VWAP, RSI, and Bollinger Bands with ATR-Based Exits

Summary

This strategy combines a VWAP-based direction filter with RSI and Bollinger Bands to generate entries. It examines whether the prior 15 closes are consistently above or below VWAP, then looks for price beyond a Bollinger Band with RSI thresholds: the described long setup uses the lower band and RSI below 45, while the short setup uses the upper band and RSI above 55. The source calculates ATR-based stop and target offsets and specifies a 1.5-to-1 target-to-stop ratio. It also closes longs at RSI 90 or higher and shorts at RSI 10 or lower.

The document presents the rules and published BTC-USDT futures settings for a short one-minute interval, but gives no performance statistics or evidence that the method works across market conditions. It warns that volatile periods may increase trading costs and that parameters may need adjustment. The prose’s “VWAP signal shows” wording is imprecise: the described entry rules pair a downward VWAP filter with a long and an upward filter with a short, which may merit checking against the intended logic.

Key ideas

• The VWAP filter checks whether recent closes consistently lie above or below VWAP.
• The described long setup pairs a lower-band breach and RSI below 45 with the downward VWAP filter.
• The described short setup pairs an upper-band breach and RSI above 55 with the upward VWAP filter.
• ATR-based stop and target offsets use a stated target-to-stop ratio of 1.5 to 1.
• The published short-period backtest settings include no reported performance results.

Tags

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