Sequential VWAP Band Reversion with RSI and MACD Confirmation

Summary

This long-only strategy looks for a price dip below a lower VWAP standard-deviation band, then requires sequential recovery signals from an oscillator and MACD. The default oscillator is RSI; StochRSI is an alternative. A minimum distance between VWAP and the lower band filters setups, while an optional higher-timeframe ADX condition gates entries. The setup uses a confirmation window, and its state logic tracks the order of conditions and expires stalled sequences. Orders are placed after MACD confirmation.

Exits can target VWAP or use fixed pip settings, with optional ATR-based stop and target rules, a breakeven adjustment, and a modeled spread. The script includes configurable inputs and a data readout, but the supplied document contains no reported backtest outcomes or validation across instruments. Results may depend heavily on pip sizing, costs, timeframe, settings, and the strategy engine’s fill assumptions; the optional ADX filter also uses the previous completed higher-timeframe value, so it responds with a delay.

Key ideas

• A setup begins when price closes below the lower VWAP deviation band and passes a band-distance filter.
• An RSI or StochRSI recovery must be followed by bullish MACD confirmation within the allowed window.
• An optional higher-timeframe ADX condition can filter the setup using completed-bar data.
• Exit choices include a VWAP target, fixed pip levels, or an alternative ATR-based risk model.
• The document gives configurable rules but no performance results or cross-market validation.

Tags

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