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Magic of VWAP: The Holy Grail of Day Trading Systems

By Andrew Aziz  |  
Andrew's Newsletter  |  
Nov 14, 2023

Dear Traders,

Happy Veterans Day! Today, we salute our veterans—heroes who’ve defended our freedom with unwavering courage. We’re proud to have two veterans, Mike and John, in our Bear Bull Traders family. Their dedication inspires us daily.

Let’s honor all veterans today, thanking them for their service.

Mike and John while serving at the US military.

On this great day, I have great news for everyone!

My friend Carlo Zarattini and I, Andrew Aziz, have just completed a groundbreaking study titled “Volume Weighted Average Price (VWAP) The Holy Grail for Day Trading Systems.” We’re thrilled to share our findings with you!

Read the paper here.

What’s This All About?

Our study dives into how VWAP can be a game-changer in detecting market shifts and boosting trading decisions in various market conditions.

We kept it straightforward: go long when prices are above VWAP and short when below. Guess what? It worked wonders!

Our Test Bench: We used QQQ and TQQQ as our tools, analyzing the market from January 2, 2018, to September 28, 2023. This period saw two bear markets and plenty of volatility, giving us a perfect testing ground.

With QQQ and our VWAP Trend Trading strategy, a $25,000 investment ballooned to $192,656! That’s a 671% return, with a mere 9.4% maximum drawdown and a Sharpe Ratio of 2.1.In comparison, a simple buy-and-hold in QQQ only gave back 126%, with a higher risk (37% maximum drawdown) and a lower Sharpe Ratio of 0.7.

But wait, there’s more!

When we spiced things up with TQQQ (3x leveraged ETFs of QQQ), the results were off the charts:

That same $25,000 soared to an astonishing $2,085,417! That’s an 8,242% total return, averaging 116% annually, all while keeping the risks in check.

While we’re not saying it’s a complete trading system yet, our study undeniably shows that VWAP is a potent tool for traders. It outshines the typical buy-and-hold method, offering better profitability, risk-adjusted returns, and stability during market ups and downs.

We’re on to something big here, and we can’t wait to explore further. Keep following us for more updates and insights.

Read our paper and let us know what you think on X:

Carlo X
My X

Read the VWAP Paper Here
Stay Tuned for More!

Happy trading and don’t forget to close the f’king door!

To your success,