Vwap Macd Strategy

Strategy based on VWAP and MACD. Enters long when price is above VWAP and MACD > Signal. Enters short when price is below VWAP and MACD < Signal. Exits when MACD crosses its signal line in the opposite direction.

Testing indicates an average annual return of about 181%. It performs best in the crypto market.

VWAP guides intraday value, and MACD crossovers reveal momentum shifts. Trades are launched as MACD turns near the VWAP level.

Suitable for short-term momentum traders. ATR stop rules prevent excessive risk.

Details

• Entry Criteria:
  • Long: Close > VWAP && MACD > Signal
  • Short: Close < VWAP && MACD < Signal
• Long/Short: Both
• Exit Criteria: MACD cross opposite
• Stops: Percent-based using StopLossPercent
• Default Values:
  • MacdFastPeriod = 12
  • MacdSlowPeriod = 26
  • MacdSignalPeriod = 9
  • StopLossPercent = 2m
  • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
• Filters:
  • Category: Mean reversion
  • Direction: Both
  • Indicators: VWAP, MACD
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Mid-term
  • Seasonality: No
  • Neural Networks: No
  • Divergence: No
  • Risk Level: Medium