Long when touches VWAP
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Try this one, I’ve done some small adjustment…
DefParam CumulateOrders=False TIMEFRAME (DAILY) NoSunday = 0 // 1 = Skip zondag // Reset VWAP-calculation every new day IF (BarIndex = 0) OR (OpenDay <> OpenDay[1]) THEN SumVolPrice = 0 SumVol = 0 flagDailyVWAP = 0 // Reset flag ENDIF // VWAP-calculation IF Volume > 0 THEN IF (OpenDayOfWeek <> 0) OR (OpenDayOfWeek = 0 AND NOT NoSunday) THEN SumVolPrice = SumVolPrice + (Volume * close) SumVol = SumVol + Volume ENDIF ENDIF // Calculate daily VWAP (outside the IF Volume > 0) IF SumVol > 0 THEN dailyVWAP = SumVolPrice / SumVol ENDIF // Buy once a day when LOW <= VWAP IF low <= dailyVWAP AND flagDailyVWAP = 0 THEN BUY 1 CONTRACT AT MARKET flagDailyVWAP = 1 // No more orders that day ENDIF GraphOnPrice dailyVWAP as "DailyVWAP" Graph SumVol as "SumVol" Graph SumVolPrice as "SumVolPrice"Iván González thanked this post
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11 months, 4 weeks ago.
Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 02/23/2025 |
| Status: | Active |
| Attachments: | 1 files |
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