Long Entries from VWAP Bollinger Crosses Above Daily or Weekly Pivots

Summary

This long-only strategy applies Bollinger Bands to session VWAP and uses a prior-period pivot as an entry filter. It buys when VWAP crosses above its moving-average basis while the close is at or above the selected daily or weekly pivot. The bands are formed from a moving average and standard deviation of VWAP, and the pivot levels use the prior period’s high, low, and close with Fibonacci-based extensions.

A configurable partial exit can occur when VWAP crosses the upper band or crosses a chosen Fibonacci R3 level, provided the trade is profitable. The remaining position exits if VWAP crosses below the lower band or if price crosses a stop level derived from the configured stop-loss percentage. The script sizes positions using an equity-risk input, subject to available capital. The author describes testing on several chart intervals and offers a qualitative observation about downtrends, but supplies no audited performance statistics; the claimed suitability across timeframes should therefore be treated cautiously.

Key ideas

• A long entry requires VWAP to cross above its Bollinger basis while price is above the selected period pivot.
• The VWAP bands use a moving average and standard deviation, while pivots use the previous period’s range and close.
• A configurable signal can take partial profit at the upper band or a Fibonacci R3 crossing.
• The full exit can be triggered by a VWAP move below the lower band or a price-based stop.
• The document offers qualitative testing notes but no quantified evidence of performance or robustness.

Tags

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