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automatic trading strategy with VWAP bands

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ProOrder: Automated Strategies & Backtesting
automatic trading strategy with VWAP bands

Viewing 3 posts - 1 through 3 (of 3 total)

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Posts
01/24/2023 at 3:44 PM #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

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

GraHal
Participant

Master

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

VWAP Bands

Midlanddave thanked this post

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

Legend
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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Author

dirlef @dirlef Participant

Summary

This topic contains 2 replies,
has 3 voices, and was last updated by Nicolas
3 years, 8 months ago.

Topic Details

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

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automatic trading strategy with VWAP bands

Stuck on this ProBuilder code?

automatic trading strategy with VWAP bands ProOrder: Automated Strategies & Backtesting

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automatic trading strategy with VWAP bands

ProOrder: Automated Strategies & Backtesting