Fibonacci Retracement Rebounds with VWAP, Williams %R, and Volatility Filters

Summary

The document presents a rules-based rebound strategy for the CAC 40, tested on 30-minute bars. It looks for long and short entries near Fibonacci retracement levels, using a weekly VWAP comparison to define trend conditions and Williams %R as confirmation. Additional filters constrain the recent price range and a volatility measure, while separate entry rules handle shallower and deeper retracements.

Position size is based on a stated risk fraction of capital and a stop distance, with minimum size set to one unit. The rules pair percentage profit targets with capped stop distances and trailing stops; the author also describes reinvesting part of strategy profits. The evidence is limited to the author’s description of a backtest on one index and timeframe: no performance statistics, benchmark, or robustness checks are supplied. The code and accompanying prose contain inconsistencies in retracement labels and indicator comments, so implementation details should be checked before use. The author suggests other assets may be explored, but does not demonstrate that the method transfers.

Key ideas

• The strategy seeks rebounds near two Fibonacci retracement levels in the direction of a trend.
• Weekly VWAP comparisons and Williams %R conditions serve as trend and entry filters.
• Separate rules define long and short setups, with distinct targets, stops, and trailing distances.
• Position size is tied to a stated capital risk fraction and stop distance.
• The reported test is limited to the CAC 40 on 30-minute bars and provides no performance statistics.

Tags

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