VWAP and Stochastic RSI Swing Strategy with ATR Stops

Summary

This strategy combines Stochastic RSI crossovers with VWAP as a directional filter. It opens a long when Stochastic RSI crosses upward and price is above VWAP, or a short when it crosses downward and price is below VWAP. Both entry directions can be toggled, and entries are limited to a configurable session window.

Initial stops are placed at a multiple of the 14-period ATR from the signal close, with profit targets set using a configurable risk-to-reward ratio. An optional trailing rule adjusts the stop using the previous bar’s low for longs or high for shorts. The script also closes open positions at a set time and plots target and stop levels. The document supplies implementation details but no backtest results or evidence of profitability; its behavior and suitability will depend on the instrument, timeframe, execution assumptions, and parameter choices.

Key ideas

• Long entries require an upward Stochastic RSI crossover while price is above VWAP.
• Short entries require a downward Stochastic RSI crossover while price is below VWAP.
• Initial stops use an ATR multiple, and targets are derived from the chosen risk-to-reward ratio.
• An optional previous-bar trailing stop and a scheduled end-of-day close manage open positions.
• The script describes a strategy but provides no performance evidence.

Tags

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