Combining VWAP, RSI, Trend, and ATR Filters in a Trading Strategy

Summary

This strategy combines a session-reset VWAP with RSI thresholds and a broad market trend filter. It enters long when price is below VWAP, RSI is oversold, volatility clears an ATR-to-price threshold, and the selected market proxy is above its daily 200-day average. Short entries apply the opposite VWAP and RSI conditions when the trend filter indicates a downtrend. Position size is based on account equity, a risk fraction, and ATR, while exits use trailing stops whose distance varies with the trend state.

The code specifies a percentage commission assumption and exposes inputs for RSI, VWAP reset time, ATR, risk, and trend settings. The document supplies no backtest report, return statistics, or comparison with alternatives; a brief user comment says the approach does not work, but offers no supporting data. The chosen volatility cutoff is described as asset-dependent, and the session reset and SPY-based daily filter may not suit every instrument or trading schedule. The stated sizing formula also does not by itself establish realized risk, which depends on execution and instrument details.

Key ideas

• Long entries require an uptrend filter, price below session VWAP, oversold RSI, and elevated ATR relative to price.
• Short entries use the opposite price and RSI conditions when the market trend filter is bearish.
• Position size scales with equity and risk fraction while adjusting for ATR and trend state.
• Trailing exits use ATR-based distances, with wider settings in the specified trend condition.
• The document provides no substantiated performance evidence, and key thresholds may require instrument-specific evaluation.

Tags

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