VWAP is easy to compute and can be estimated pretty precisely with 1-min data on ES (I demonstrated that in our blog some time ago that it is pretty good relatively speaking to, say, tick data). I am sure Ray at Ninja will be willing to add the indicator to its library if it is not there yet.
I remember long time ago (5+ years!) someone with TC2000 showed that during the year end holiday season using 3-day bars to analyze the price movements is much better than just daily due to the flip flop nature ... That means compressing everything you see in the last 2 weeks of December into 3 bars only. Jan 2 will be THE most important indication where we are heading. Heard that those who still keep their jobs in Wall Street are in alert mode at the moment, unlike other years ... as long as there is no special incidents, drift up mode I guess
Must be some end-of-month/year window dressing, I see triple-digit sizes on the bid since RTH close. CLosed my ES short @891 for -6 Geh, another "what not to do" day to burn into my mind. Edit: I was short ES.
exited last 92, was scaling in and out but kept one long all day. wanted 93+, but not to be greedy. Will consider a small short at 93+ but will wait for price action to fire on the smaller timeframes.
"11-17-08 07:51 AM I just bought ES at 854 with a stop at 698.5. The stop represents 1% of my TNW. 11-17-08 09:56 AM Sold 2/3 positions 877.75 +23.75 11-17-08 10:45 AM Back to full position at 862.5 11-26-08 12:30 PM Sold half position at 883.5 +21 12-02-08 07:14 AM Bought back half position which was sold at 883.5. Bought at 833.5 this morning which I am now fully invested with stop at 729.5. 12-03-08 06:18 PM Sold half my position a few minutes ago at 865.5 which was purchased at 833.5. Stop is still 729.5 and hopefully will be able to buy back at around 800-810. +32 12-12-08 07:31 AM Buying back my other half position at 859.5 12-16-08 03:59 PM Sold half my position a few minutes ago at 914.25 which was purchased at 859.5. Total profit so far is 131 points. Stop moved to 839. Sooner or later I will be stopped out. Will look to buy around 875. +54 12-16-08 07:34 PM Just sold all my position at 912.75. I am flat and want to get long. After going over my indicators I pay attention to we are overbought and gettting more overbought. Usually we have a pullback after the S&P has moved 3% or more on a FOMC announcement. I'm looking to buy back at around 877 and 868.5. If I wrong I will blame my stupidty on Pekelo. +53.25 12-18-08 11:34 AM Bought half my position back here at 887.5 12-18-08 12:23 PM Buying rest of position here at 874 (fill was 874.5). Am fully invested. 12-18-08 12:43 PM Forgot to mention: stop is 839 as mentioned 12-16-08 07:34 PM 12-30-08 12:56 PM Sold half my position of ES at 887.5 +0" I am now only half invested. Total profits for this trade started 11/17/08 is +184. I will now move my stop to 848.75 DMartin
Well, this long signal makes WAY more sense than the previous short one. In the first week of December I had a complex prediction based on the similarity of the daily pattern to a 5 mins intraday pattern. We didn't go up to my predicted 950-70 level, but we did go sideways for the rest of the year. My next expectation was/is that the January seasonality would kick in with the incoming new administration, so I expect an updrift until mid-January/inaguruation. This longer term buy signal goes just fine with this expectation. I also mentioned earlier that when I tried to recreate the Metastock signal, the MACD (12,26) crossover was the closest I could find. Now if you look up the MACD on the daily chart, you can see that it ALMOST crossed over until yesterday, but after today's rally, the lines got separated again, no crossover.
Yes, but that is very rare. Even on trend days, there will be at least one attempt to knock it down (or up, if the trend is down) to the VWAP. Sometimes late during a trend day there will be sharp countertrend move (3:30-4:15). Often that move ends right at the VWAP.
SS, from what you mentioned, you just started using VWAP. You already figured out the most important usage of VWAP on ES ... cool For the last part, it is not just often, but "must" land on VWAP because many bots on stocks must close out their shorts at or below VWAP after averaging up to their necks