intra-day V.W.A.P. (VWAP)

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Originally posted by That One Guy

I'll try to get a few decent charts up this weekend.

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Originally posted by That One Guy

I use VWAP in my trading, but I plot them from significant swing highs and lows. A point where sentiment changes, like a swing high is created and then the market turns down and makes lower lows. I, follow the 1st SD's to gauge value of that particular swing. This can be done on many swings (small, medium Big). I also take note in things like rotation from 1st to 2nd SD, which would be repricing of value. This gives me a heads up on countering that particular swing. I will also plot vwaps from failure spots (a place where a low or high fails and new higher/lower value is established) and watch how the market returns to that vwap. To me it is a spot where the guys on the wrong side of the trade may get out at much less of a loss. I am still trying to work out a complete trading plan with all this information, but following the market this way has made much more sense to me.

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VWAP Calculator

Under the Tools menu is a new calculator that allows you to get a VWAP value when certain dates / times are specified. You can also apply size filters to include or exclude trades of a given size to estimate where certain trading groups are putting their money into the market. That is to say, you can determine what the VWAP would be if large block trades are removed or if only large block trades are used.

Alternatively, the Weekly VWAP could be generated with this tool, which is a nice way to see what the average price was for the week.

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