Shared by
rsteckly
I saw the EMA 9 and EMA 20 cross down below the VWAP. I thought this would form a VWAP Sandwich or breakdown.
The problem with this setup is that it was after 3 red candles--in other words, there had already been a lot of supply dumped.
VWAP breakdowns work better when there is a gradual curling of price, not when price comes crashing down below the averages. That typically sets up a reversion to mean setup where you can actually (with good risk management) play a bounce back to the averages.
Execution detail:
| Date/time | Symbol | Side | Price | Position |
|---|---|---|---|---|
| 2015-10-05 13:07:20 | JPM | sell | $61.731 | short |
| 2015-10-05 13:12:50 | JPM | buy | $61.820 | short |
| 2015-10-05 13:12:50 | JPM | buy | $61.820 | short |
| 2015-10-05 13:12:50 | JPM | buy | $61.820 | short |
| 2015-10-05 13:12:51 | JPM | buy | $61.820 | short |
| 2015-10-05 13:12:51 | JPM | buy | $61.820 | short |
| 2015-10-05 13:12:51 | JPM | buy | $61.820 | short |
| 2015-10-05 13:12:51 | JPM | buy | $61.820 | short |
| 2015-10-05 13:12:51 | JPM | buy | $61.820 | short |
| 2015-10-05 13:12:51 | JPM | buy | $61.820 | short |
| 2015-10-05 13:12:51 | JPM | buy | $61.820 | short |
| 2015-10-05 13:12:51 | JPM | buy | $61.820 | short |
| 2015-10-05 13:12:51 | JPM | buy | $61.820 | short |
| 2015-10-05 13:12:51 | JPM | buy | $61.820 | short |
| 2015-10-05 13:12:51 | JPM | buy | $61.820 | short |
| 2015-10-05 13:12:51 | JPM | buy | $61.820 | short |
| 2015-10-05 13:12:51 | JPM | buy | $61.820 | short |
| 2015-10-05 13:12:52 | JPM | buy | $61.820 | short |
| 2015-10-05 13:12:52 | JPM | buy | $61.820 | short |
| 2015-10-05 13:12:52 | JPM | buy | $61.820 | short |
| 2015-10-05 13:12:52 | JPM | buy | $61.830 | short |
| 2015-10-05 13:12:52 | JPM | buy | $61.830 | short |
| 2015-10-05 13:12:52 | JPM | buy | $61.830 | short |
| 2015-10-05 13:12:52 | JPM | buy | $61.820 | short |
| 2015-10-05 13:12:52 | JPM | buy | $61.830 | short |
| 2015-10-05 13:12:52 | JPM | buy | $61.820 | short |
| 2015-10-05 13:12:52 | JPM | buy | $61.830 | short |
| 2015-10-05 13:12:53 | JPM | buy | $61.830 | short |
| 2015-10-05 13:12:53 | JPM | buy | $61.830 | short |
| 2015-10-05 13:12:53 | JPM | buy | $61.830 | short |
| 2015-10-05 13:12:53 | JPM | buy | $61.830 | short |
| 2015-10-05 13:12:53 | JPM | buy | $61.830 | short |
| 2015-10-05 13:12:53 | JPM | buy | $61.830 | short |
| 2015-10-05 13:12:53 | JPM | buy | $61.830 | short |
| 2015-10-05 13:12:53 | JPM | buy | $61.830 | short |
| 2015-10-05 13:12:53 | JPM | buy | $61.830 | short |
| 2015-10-05 13:12:53 | JPM | buy | $61.830 | short |
| 2015-10-05 13:12:54 | JPM | buy | $61.830 | short |
| 2015-10-05 13:12:54 | JPM | buy | $61.830 | short |
| 2015-10-05 13:12:54 | JPM | buy | $61.830 | short |
| 2015-10-05 13:12:54 | JPM | buy | $61.830 | short |
| 2015-10-05 13:12:54 | JPM | buy | $61.830 | short |
| 2015-10-05 13:12:54 | JPM | buy | $61.830 | short |
| 2015-10-05 13:12:54 | JPM | buy | $61.830 | short |
| 2015-10-05 13:12:54 | JPM | buy | $61.830 | short |
| 2015-10-05 13:12:54 | JPM | buy | $61.830 | short |
| 2015-10-05 13:12:54 | JPM | buy | $61.830 | 0 |
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