I (very clumsily) wrote a script here which draws envelopes around the VWAP which I prefer over MA's etc. There are two types, the first is Points-based. On this chart .15 points draws a fairly narrow band around the VWAP and I used it just to give an idea of whether it's a narrow-range day or not. The main one is the VWAP% Env, which I have defaulted to .001382, which I think is 1.382% of the price of the VWAP. I put in a couple of ATR values, long and short, to make the bands expand and contract in relation to recent volatility, but possibly I didn't pick good ones. I didn't write them in as inputs which can be changed but at that point was tired with making changes since I don't know how to code in the display I like and it defaults to lines. I would prefer to have an indicator with both points and percent and all with inputs; also possibly the bollinger algorithm would work fine around the VWAP; also nice to draw 1,2,3 standard deviations around the VWAP but I cannot do it in this language. If anyone else would like to do that, it would be great. The VWAP is a very helpful piece of real-time statistical information. Nearly all pro day-traders have it on their DOMs.
ANYWAY: I have found that on non-trend days the price often goes somewhere by around 11am EST and then reverts to the VWAP and the main point of the bands is to provide an entry level.
I have marked (in magenta) on the chart, the various signals which I recorded in real time (not afterwards). Last week was not very active which favours this type of approach. I am sure there will be some losers soon.
However note that on one day I followed a risky approach not suitable for all traders, namely I added into a position when it went against me and would have kept doing so and waited overnight if necessary for a pullback. This was the morning of the 25th. The first up magenta arrow entered one unit. The second about 30 mins later around 197.50 level was 2 units. When the position exited later at the VWAP, the initial entry was about break-even, and the second entry made 2 times 3 points = 6 points. The second entry doesn't use the band, but is simply 3 points lower than the initial entry.
ANYWAY: I have found that on non-trend days the price often goes somewhere by around 11am EST and then reverts to the VWAP and the main point of the bands is to provide an entry level.
I have marked (in magenta) on the chart, the various signals which I recorded in real time (not afterwards). Last week was not very active which favours this type of approach. I am sure there will be some losers soon.
However note that on one day I followed a risky approach not suitable for all traders, namely I added into a position when it went against me and would have kept doing so and waited overnight if necessary for a pullback. This was the morning of the 25th. The first up magenta arrow entered one unit. The second about 30 mins later around 197.50 level was 2 units. When the position exited later at the VWAP, the initial entry was about break-even, and the second entry made 2 times 3 points = 6 points. The second entry doesn't use the band, but is simply 3 points lower than the initial entry.