automatic trading strategy with VWAP bands

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  • #208126 quote
    dirlef
    Participant
    New

    Hi,

    hope someone can help me to build a strategy with VWAP (bands). I’m totaly new with automatisation and would like to build a automatic trading strategy with the cross over and cross under of VWAP. Can someone help me with that please…

    Already a big thanks

    #208155 quote
    GraHal
    Participant
    Master

    Here’s a good start … code for the VWAP Indicator

    VWAP Bands

    Midlanddave thanked this post
    #208211 quote
    Nicolas
    Keymaster
    Master

    Without any details, I build quickly this very basic strategy that open orders when price crosses the intraday VWAP:

    defparam cumulateorders=false 
    
    d = max(1, intradaybarindex)
     
    VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume)
    
    if close crosses over vwap then 
    buy at market 
    endif 
    
    if close crosses under vwap then 
    sellshort at market 
    endif 
    
    graphonprice vwap
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automatic trading strategy with VWAP bands


ProOrder: Automated Strategies & Backtesting

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dirlef @dirlef Participant
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This topic contains 2 replies,
has 3 voices, and was last updated by Nicolas
3 years ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 01/24/2023
Status: Active
Attachments: No files
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