Beating VWAP on a large order of DELL stock
For the month of March we published a test brief, “Beating VWAP on a large order of DELL Stock,” trading 500,000 shares or approximately 2% of the average daily volume of Dell Inc. (NASDAQ:DELL).
We used the VI4 engine with the priority switch set for “order completion” and achieved the following results:
Beat VWAP on 17 out of the 22 trading sessions in March (77%)
Matched VWAP 3 times (14%)
Failed to beat VWAP twice (9%)
The engine continues to exhibit signs of robustness and consistency in achieving its primary objective and that is outperforming the Weighted Average Price benchmark.
To download the test details, please click here.