VWAP Bollinger Bands and Daily or Weekly Pivot Entries

Summary

This long-side strategy applies Bollinger Bands to VWAP rather than directly to price. It calculates a moving average and standard-deviation bands around VWAP, then enters when VWAP crosses above its basis while the closing price is at or above a pivot level. The pivot is derived from the preceding day or week’s high, low, and close, with Fibonacci-style support and resistance levels also calculated.

Position size is based on a configurable fraction of equity and a percentage stop distance, capped by available equity. The script offers a configurable partial exit linked to VWAP or a pivot resistance condition and includes a stop-loss mechanism. The available source ends partway through the exit logic, so the full trade management rules are not visible. It gives no backtest settings or performance evidence, and the strategy’s thresholds and sizing assumptions should not be treated as validated results.

Key ideas

• The Bollinger Bands are calculated around VWAP using a moving average and standard deviation.
• A long entry requires VWAP to cross above its basis and price to be above the selected pivot.
• Pivot levels use the prior day or week’s high, low, and close.
• Sizing depends on equity, risk allocation, and stop distance, subject to an equity cap.
• The source is truncated before the full exit logic can be reviewed.

Tags

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