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