Vwap Thread So what is Vwap? Volume Weighted Average Price VWAP =...
Magus@TraderMagus
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Feb 06, 2025
~2 min read
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Vwap Thread
So what is Vwap? Volume Weighted Average Price
VWAP = Cumulative Price x Volume/Cumulative Volume
A simple indicator but when properly understood became the most valuable part of my system
So what is Vwap? Volume Weighted Average Price
VWAP = Cumulative Price x Volume/Cumulative Volume
A simple indicator but when properly understood became the most valuable part of my system
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What are the types of Vwap?
1. Time-Based
2. Anchored
3. Rolling
Yes all of the VWAPs I use are custom before you ask
1. Time-Based
2. Anchored
3. Rolling
Yes all of the VWAPs I use are custom before you ask
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Time: VWAP resets based on set time. Example, monthly VWAP resets at end of each month
Anchored: VWAP starts calculation at set starting point
Rolling: VWAP never resets & is based on a previous set amount of time. Example, monthly rolling is the past month calculated
Anchored: VWAP starts calculation at set starting point
Rolling: VWAP never resets & is based on a previous set amount of time. Example, monthly rolling is the past month calculated
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Where to get access?
Anywhere really, vwap is a common tool these days
I mostly use
-Tradingview @tradingview
-ATAS @AtasTrading
-Velo @VeloData
Used Sierra for years previously @SierraChart
Anywhere really, vwap is a common tool these days
I mostly use
-Tradingview @tradingview
-ATAS @AtasTrading
-Velo @VeloData
Used Sierra for years previously @SierraChart
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TradingView Vwaps
If you search "VWAP" in the indicator section
"Volume Weighted Average Price" will pop up which is the standard VWAP you should mess around with
Easily access the anchored VWAP on the left side tool bar
If you search "VWAP" in the indicator section
"Volume Weighted Average Price" will pop up which is the standard VWAP you should mess around with
Easily access the anchored VWAP on the left side tool bar
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VWAP Anatomy
1. VWAP
2. Standard Deviation 1; Value Area High
3. Standard Deviation 1; Value Area Low
4. Previous VAH
5. Previous VAL
1. VWAP
2. Standard Deviation 1; Value Area High
3. Standard Deviation 1; Value Area Low
4. Previous VAH
5. Previous VAL
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Time-Based & Anchored are my go to
Time-Based: Yearly, Quarterly, Monthly, Weekly & Daily
-There's a cyclicality behind time in markets, they become self fulfilling
Anchored:
-Key swing high/lows
-Event locations
-Shift between momentum & reversion
Time-Based: Yearly, Quarterly, Monthly, Weekly & Daily
-There's a cyclicality behind time in markets, they become self fulfilling
Anchored:
-Key swing high/lows
-Event locations
-Shift between momentum & reversion
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How to use VWAP
VWAP is efficient at both bias formation as well as where & how to execute
First is bias formation, which I consider the most effective use-case. Three simple rules is all that's needed
Next execution, the only thing VWAP won't tell you is when
VWAP is efficient at both bias formation as well as where & how to execute
First is bias formation, which I consider the most effective use-case. Three simple rules is all that's needed
Next execution, the only thing VWAP won't tell you is when
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Bias Formation
1. Structure - Basic Price Structure & Momentum Loss
2. Slope - Slope of the VWAP
3. Over/Under - Price Above or Below VWAP
No moment + Flat slope + Over & Under = Reversion Trading
Momentum + Sloped + Over = Long Momentum Trading
1. Structure - Basic Price Structure & Momentum Loss
2. Slope - Slope of the VWAP
3. Over/Under - Price Above or Below VWAP
No moment + Flat slope + Over & Under = Reversion Trading
Momentum + Sloped + Over = Long Momentum Trading
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Reversion
Trade Logic: Enter into low volume regions(Bands) and exit into higher volume(VWAP)
1. Requires flat slope
2. Fade outside of deviations, exit at mean(VWAP)
3. Looser hard stops(Manual stops are preferred)
Red circles are entries
Trade Logic: Enter into low volume regions(Bands) and exit into higher volume(VWAP)
1. Requires flat slope
2. Fade outside of deviations, exit at mean(VWAP)
3. Looser hard stops(Manual stops are preferred)
Red circles are entries
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Momentum
Trade Logic: Enter into higher volume region @ VWAP during momentum and exit into bands
1. Requires sloped/trend day
2. Enter VWAP and exit deviation band
3. Tighter stops
Red circles are entries
Trade Logic: Enter into higher volume region @ VWAP during momentum and exit into bands
1. Requires sloped/trend day
2. Enter VWAP and exit deviation band
3. Tighter stops
Red circles are entries
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Closing Thoughts
Over time VWAP has steadily grown to take the place as my favorite tool. It does everything I could ask for but most important, VWAP makes things more easier/more efficient. Gone are the days of taking 15min to get a read on a chart
Over time VWAP has steadily grown to take the place as my favorite tool. It does everything I could ask for but most important, VWAP makes things more easier/more efficient. Gone are the days of taking 15min to get a read on a chart
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Take some time to go through this more than once
Feedback is appreciated as always + standard like/rt request lmaooo
More on VWAPs soon
Thank you all for reading
TLDR: VWAP good
Feedback is appreciated as always + standard like/rt request lmaooo
More on VWAPs soon
Thank you all for reading
TLDR: VWAP good
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This is criminal
