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Strategies & Market Trends : Underexposed Technical Analysis
AQN 5.875+0.4%Dec 5 9:30 AM EST
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To: kimberley who wrote (549)9/19/2019 1:20:36 AM
From: Underexposed  Read Replies (2) of 914
 
Hi Kimberly

I only use the free version of Stockcharts.com so I don't have access to the intra-day trading and VWAP does not apply to daily trading. The way it is used is that the values of VWAP are ONLY valid for one day and that makes sense in that most daytraders don't leave their money in a stock over night.

As I understand VWAP is that it represents an average price over the day at the price interval you have chosen... here is a look at how it is calculated



this is just the start of the day.... you can see how each VWAP value in the right column builds upon upon the other.... Also the influence of the next price/volume element seems muted to me... The "typical" price is th simple average of the high/low/close... in an intra-day chart this probably is not a big deal nothing changes that much in a one minute interval

It would take a big price or volume change to affect the value of the next VWAP and I wonder which is the most important parameter or if it matters... but a big change of price...say +/-$2.00...in the above case would be about +/- about slightly less than 2%.... would be smothered by a doubling or halving of the volume.... It seems this indicator is volume controlled and since the volume could be manipulated in an ETF, personally this would bother me a bit.

Here is what the above data would be used in a chart as Stockcharts used in their discussion on the overlay.



You can see the lag of response of the VWAP.... notice the muted response to that huge volume spike at the end of the day compared to the effect of volume at the start of the day.

The reason for this is that the accumulated numbers are less at the beginning than at the end... so extremes of price and volume have less and less effect as the day wore on.

VWAP can also be used to measure trading efficiency. After buying or selling a security, institutions or individuals can compare their price to VWAP values. A buy order executed below the VWAP value would be considered a good fill because the security was bought at a below average price. Conversely, a sell order executed above the VWAP would be deemed a good fill because it was sold at an above average price.

Hmmm.... that example above the price never rose above the VWAP.... so where is the buy sign there???
Every time the price charged toward the VWAP it fell back and further declines happened.

I know you are looking at other indicators too... but I wonder about the contribution to VWAP to the trading. I cannot see a time to buy or sell that chart.

Unfortunately no charting service would save one minute data from that length of time ago and I don't have the ability to generate a chart with VWAP as a comparison to what I would do on an intra-day chart.

I will show you the "after hour" trading of GUSH to show how I might approach intra-day trading.

UE
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