Daily VWAP Crossovers with Prior-Bar Stops and Fixed-Point Targets

Summary

This strategy uses daily VWAP as a directional signal: a close crossing above it opens a long, while a cross below opens a short. For a long, the stop uses the prior candle’s low when that low is below VWAP, otherwise VWAP itself; the short rule mirrors this with the prior high. The target is a fixed three points from entry. The source also contains a non-repainting higher-timeframe VWAP approach in comments, but the active signal uses the direct daily VWAP series.

The accompanying explanation says positions may remain open until an opposite signal, while the source submits stop and target exits and leaves explicit reverse-signal close rules commented out. This creates uncertainty about actual exit behavior. The listed BTC futures backtest spans only a short period, with no performance statistics provided. A fixed-point target may not transfer across instruments or volatility regimes, and frequent crosses in sideways markets can increase costs. The document suggests trend filters, volatility-based targets, and position sizing as possible extensions, not tested results.

Key ideas

• Daily VWAP crosses trigger long and short entries.
• Stops use the prior candle’s extreme when it lies beyond VWAP, and otherwise use VWAP.
• The stated profit target is fixed at three points from entry.
• The prose and source differ on whether positions close on reverse signals.
• The brief backtest does not establish performance across instruments or market regimes.

Tags

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