Vwap Volume Strategy (Python)

Strategy combining VWAP and Volume indicators. Buys/sells on VWAP breakouts confirmed by above-average volume. This strategy references VWAP to gauge value and requires volume confirmation before trades. The idea is to join moves backed by strong participation. Intraday traders focused on volume metrics can employ this method. Losses are trimmed via an ATR-based stop.

• Entry Criteria:

• Long: Close < VWAP && Volume > AvgVolume * VolumeThreshold

• Short: Close > VWAP && Volume > AvgVolume * VolumeThreshold []Long/Short: Both []Exit Criteria:

• Price crosses back through VWAP []Stops: Percent-based using StopLossPercent []Default Values:

• VolumePeriod = 20

• VolumeThreshold = 1.5m

• StopLossPercent = 2.0m

• CandleType = TimeSpan.FromMinutes(5).TimeFrame() [*]Filters:

• Category: Mean reversion

• Direction: Both

• Indicators: VWAP, Volume

• Stops: Yes

• Complexity: Intermediate

• Timeframe: Mid-term

• Seasonality: No

• Neural Networks: No

• Divergence: No

• Risk Level: Medium