automatic trading strategy with VWAP bands

• 01/24/2023 at 3:44 PM #208126
  dirlef

  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

  

  dirlef

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  01/24/2023 at 8:16 PM #208155
  GraHal

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

  https://www.prorealcode.com/prorealtime-indicators/vwap-bands/

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  Midlanddave

  

  GraHal

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  01/25/2023 at 12:37 PM #208211
  Nicolas

  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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  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

   

  

  Nicolas

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