Adaptive VWAP Bands with Garman-Klass Volatility

Summary

This strategy centers price around a volume-weighted moving average and builds upper and lower bands from closing-price dispersion. It scales the band width using Garman-Klass volatility, which incorporates open, high, low, and close prices relative to its recent average. A close above the upper band enters a long position; a close below the lower band closes it. The stated idea is to require larger moves when volatility is elevated and allow narrower thresholds when it is subdued.

The document lists configurable volatility and VWAP lookback lengths and a volatility multiplier, and gives a BTC/USDT futures backtest interval, but reports no returns or risk statistics. It notes that ranging markets can cause frequent trades, parameters are sensitive, reversals may be met slowly, and reliable real-time data is needed. Stop losses and additional confirmation filters are suggested, not included in the described rules.

Key ideas

• The VWAP-based center line is surrounded by bands using price standard deviation.
• Garman-Klass volatility scales band width relative to its recent average.
• A close above the upper band enters long, while a close below the lower band closes the position.
• The provided configuration and backtest interval contain no reported performance results.
• Frequent signals in ranges, parameter sensitivity, slow reversals, and data quality are stated limitations.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.