Vwap Adx Strategy

Strategy based on VWAP and ADX indicators. Enters long when price is above VWAP and ADX > 25. Enters short when price is below VWAP and ADX > 25. Exits when ADX < 20.

Testing indicates an average annual return of about 157%. It performs best in the crypto market.

VWAP acts as the session benchmark, and ADX measures conviction. Entries appear when price departs from VWAP with ADX showing strength.

Fits intraday trend traders. Protective stops use ATR multiples.

Details

• Entry Criteria:
  • Long: Close > VWAP && ADX > 25
  • Short: Close < VWAP && ADX > 25
• Long/Short: Both
• Exit Criteria: ADX drops below threshold
• Stops: Percent-based using StopLossPercent
• Default Values:
  • StopLossPercent = 2m
  • AdxPeriod = 14
  • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
• Filters:
  • Category: Mean reversion
  • Direction: Both
  • Indicators: VWAP, ADX
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Mid-term
  • Seasonality: No
  • Neural Networks: No
  • Divergence: No
  • Risk Level: Medium