VWAP Push Strategy

2022년 9월 8일

This strategy is unfortunately not finished yet.

A pretty simple strategy. If price broke through VWAP and had three consecutive candles following the breakthroughs trend, the high of the third candle will be drawn. If this happened after a crossover of the vwap and price breaks through the high of the third candle, strategy will go long. Short will be the same after crossing under the vwap. A long or short will be closed after crossing the vwap in the opposite direction, so the vwap is kind of a trailing stop.

Unfortunately, I could not manage to stop the script from entering multiple times into one drawn high or low. Of course, if a high was crossed the script should wait for a new formed high before entering a new long. If someone would find a solution to this, it would be great, because I think it is a nice strategy.

Should work great scalping 5min charts (when scripting, I used the SPX for reference).

2022년 9월 8일

릴리즈 노트

- some minor corrections

2022년 9월 8일

릴리즈 노트

- better overview