Excuse my possible niavety but please bear with me. Say you have an illiquid market with a high degree of volatility. Surely there is some logic in indentifying times to buy the market cheaply in order to push it higher and then offloading it at a higher price when the liquidity is sufficient ? I know, I know this sounds naive and is the sort of strategy that banks and pension funds may engage in in many normal markets but most of us don't have the wherewithall to use this sort of technique. However, I've identified a market where I think its possible for me to engage the strategy but I'm looking for some software that would be the easiest to construct the algorithm (or may be there are algos already out there to be purchased). So, shoot me down if you wish but I'd rather have some sensible suggestions.
you need an algorithm for vwap? its free on most charting platforms - ninja trader has it or you can get acme vwap basic for free. mean reversals work as long as there is no trend.
This is not the usual vwap or way that it is used, so the normal indicators are of little use. My original post sounded trivial but the way I want to trade this illiquid market is more complex than it first seems.