Anchored VWAP and CVD Signals with ROC Filters

Summary

This strategy combines anchored VWAP, a standard deviation envelope, rate of change (ROC), and cumulative volume delta (CVD) to identify possible entries and exits. It anchors VWAP to the highest-volume bar in a rolling lookback. ROC marks sharp declines or rises, while price relative to VWAP and a CVD condition filter those moves. The strategy describes dip signals as short entries and rip signals as long entries, with stop and target levels based on a lookback and the configured target-to-stop distance.

The document gives parameter settings and published backtest configuration for BTC/USDT futures, but reports no performance results. It cautions that settings may need adjustment across instruments and timeframes, and that signals should not be used alone. The envelope is calculated but the described entry rules do not use it directly. The source also contains state and exit logic whose behavior may not match the prose description, so the stated backtest configuration alone is not evidence of profitability.

Key ideas

• Anchored VWAP begins at the highest-volume bar within a rolling period.
• ROC thresholds identify sharp price declines and rises, while VWAP and CVD conditions filter signals.
• The strategy describes dip signals as short entries and rip signals as long entries.
• Stop and target levels are tied to a lookback and a configured target percentage of stop distance.
• The document provides no backtest performance results, and its source logic may differ from its written explanation.

Tags

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