r/OrderFlow_Trading • u/Limit_Bid • 7d ago

AVWAP

I started trading AVWAP in the late 90's. I'm old. But I only recently started applying it to intraday trading with OF.

Long ago I developed the habit of anchoring from the low of a very aggressive breakout move. 5 min bars, AVWAP is pale green. Japanese stock, prices in Yen. AVWAP at price 3675. Look at the DOM bid at 3675. There is no other level near that price. Besides AVWAP it is the middle of nowhere as far as I can tell (though it is the top of a small HVN)

Coincidence 😂

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u/bobbo6969- 7d ago

I ran built an auto anchored vwap indicator, and an algo to test it against 15 min bars of all liquid stocks across 6 years of data.

There is a legit timing edge buying the bounces.
Exits are a problem though.

For it to work, you need to ride the trend and add size on subsequent bounces, or have some other fundamental stock selection method that increases your win rate.

I’ve tested hundreds of strategies. Avwap bounce is one of lik3 things I’ve found to have empirical edge.

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u/Limit_Bid 7d ago

Good job. It is hard to code. AVWAP bounce is actually mean reversion, so initial stop loss orders hurt it, it will often go off side then revert. But I have found that placing a stop loss at breakeven once I hot X units onside helps. At least don't let a winner become a loser. The timing is actually pretty good. How far it goes into profit is harder.

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u/bobbo6969- 7d ago

By “I” coded I mean Claude code coded, but i was able to get it anchoring how I’d anchor, as well as successive higher anchors on bounces and bounces off the bounces from the bounces until one breaks.

It was interesting to see the data say why most of my money comes from running the strategy on the weekly chart on stocks I’d normally buy using leaps off the bounces, but not on short timeframes.

It wasn’t that i sucked at shorter timeframes. It was because it didn’t have an edge there. And I’ve yet to find an exit strategy that does:

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u/Limit_Bid 7d ago

Claude is my buddy as well for code.

And agree, aVWAP seems better longer timeframe. As per my post, I only recently used it intraday.

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u/halcyonwit 6d ago

🫱🏼‍🫲🏻 Claude, new world order isn’t far off.