Multiple Anchored VWAP Levels with Volume and RSI Signals

Summary

This strategy uses several anchored volume-weighted average price levels as potential support and resistance: levels associated with opening prices, year-to-date highs and lows, and unusually high-volume candles. It calculates an average-volume benchmark over 20 bars and identifies a new volume anchor when a candle’s volume exceeds both the previous maximum and twice that benchmark. Price interactions with the VWAP levels, including wick or crossover patterns, generate long or short entries; checks for gaps across the opposite side of a level are meant to filter some signals. RSI provides exits, with long trades closed above 70 and short trades below 30.

The document explains the intended mechanics and lists possible weaknesses, but supplies no performance results. Its backtest settings use BTC futures on a four-hour chart over roughly one week in 2024. The fixed volume threshold and price displacement may not transfer across instruments or conditions. Multiple triggers can create frequent trading and costs, while VWAP levels may be less reliable in extreme markets and RSI exits can lag. The approach is presented as a framework requiring further testing and risk controls.

Key ideas

• The strategy tracks VWAP levels anchored to price extremes and unusually high-volume candles.
• A volume anchor is triggered when volume exceeds the prior maximum and twice a 20-bar average.
• Price interactions with the levels produce wick or crossover entries, subject to gap filters.
• RSI thresholds provide exits for long and short positions.
• The document gives no performance results and flags threshold sensitivity, overtrading, and lagging exits.

Tags

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