stop loss order level and open price level was not poor at all. The trade could avoid stop loss if that order would be placed 3.75 points above open price. That is tremendously huge spread in my supposition that can't allow the fund to have solid profits.

2) The reasons of the entry were not appropriate. That's the answer that is more closer to the truth than any one else. About $vold I have said already and $add was also not a valid reason. Internals issue, the only that have left, is a single matter of the entry, that can not be a worthy reason.

Want to emphasize, that on 13:19 ET - the time of the trade open and ES making lower low, respectively - the two weakest sectors during the session, materials (#XLB) and consumer discretionary (#XLY), were not making lower lows. That's the key point. Thats why there was a rebound, not cause of tough hedge fund. Weakest sectors just stop to be weak.



If I just wait for a while, it will be obvious, according to $add dynamic, that bulls were loosing ground. And what is more necessary, is that there was no rapid recovery in the weak sectors that have to be, if the market reversing to an upside.

All at all, the reason of today's loss is 2) poor issues of entry - I should wait for more valid reasons.

02/07/10

Rushed into the long position cause VWAP rule pattern have appeared. Fixed the trade as the market have approached strong resistance level, which have consisted from 3 VPOCs:
1) 1025.50 - 24 august '09;
2) 1025.00 - 26 august '09;
3) 1024.50 - 9 september '09

Have to say, that it was really lucky exit, cause soon the market have pulled back sharply. And should emphasize, that the only forerunner of such possible move was exactly VPOCs data, cause there was no sluggishness in sectors, $tick, $add and etc.

Jun10 P/L%

Plus almost 3 percent in bucks term and plus 4 percent in ES points.

18/06/10

As the volatile session was coming to its final part I have opened the long position on:
1) industrials and tech sector - the 3rd and the 2nd weakest sectors - have posted higher highs;
2) $add made higher high, unlike ES equal highs;
3) internals were in favor, bullish: 2 $ticks above 1k vs zero $ticks below -1k.

But soon I had to fix small loss, cause a huge bunch of issues have appeared, calling for the market slide:
1) consumer discretionary sector - the weakest during the session - posted sharp downside move;
2) there were no ER and NQ higher high unlike ES have posted;
3) new bearish divergence w/ 3/10 oscillator and $tick confirmation have appeared;
4) no $add 2nd higher high unlike ES;
5) $vold was even more bearish with no higher highs at all.
The market in fact continued to oscillate near VWAP for a while after what have slided, like 5 issues above were calling for.

Btw, attention!
Right from now I do stop reporting here about all trades I do open.

17/06/10

Todays long position was absolutely based on VWAP strong breakout rule, I have revealed at the past month. Want to emphasize, like I have mentioned before in the rule notes, that VWAP breakout pattern have executed perfectly even on the back of internals that were not in favor. Internals were bearish w/ 19 $ticks below -1k versus 3 $ticks above 1k. The position was fixed by the take profit order placed near session previous interim high.

16/06/10

Rushed into the long position, cause the following issues were revealed:
1) energies - the leading session upside pusher - was bullish w/ no lower lows unlike ES and majority of sectors;
2) internals were also bullish w/ only one $tick below -1k vs 5 $ticks above +1k and one $tick above 1.2k.

But I have made double mistake.
1) the contract I have opened was the old one futures, already expiring, w/ low volume respectively;
2) the reasons of the entry were really not cool, weak.

15/06/10

Two hours before the day finish opened long position on the reasons:
1) majority of the sector were at the brink of higher highs;
2) $add was trending higher;
2) $vold was trending higher;
4) market internals were in favor w/ 6 $ticks below -800 vs 5 $ticks above +1k and one $tick above 1.2k.

Fixed the position as it was revealed, that the position was based on already expiring contract w/ low volume, respectively.

11/06/10

Entered long position on the reasons:
1) materials (the strongest sector) and financials (2nd weakest) posted higher highs;
2) $add higher high;
3) $vold higher high;
But, should note, internals were bearish w/ even 8 $ticks below 1.2k vs only one $tick above 1.2k.
The trade was fixed by take profit order placed right below previous sessions high.

