SPY Squeeze Breakouts Filtered by VWAP Direction

Summary

This SPY strategy combines a volatility contraction signal with VWAP and bar direction. It defines a squeeze as Bollinger Bands sitting inside Keltner Channels, using configurable lookback lengths and multipliers. A squeeze is considered to have fired when the bands move back outside the channels after being compressed on the prior bar. The strategy enters long when that release occurs above VWAP on a bullish bar, and short when it occurs below VWAP on a bearish bar.

Positions close when price crosses VWAP against the held direction. The document explains the rule set and its indicator construction, including use of true range in the Keltner Channel calculation, but supplies no backtest metrics, sample period, transaction costs, or evidence that the signals have an edge. It also does not specify a stop, profit target, position-sizing rule, or session constraint. Performance therefore cannot be assessed from the described code alone, and results may depend on chart interval and VWAP session behavior.

Key ideas

• The squeeze condition occurs when Bollinger Bands fit inside Keltner Channels.
• A release after a prior-bar squeeze is the trigger for considering an entry.
• VWAP location and the current bar’s direction determine whether a long or short signal is allowed.
• A position closes when price crosses VWAP against its direction.
• The document provides no performance evidence or explicit sizing, stop, or target rules.

Tags

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