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.
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.
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