VWAP Crossover Entries with Fixed Profit and Loss Exits

Summary

This strategy computes a cumulative volume-weighted average price from each bar’s typical price, defined using its high, low, and close. It enters long when the closing price crosses above VWAP and short when it crosses below. A position closes on an opposite crossover or when its price reaches a fixed profit or loss threshold relative to the average entry price. The stated thresholds are a 3% profit target and a 1% stop for either direction.

The document provides the formula, rules, and example settings, plus a BTC/USDT futures backtest interval, but reports no returns or other measured results. Although a period parameter is declared, the provided calculation accumulates price-volume and volume from the start rather than resetting over that period. The text itself notes that VWAP signals may lag and that real trading can differ from longer backtests. The thresholds and cumulative calculation therefore need scrutiny before interpreting the method as a validated strategy.

Key ideas

• VWAP is calculated as cumulative typical-price volume divided by cumulative volume.
• A close crossing above VWAP opens a long position, while a crossing below opens a short position.
• Opposite crossovers and fixed percentage exits close positions.
• The code’s cumulative VWAP does not reset according to its declared period parameter.
• The document lists a backtest interval but gives no performance evidence.

Tags

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