Had a nice setup today trading one of the prop accounts. Looks like +$2 on a 50k account but I had a bunch of drawdown on this one – I had a couple months of lessons. I pulled back from -1.5% drawdown in a couple days. Time to get it
Here was the setup: The price was banging into the weekly-anchored VWAP after the European close, failing to break the level (a great indicator of fair value). Markets have been really bullish lately. I said to myself, ‘If the weekly VWAP is broken, I will enter this short.’
And so I did. And I took profit. VOLD ratios (a measure of internals – NYSE volume on green candles divided by volume on red candles, exchange-wide) were fairly stock, sitting at 1 after the open with the S&P and Nasdaq filling the gap from the end-of-session sell-off during European market hours. This didn’t look like a trend day to me at first; it looked really flat and inside. However, the VOLD ratio was one of the key puzzle pieces in seeing this setup.
In addition to the low VOLD ratio (relative to a lot of recent days!), there was a setup from my playbook: consolidation into the PoC and then a breakout.
Yet another indicator was the weekly anchored VWAP acting as visible support, which was taken out in this breakout, clean and clear. I quickly jotted down ‘this is my sell signal’ in a chat, and then scrambled to place a few orders after confirming that the move was there and real. I haven’t studied VOLD a lot on more bearish days, but it seems about a 3:1 volume can indicate a trend day, so over 3 or under 0.3 (or just inverse the symbols in the calculation – USI:DVOL/USI:UVOL on TradingView to see the sell-side ratio).
We have a really good confluence of signals here, and I’m so mad I didn’t put the whole portfolio up on this trade. I’m still regaining my confidence – December and November were hard months for me, as I’m sure they were for a lot of intraday traders. The market did not care about anything except the rate-cut probability. There was no recession priced in; it was all about rate-cut, rate-cut, rate-cut. And I couldn’t figure it out. This is why you’ll see only a couple of things I’m reading: VOLD, VWAPs. VOLD is the institutional interest gold magnet. You can see it, as much as they try to hide it. Institutional interest is covered, hidden away, but if there is a massive buy program, you’ll see it in VOLD. A lot of times, institutional buyers are using VWAP to try to capture a fair price as they’re entering, potentially over days. The market will trend during these periods, so understanding this is critical to trading indices. News, macro, it’s all potentially a nothing burger. Primary market data is the direct feed to the hive mind and should be given weight accordingly. VOLD helps you see the total market dynamic. See my post over here for more: https://k-xs.com/2023/12/23/title-harnessing-vold-and-advance-decline-data-for-trading-sp-spy-identifying-trend-days-vs-inside-days/
So the stars aligned, we found a perfect setup that meets our criteria: good risk-reward ratio, and high probability. Can slice it so razer thin on the stop loss with such a clear entry/exit criteria, so it rewards an extremely heavy position. Next time I would remember to put more in seeing a setup like that.
k-xs 
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