VWAP Strategy with Risk Management

어제

1. Strategy Components
1.1. VWAP (Volume-Weighted Average Price)
Definition: VWAP is a trading indicator that provides the average price of an asset based on both price and volume.
Purpose in Strategy:
It serves as a dynamic support/resistance level.
The price crossing above VWAP signals potential bullish momentum (long entry).
The price crossing below VWAP signals potential bearish momentum (short entry).
Calculation:

Typical Price =
(
𝐻
𝑖
𝑔
ℎ
+
𝐿
𝑜
𝑤
+
𝐶
𝑙
𝑜
𝑠
𝑒
)
/
3
(High+Low+Close)/3
VWAP =
Sum(Typical Price × Volume)
Sum(Volume)
Sum(Volume)
Sum(Typical Price × Volume)
​
over the defined rolling period.
1.2. Trend Filter
Indicator: A 50-period Exponential Moving Average (EMA) is used to identify the larger trend.
In Uptrend: The price is above the EMA.
In Downtrend: The price is below the EMA.
Purpose in Strategy:
It ensures trades are aligned with the broader trend, reducing false signals.
Only long trades are allowed in an uptrend, and only short trades are allowed in a downtrend.