One of the rule for the after ADU sideways day is that we usually reach the previous day's high. Although we turned back just 2 points before that, it was still a decent try and compared that we were 20 pts lower an hour earlier, we can count it as target reached....
Volume Weighted Average Price Interesting LChan... makes sense from a PA point of view. Fundamentally I guess alot of the institutional buy algos that cause trend days are based on VWAP or a derivative of it?
There are 2 parts to the VWAP. One is the index future, the other are the components. The components side are heavily affected by VWAP as many institutional orders are done through VWAP driven algorithms. e.g. A fund manager wanted to buy 100K shares MSFT would use bots to buy at a price better than VWAP throughout the day. And that "usually" beats the single order/entry method.
The manner in which you have been trading has taken your money management (2% of TNW) system right out the door.
Interactive Brokers defines VWAP as The VWAP for a stock is calculated by adding the dollars traded for every transaction in that stock ("price" x "number of shares traded") and dividing the total shares traded. By default, a VWAP order is computed from the open of the market to the market close, and is calculated by volume weighting all transactions during this time period. TWS allows you to modify the cut-off and expiration times using the Time in Force and Expiration Date fields, respectively. BTW am I the only bear who thinks the market reached its zenith already? (Which means none of that "oh, we might reach 1000 any day now.")
You may not get the gap fill today - people are still in waiting mode for the big 3 bailout results. I am bearish ... already said so many times - No limit down, no bottom. Since ES traded above 912 yesterday, however, I guess 850 and slightly below may form a strong support level.
No, I am another bear who thinks this market will tank, soon. Today - sideways to up as is the consensus in the forum. Tomorrow - maybe up first two hours then down move begins. I'd like it to bubble and fizzle a but, froth and fume as it goes up as far as it can so that there will be at least 150 to 200 SPX points to trade down. The fact is most of the buying is for trading purposes, not investment, and these longs will be liquidated soon.