Swing-Anchored VWAP and Structure Filters for Gold Trend Trading
Summary
This daily XAUUSD strategy identifies direction by comparing the latest rolling swing high and low, then resets a volume-weighted average price whenever that structural direction changes. Long entries require bullish structure, price above an optional 200-period EMA, and a recent range wide enough relative to ATR to avoid low-volatility conditions. Shorts are disabled by default, reflecting the strategy’s stated long-only design, though they can be enabled.
Positions close when structure reverses; a wide ATR-based stop serves as disaster protection. Position size is set as a percentage of equity, and the script includes configurable backtest dates and chart displays. The document provides implementation details and stated defaults, but no performance results or validation evidence. Its scope is a single gold market and daily timeframe, and the source notes that testing should use a period with clean, liquid price and volume data.
Key ideas
- Swing highs and lows determine the strategy’s bullish or bearish market structure.
- The volume-weighted anchor price resets when structural direction changes.
- Long entries combine bullish structure with optional EMA and ATR range filters.
- Structure reversal drives exits, while a wide ATR stop is reserved for emergency protection.
- The script describes a daily gold setup and does not provide evidence of its historical performance.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.