OPEN-SOURCE SCRIPT

VWAP Trendfollow Strategy [wbburgin]

업데이트됨
This is an experimental strategy that enters long when the instrument crosses over the upper standard deviation band of a VWAP and enters short when the instrument crosses below the bottom standard deviation band of the VWAP. I have added a trend filter as well, which stops entries that are opposite to the current trend of the VWAP. The trend filter will reduce total false breakouts, thus improving the % profitable while maintaining the overall returns of the strategy. Because this is a trend-following breakout strategy, the % profitable will typically be low but the average % return will be higher. As a rule, be sure to look at the average winning trade % compared to the average losing trade %, and compare that to the % profitable to judge the effectiveness of a strategy. Factor in fees and slippage as well.

This strategy appears to work better with the lower timeframes, and I was impressed with its results. It also appears to work on a wide range of asset classes. There isn't a stop loss or take profit built-in (other than the reversal signals, which close the current trade), so I would encourage you to expand on the strategy based on your own trading parameters.

You can toggle off the bar colors and the trend filter if you so desire.

Future updates to this script (or ideas of improving on it) might include a take profit level set at one standard deviation past the current level and a stop loss level set at one standard deviation closer to the vwap from the current level - or applying a multiple to the two based off of your reward/risk ratio.

About the strategy results below: this is with commissions of 0.5 % per trade.
릴리즈 노트
Added take profit, fixed commission regime, and changed default % equity to be more realistic. A note to new people interested in the strategy - use this strategy as the basis for your own strategies, it is still experimental.
cryptomarketStandard DeviationstrategyvolumeanalysisVolumeVolume Weighted Average Price (VWAP)vwapbands

오픈 소스 스크립트

진정한 TradingView 정신에 따라, 이 스크립트의 저자는 트레이더들이 이해하고 검증할 수 있도록 오픈 소스로 공개했습니다. 저자에게 박수를 보냅니다! 이 코드는 무료로 사용할 수 있지만, 출판물에서 이 코드를 재사용하는 것은 하우스 룰에 의해 관리됩니다. 님은 즐겨찾기로 이 스크립트를 차트에서 쓸 수 있습니다.

차트에 이 스크립트를 사용하시겠습니까?


FAQ: I am gradually phasing out my Patreon because of the time it takes to maintain.

BTC: 35PdMMMXFCvPjXKwn8wsRFNwMEPgStaKUJ

Test my strategies on CryptoRobotics: cryptorobotics.co/?trade=f23b09

면책사항