06/08/10

Shorted on the back of the issues:
1) financials sector - the strongest - looked very weak;
2) tens of minutes before the entry there was strong VWAP breakout w/ fresh session $tick low. According to my past observation, that pattern was forerunner of the downside move continuation;
3) internals were in favor, bearish.

But against my short was bullish $vold. Nevertheless, I have fixed profit, as the market slided to the interim support level, that, in my supposition, could stop bears momentum.

Later, closer to the session finish, I have rushed into the second, long trade, cause normal bearish divergence, that have appeared on 3/10 oscillator was not confirmed by $tick. But against the position was bearish $vold and overall internals. The trade was fixed by stop loss order, cause bulls failed to push market in a matter I have bet for. Still, the day was finished w/ the sharp upside move.

07/06/10

Entered short on:
1) energies sector - the strongest - making lower lows unlike ES;
2) $add trending lower;
3) $vold trending lower;
4) bearish internals w/ 5 $ticks > +1k vs 8 $ticks < 1k and 1 $tick < -1.2k, plus $trin at 1.4.

The market have indeed slided sharply but only after small pullback that made me fix the loss bu stop loss order. The mistake was poor spread between open price and stop loss order level politic.

May10 P/L%

Minus almost 8 percent for the may of 2010.

25/05/10

Hour and a half before the session finish opened long position cause folowing isuues were calling for the bulls continues superiority:
1) $add unlike ES have posted higher high w/ very strong surge;
2) materals - 2nd strongest sector - made higher high and industrials - 2md weakest sector - was at the bring of the higher high.
But, should note, that internals were against the trade w/ $add minus 2.5k while SP500 was losing only 1.8%.

The market have continued to rise like I have expected. Still, there were lots of times, when it seemed like ES have posted its interim high and will start to shrink. Nevertheless, as a result, that trade was the longest since 26th april, and its duration is near 50 minutes.

One of the leading factors that was calling for the market rise continuation was $vold. No matter during the first part of the session it was only declining, closer to the day finish it have stated to rise dramatically (click the chart above).

The position was fixed by take profit order place right near 1067 ES points, that, in my supposion, should be very strong resistance level. It is 9th and 10th feb '10 plus 22nd sep '09 VPOCs. But in fact, market continued to rise further.

24/05/10

Entered long position on the reasons:
1) $add have posted almost higher high
2) internals were bullish, in trade favor, w/ 4 $ticks below -800 and 3 $ticks above +1.2k, plus $trin was near 1.5 at the moment of the position entry

But 4 minutes later the trade was fixed by stop loss order. Here are the issues, why the market have slided ones I had entered:
1) $add higher high in fact was within several ticks
2) $vold was near the session low - bearish
3) normal bearish divergence was against the trade.

21/05/10

Less then an hour before friday session finish I have opened the trade, long position, cause the following issues were calling for the downside market move:
1) seemed like VWAP downside breakout was weak, cause there was no $tick session low;
2) there was no sluggishness in the weak sectors;
3) internals were in favor, bullish.

But the trade soon have met stop loss order, cause the market started to plunge. What the hell all 3 trades of 21st 2010 week brought me the losses? In short, what was the fault of that last trade?
1) The entry reasons were poor. "Seemed" and "there were no sluggishness" w/ no special numbers are not appropriate reasons.
2) I did not notice but $add was just perfect forerunner of ES downside trend continuation. While ES as well as $spx after the VWAP downside breakdown have posted higher low, $add have made lower low (click the chart above to see).

20/05/10

Rushed into the short position on:
1) lack of bulls creditability to push market higher even after kind of VWAP breakout to the downside;
2) energies and industrials - the weakest sectors - were making lower lows unlike ES;
3) and of course internals were very bearish - in favor to the trade.

But the market have pullback some batch of points to the upside. And the position was fixed by stop loss order. What was wrong?
1) The spread between open price and stop loss order level was too small.
2) I did not notice that $tick unlike $spx or ES have made lots of higher lows - that was bullish sign calling for, at least short, upside pullback (click the chart above to see).

