HYE Mean Reversion VWAP [Strategy]

2021년 7월 1일

An RSI filtered version of PJ Sutherland's Jaws Mean Reversion algorithm using volume weighted average price (VWAP) instead of simple moving average (SMA).

"Long" on the close when;

1-) 2 period VWAP closes 3% or more below the 5 period VWAP ,
2-) 5 period exponential average of the 2 period RSI is below 30.

"Exit Long" on the close when;

1-) 2 period VWAP closes above the 5 period VWAP.

"Short" on the close when;

1-) 2 period VWAP closes 3% or more above the 5 period VWAP ,
2-) 5 period exponential average of the 2 period RSI is above 70.

"Exit Short" on the close when;

1-) 2 period VWAP closes below the 5 period VWAP.

*** You can change the needed percentage for long and short trades, periods of VWAPs and RSI levels.
*** You can select the trend direction: "Long Only" , "Short Only" or "Both". Default is "Long Only".

I used the "VWAP with period" indicator code of @neolao. Special thanks to @neolao.
Indicator Link: tr.tradingview.com/v/rSTNnV6B/

2021년 7월 27일

릴리즈 노트

Plot feature has been added to follow the vwap lines on the graph.