Combining VWAP Crossovers with Supertrend Direction
Summary
This strategy combines price crossings of volume-weighted average price (VWAP) with the direction of a Supertrend indicator. A long signal occurs when price moves above VWAP while Supertrend is positive; a short signal requires a move below VWAP while Supertrend is negative. It tracks the prior signal direction to avoid issuing another signal in the same direction until an opposite signal occurs. VWAP source and Supertrend ATR period and multiplier are configurable.
The document presents the combination as a way to pair a volume-aware reference price with a trend filter. It warns that choppy or volatile conditions can still produce false signals and that results depend on parameter choices. The described system does not specify stop-loss rules or position sizing, and the suggested additions—such as backtesting parameters and adding risk controls—are proposals rather than demonstrated improvements. Published settings identify a BTC/USDT futures test spanning roughly one year, but no performance figures or comparative evidence are supplied.
Key ideas
- Long signals require an upward VWAP cross and positive Supertrend direction.
- Short signals require a downward VWAP cross and negative Supertrend direction.
- Signal state suppresses repeated entries in the same direction until an opposite signal appears.
- Choppy markets and parameter selection can undermine the signal quality.
- The strategy description does not define stop-loss or position-sizing rules.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.