18/05/10

Opened long position on the reasons of:
1) sharp financial sector recovery. Exactly banks and isurers were the leading laggard of the morning, cause of bearish Meredith Whitney comments.
2) bullish internals w/ no $ticks below -400 at the moment of the entry.

But the market have easily continued to plunge and internals soon became bearish. Note, that the session was started w/ $add plus 2k+ but finished w/ $add on minus 1.6lk - tremendous breakdown. The reason of the trade default seems to be weak internals. Financials, indeed, were even not the weakest sector at the open.

VWAP strong breakout pattern

May 18/10 - While reviewing past session ES performance I have noticed algorithm in correlation between ES and VWAP. Below I will explain all details of a pattern that occurs quite often in the market. That knowledge will help you to make very nice trades, based on historic execution of ES concerning VWAP breakout.

Back to the start of my current public fund I have noticed 5 occasions, 5 days, concerning ES VWAP breakout. Pattern I'll talk about occurred during the sessions on: 17th march, 25th march, 31st march, 7th april and 17th may.

During all that days the market did not executed in a range type, so ES did not oscillated across VWAP a lot.
In almost all occasions final session ES VWAP breakout occurs during second part of the day, when coming to the closing bell the market did try to change its direction.
In all that days ES did upside/downside breakout VWAP with new $tick session high/low.
After breakout ES made pullback to test VWAP level or even shortly slipped below VWAP.
But in all occasions soon ES did continued to go under the direction of VWAP (initial) breakout.

Want to emphasize, that market environment do have a very limited impact on that pattern. And that fact nicely prove 17th may occasion. Market internals were very bearish. Before VWAP upside breakout there was no $ticks above +1k and even 5 $ticks below -1k. No matter that issue, ES upside swing after breakout was tremendously huge.

Below you can see how the pattern looks like.


1st point - breakout itself. It could be very strong and can push market far above/below VWAP. Or it can be poor (but still w/ fresh $tick session high/low) and the 2nd point can come very soon.

2nd point is pullback. Here you can see VWAP breakout test or even dip below/above VWAP level for a short period of time. Then goes a huge spike under the direction of VWAP (initial) breakout

Here below you can see how it looks like in practice, in that 5 occasions I have mentioned before. You can click on each of that patterns to see the day internals and overall ES session performance on the 5 minute chart.

VWAP upside breakout:


VWAP downside breakout:



So, if ES do VWAP upside breakout w/ fresh session $tick high, the market will continue go far above that level, no matter possible short, in term of time, pullback below VWAP (and vice versa).
Also in such patterns never enter on divergence that occurs against market breakout momentum.


UPDATE1
July 17/10 - Here goes 6 more rule's patterns occasions (total amount now counts 11):


internals


internals


internals | trade


internals | trade


internals | post


internals | post

Also want to summarize previous investigations. On 8th june I have said, that the market will continue to move in a direction of the upside VWAP breakout only when $tick higher high is more than 15-20 points higher than $tick lower high. See imagine below.



On 13rd july I have emphasized, that equal $tick highs do not necessarily signify bulls coming superiority, no matter VWAP pattern will not realize.

Finally on 14th july the dispute about the spread was finished. It was revealed, that when the spread between $tick higher high and lower high, while VWAP rule potentially at a place, is lees than 10 points - no upside momentum continuation will be, so no entry. Between 10 to 20 points - I can enter w/ usual trade risk limit. If more than 20 points - trade risk limit could be doubled. Below it's nicely depicted.



Also in that day I said, that second VWAP rule's pattern during single session will likely not realize.


UPDATE2
8 Октября 2011 - Мною зарегистрировано ещё 3 случая, когда рынок торговался четко в том алгоритме, который прописан правилом VWAP. О них и пойдет речь ниже. Но сперва Я приведу 2 других таких случая из этого блога, которые Я ранее в этот пост не заносил. В итоге, общее количество зафиксированных Мною случаев с участием правила VWAP теперь составляет 16. Во всех 16 случаев, 100%, рынок двигался именно в том направлении, которое прописано в правиле.

