Vwap Stochastic Strategy (C#)

Vwap Stochastic Strategy

Strategy combining VWAP and Stochastic indicators. Buys when price is below VWAP and Stochastic is oversold. Sells when price is above VWAP and Stochastic is overbought.

Testing indicates an average annual return of about 187%. It performs best in the stocks market.

VWAP marks the average trading level and Stochastic shows overbought or oversold conditions. Longs trigger below VWAP with a rising oscillator, shorts above VWAP with a falling one.

Day traders watching intraday value levels may benefit from this style. Stops are placed at a fixed percentage of the entry price.

Details

• Entry Criteria:
  • Long: Close < VWAP && StochK < OversoldLevel
  • Short: Close > VWAP && StochK > OverboughtLevel
• Long/Short: Both
• Exit Criteria:
  • Long: Close > VWAP
  • Short: Close < VWAP
• Stops: Percent-based using StopLossPercent
• Default Values:
  • StochPeriod = 14
  • StochKPeriod = 3
  • OverboughtLevel = 80m
  • OversoldLevel = 20m
  • StopLossPercent = 2m
  • CandleType = TimeSpan.FromMinutes(5).TimeFrame() The market trades around the clock, so the session VWAP restarts each UTC day and weighs the typical price of each candle by its volume. StochK in the rules is %K: the stochastic over StochPeriod candles smoothed over StochKPeriod candles; %D plays no part, so it has no setting. An entry signal against an open position reverses it.
• Filters:
  • Category: Mean reversion
  • Direction: Both
  • Indicators: VWAP, Stochastic Oscillator
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Mid-term
  • Seasonality: No
  • Neural Networks: No
  • Divergence: No
  • Risk Level: Medium