VWAP Trading Strategies

Discussion in 'Strategy Development' started by Churnmaster, Nov 24, 2005.

  1. Is anyone familiar with any VWAP trading strategies at all, I have always been curious but never been able to find any sufficent info on the web.
  2. There was a thread on this on ET a while back but I don't recall if anything really worthwhile was posted.
  3. It's an entry an exit technique....It's not really a trading strategy. It is suppose to be the equivalent of you sneaking in and out of the market, but being that it is a canned strategy it won't be as effective as the one you create yourself. Try to web search algorithmic trading...you will find more useful information to gain the principles off the idea.
  4. acrary


  5. Funny you should say that, I did search the web for algorithmic trading did not find much, at least not explanations. I also understand that "it is a entry and exit technique..." I am not really looking to trade with VWAP I just want to get a better understanding of it. With all the searching I have done it seems like this mystery that I cannot seem to solve.

  6. Yeah sorry about that.... I just looked up on the internet some of the definitions of those strategies for the first time, and they are all pretty terrible. I actually learned all those in school. I think I have an ebook version of all the strategies I learned. It's a complete tutorial of every Acronym in Finance. I will send you a link to megaupload after I put it there, but just to let you know those same strategies have a plethora more wrapped arround them that intraday traders use like VSOT (VWAP Since Order Time). So the first thing is defining the algorithms yourself then applying them with other financial principles.

  7. I am quite familiar with VWAP and other similar strategies, such as order book VWAP, value vwap, etc, etc. These methods are used primarily as benchmarks nowadays for program trading, since it is fairly easy to "beat" these benchmarks. Sell side firms are now using these "easy" benchmarks to hawk their "best-ex" algorithms. You will find VWAP and other simple algorithms to be built-in to most order management systems (OMS) nowadays. It started its life as a derivative of TWAP (time-weighted) for mostly institutional block trading. There are still significant vwap based volume in equities, but the proportion is dropping significantly as the introduction of more advanced "best-ex" strategies.
  8. I keep an eye on it but like the other guys said its not anything special.
  9. A decent overview, nothing deep, but gives some idea about the institutional equity trading industry (50+ pages).
    #10     Nov 25, 2005