Hybrid VWAP and RSI Strategy with Trend and Volatility Filters
Summary
This script combines session-reset VWAP, RSI, a broad-market trend filter, and a volatility condition. It enters long when price is below VWAP, RSI is under its oversold threshold, volatility is high, and the daily close of the selected trend symbol is above its 200-day moving average. Short entries reverse those conditions: price above VWAP, RSI overbought, high volatility, and the trend symbol below its average. ATR also informs position sizing and trailing exits, with wider trail settings when the trend filter is positive.
The script sets RSI length to 14, oversold and overbought thresholds to 32 and 68, and a 1% risk input; these are configurable. It specifies a volatility cutoff based on ATR relative to price and a commission assumption, but provides no strategy report or performance evidence. The document's accompanying comment explicitly questions the strategy's usefulness. Results would depend on asset, timeframe, session reset, execution assumptions, and parameter choices; the code alone does not establish profitability.
Key ideas
- Long entries require price below session VWAP, low RSI, high relative ATR, and an uptrend in the selected market proxy.
- Short entries require the opposite VWAP and RSI conditions alongside high relative ATR and a downtrend in the proxy.
- ATR determines position size and trailing-exit distances, which vary with the trend-filter state.
- The script specifies a commission assumption but presents no performance report to validate the approach.
- Asset, timeframe, session settings, and execution assumptions may materially affect outcomes.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.