SPY VWAP and Bollinger–Keltner Squeeze Breakout Strategy
Summary
This SPY strategy combines a volatility squeeze with VWAP direction and the current bar’s direction. It identifies a squeeze when Bollinger Bands sit inside Keltner Channels, then treats a move out of that condition after the prior bar was squeezed as a release. A bullish bar above VWAP triggers a long entry; a bearish bar below VWAP triggers a short entry. Positions close when price crosses back over VWAP against the open position.
The script exposes Bollinger and Keltner lengths and multipliers, and uses true range in the Keltner calculation. The document provides the rules and source code but no trade statistics or evidence of profitability. It describes the setup as suitable for intraday volatility trading, though the code shown does not specify a session filter, position sizing, or a separate stop-loss or profit target. Performance would depend on market, timeframe, execution assumptions, and parameter choices.
Key ideas
- A squeeze is defined by Bollinger Bands contained within Keltner Channels.
- A release after a squeezed bar supplies the breakout trigger.
- VWAP location and candle direction determine whether the entry is long or short.
- An opposing VWAP cross closes the position.
- The document gives implementation details but no backtest results or explicit position sizing rules.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.