Futures VWAP Strategy

For day trading during ASX hours (9:50 AM - 4:30 PM), use day session VWAP. For overnight positions or continuous trading, use 24-hour VWAP. Check both for context - day session is primary, 24-hour provides broader picture.

Position = (Account × Risk%) / (Stop Points × Tick Value). SPI tick value is A$25 per point. Example: (A$100,000 × 1.5%) / (20 pts × A$25) = 3 contracts. Never exceed this regardless of margin available.

VWAP resets with the new contract. The old contract's VWAP becomes invalid. Be aware of rollover dates (quarterly: March, June, September, December) and adjust anchored VWAPs accordingly.

Yes, but be aware: overnight margin is higher (typically 2×), gaps can occur, and day session VWAP resets. Use 24-hour VWAP for overnight holds and reduce position size to account for gap risk.

Check VWAP slope and crosses. Trend day: price stays one side of VWAP, VWAP slopes consistently, few crosses. Range day: multiple crosses (3+), flat VWAP, price oscillates around VWAP. By 11:00 AM you should know.

Enter in direction of cross after confirmation (candle close, volume above average). First cross of day sets bias. Stop on opposite side of VWAP. Failed cross (reverses quickly) is a reversal signal. Multiple crosses suggest range day.

Anchor from significant events: swing high/low points, major news (RBA decisions, earnings), contract rollovers, week/month starts. Anchored VWAPs provide longer-term context and additional support/resistance levels.

Plot both day and 24-hour VWAP. When aligned (price above both or below both), trade with confidence. When conflicting, reduce size or wait. Use day VWAP for day trades, 24-hour for context and swing trades.

Mid-session (11:00 AM - 2:00 PM) shows best results (64% WR). First hour has opening volatility (58% WR). Last hour has closing effects (55% WR). Focus primary trading during mid-session.

At VWAP support: positive delta = buyers defending = strong long. At VWAP resistance: negative delta = sellers dominant = strong short. Absorption (large orders getting filled without price change) at VWAP indicates level will hold.

Institutions execute proportionally to volume throughout the session. This creates support below VWAP (buying) and resistance above (selling). Detect this by watching for consistent buying/selling patterns. Trade with institutional flow, not against it.

Compare weekly VWAP < daily VWAP < intraday VWAP (bullish structure) or vice versa (bearish). Trade in direction of term structure. When structure inverts, it's a warning sign. Confluence across all three = highest confidence.

Calculate (Price - VWAP) / ATR. Values beyond ±2 are extended. Historical data shows 90% reversion from 2.5+ ATR deviation. Use for precision timing of reversion entries and to quantify 'how extended' price truly is.

Enter partial positions at Band 1, add at VWAP, add more at opposite Band 1. Average entry approaches VWAP. Always honor maximum position size. This improves average price while managing risk.

When VWAP aligns with POC (Point of Control from market profile), it creates very strong support/resistance. Both represent volume-weighted fair value from different perspectives. Trade with higher confidence and tighter stops at confluence.