Works Best in Ranging Markets; Trend Days Use VWAP as S/R
| Strategy Type | Institutional Benchmark Trading / Mean Reversion |
| Market Outlook | Works Best in Ranging Markets; Trend Days Use VWAP as S/R |
| Risk Profile | Defined by VWAP Bands or ATR Stop |
| Reward Profile | Target VWAP (Mean) or Opposite Band |
| Time Horizon | Intraday (Hours); Resets Each Session |
| Indicator Type | Volume Weighted Average Price (VWAP) with Bands |
| Signal Type | Buy Below VWAP at Lower Band; Sell Above VWAP at Upper Band |
| Primary Instruments | SGX Nikkei 225, SGX MSCI Singapore, SGX Nifty 50, SGX FTSE China A50, SGX Iron Ore |
| Trading Hours | T Session: 7:30 AM - 2:30 PM SGT; T+1 Session: 3:15 PM - 2:30 AM SGT • 8:30 AM - 5:15 PM SGT • 9:00 AM - 6:15 PM SGT • 9:00 AM - 4:30 PM SGT; T+1: 5:00 PM - 4:45 AM SGT |
| Recommended Timeframes | 5-minute, 15-minute for intraday execution |
| Currency | Contract-specific (JPY, SGD, USD, CNH) |
| Default Settings | VWAP with ±1 and ±2 standard deviation bands |
| Liquidity Note | Focus on liquid contracts; VWAP meaningful on high-volume instruments |
| Typical Holding Period | Minutes to hours (same session) |
Best on liquid contracts: SGX Nikkei 225, SGX FTSE China A50, SGX Nifty 50, SGX MSCI Singapore. These have enough volume for VWAP to be meaningful.
Depends on the contract. You need margin (typically 5-15% of contract value). For SGX Nikkei, margin might be around S$15,000-25,000 per contract. Check with your broker for current requirements.
VWAP resets at session start. For contracts with T and T+1 sessions (like Nikkei, China A50), decide if you reset at each session or use continuous VWAP.
The calculation is the same. However, futures have extended hours, different session times, and leverage. Futures VWAP typically has higher volume, making it more reliable.
For VWAP reversion, typically exit before session close. Overnight gaps can move price significantly. If using continuous VWAP, overnight holds are possible but riskier.
T+1 sessions have lower volume, making VWAP less reliable. Options: 1) Reset VWAP at T+1 start, 2) Use continuous VWAP, 3) Trade T+1 with wider bands and smaller size.
During overlap with underlying market hours. For Nikkei: 9:00 AM - 2:00 PM SGT (Japan hours). For China A50: 9:30 AM - 4:00 PM SGT (A-share hours). Mid-session is usually best.
Use wider bands (±1.5/±2.5 std instead of ±1/±2), smaller position size, and wider stops. Be more selective - only trade at extreme bands (-2/+2 std).
Yes, and it's powerful. Look for positive delta at lower band (buyers stepping in) or negative delta at upper band (sellers). Volume profile at VWAP adds confluence.
At rollover, the new front month starts fresh. You can: 1) Use anchored VWAP from rollover date, 2) Reset session VWAP normally, 3) Be cautious around rollover as volume shifts.
Institutions benchmark execution against VWAP. TWAP/VWAP algos execute large orders to match/beat VWAP. This creates natural support/resistance as institutional flow concentrates at VWAP.
VWAP represents volume-weighted fair value for the session. Unlike theoretical fair value (based on spot + carry), VWAP shows actual traded fair value. Deviations from VWAP indicate overextension.
Anchor VWAP to significant events: contract roll, major economic release (FOMC, NFP), or significant swing high/low. This provides multi-session fair value reference beyond daily reset.
Yes, but volume is lower. Use continuous VWAP or anchor from significant point. Wider bands and smaller positions recommended. Best during overlap hours with major markets.
Buy calls at lower VWAP band, puts at upper band for directional plays. Sell credit spreads (bull put at support, bear call at resistance) for income. Check liquidity - futures options may have wide spreads.
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