Long-Only VWAP Reclaim Entries with Momentum and Trend Filters

Summary

This long-only strategy enters when price is above VWAP and several momentum and trend conditions align. The entry filter includes a bullish MACD relationship with the MACD line above zero, RSI below 60, positive directional movement exceeding negative movement, and a bullish Supertrend state. It also requires a recent Bollinger Band squeeze and bars before a specified intraday entry cutoff. The source code calculates the squeeze condition, though that condition is not included in the active buy signal.

Positions close if price falls below VWAP, crosses downward through it, MACD turns bearish, or Supertrend changes direction. The script includes alerts and chart markers, but provides no backtest period, instrument specification, or performance evidence. The displayed release notes show that entry and exit conditions changed over time, so results would depend on the exact version and chart settings. An end-of-day exit condition is defined but commented out, leaving it inactive.

Key ideas

• The strategy takes long positions when price is above VWAP and momentum and trend indicators are bullish.
• Entry filters include MACD, RSI, DMI, Supertrend, and an intraday cutoff.
• The calculated Bollinger squeeze and VWAP cross-up conditions are commented out of the active entry rule.
• Exits are triggered by weakness relative to VWAP, MACD, or Supertrend.
• No backtest results or market specification are provided, and the end-of-day close is inactive.

Tags

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