VWAP and $TICK
I like VWAP. I like $TICK. They help me figure out the structure of the marketplace as it makes moment to moment shifts.
This is ARNA today, 2/13/2009. This issue was trending down fairly strong off the open. Any aggressive moves back towards VWAP could have been aggressively faded. A strongly trending market, whether that is an individual security or a whole index will show an advancing/declining VWAP all day long and remain near its lows/highs of the day at close where, as you know, significant volume occurs.
February 12, 2009 showed a strong afternoon move off the lows of the day back towards and through VWAP, led by the financial sector. Notice the slight hesitation and pullback at VWAP before continuance of the strong upmove. Prior to this afternoon influx of volume, FAS had difficulties holding VWAP off the open on weak selling and the financial sector helped lead the market to new lows before it found significant and aggressive buyers.
Today, February 13, 2009 was a much more range-bound market as evinced by SPY action around VWAP and the boring $TICK.
and here is the opposite situation from ARNA - BPZ on 2/13/2009