Вот те 2 случая четкого исполнения VWAP rule, которые были в блоге, но только сейчас попадают в данный пост:

18/08/10


02/07/10


Чтобы сразу разобраться с прошлогодним материалом, не попавшим в этот пост, приведу ещё один случай, произошедший в ходе сессии 27 июля. Тогда правило VWAP проявилось дважды, но ни разу рынок не повёл так, как это предписано по правилу.



Выводы в посте об этой торговой сессии сделаны. Вкратце, вот они:

Если признаки правила VWAP проявились в первой половине сессии, то правило не действует. Т.е.
VWAP rule дееспособен исключительно во второй половине сессии.

Если ситуация с правилом VWAP возникает второй раз за одну сессию, оно не дееспособно.
Рынок не пойдет по направлению, которое прогнозирует правило.

Итак, касательно ситуаций с VWAP, которые Я зарегистрировал в этом году. Мониторить Я по этому вопросу начал только недавно, поэтому, естественно, случаев с правилом было по факту больше на рынке. Вот эти 3 ситуации с true VWAP rule execution:



Выявил эти ситуации путём анализа каждой сессии в период с 28 июля 2011 по вчерашнюю сессию, 8 октября 2011. Выходит, что за прошедшие, примерно 3 месяца, проявилось всего 3 случая VWAP rule. В июле, сентябре и октябре.

В итоге, вот как выглядит таблица появлений всех 16 случаев присутствия VWAP rule на практике, которые Я зафиксировал.

2010 03 (март) 3
2010 04 (апрель) 1
2010 05 (май) 3
2010 06 (июнь) 1
2010 07 (июля) 4
2010 08 (август) 1

2011 07 (июль) 1
2011 08 (август) 0
2011 09 (сентябрь) 1
2011 10 (октябрь) 1

Совсем не факт, что в июле текущего года был лишь одна сессия с правилом, равно как и один раз встретился VWAP rule в августе прошлого года. Неполнота данных связана с отсутствие нужного для исследований программного обеспечения (расчет VWAP более 3 месяцев назад) и доступ к архиву $tick.

Так или иначе, выходит, что в среднем в месяц правило может появиться от одного до двух раз. И этот вечер, дабы сделать денег на этом, ещё нужно не упустить! Однако, существуют ситуации, когда рынок пробивает VWAP но в этот момент самый низкий или высокий $tick не проявляется. Такие ситуации, назову это false VWAP rule breakout, встречаются как минимум такое же количество раз, что и true VWAP rule execution. И самое главное так это то, что на них тоже можно заработать.

Так же, Я выявил, что существует две разновидности false VWAP rule breakout, в зависимости от динамики $tick (на примере пробития VWAP вверх):

1) $tick session high проявляется ДО (before) пробития VWAP вверх, а в сам этот момент higher high не устанавливает. Причем этот $tick session high может появится как за 5 минут до пробития VWAP, так за 3 часа - значения никакого (?).
2) $tick session high проявляется ПОСЛЕ (after) пробития VWAP вверх, когда рынок уже ушёл выше VWAP.



В июле текущего года Я выявил 2 таких случая с false VWAP rule breakout, а в августе ещё 2.
По типам, 3 из них были after:







И один before:



Во всех 4 случаях они всегда возвращались (стандартизируя на примере пробитого ВВЕРХ VWAP) ниже VWAP. Однако в 2 из этих случаев рынок вернулся либо на чуть-чуть, либо по дольше, но потом начал опять пробил VWAP и устремился вверх. А в оставшихся 2 случаев он больше VWAP снизу вверх не пробивал.

В любом случае, очевидно, что может на ситуациях false VWAP rule breakout можно будет зарабатывать, но пока открывать сверх-рискованные сделки, основываясь на этом правиле не стоит. Его нужно ещё изучить, встретить другие подобные ситуации с ним на практике.