Vwap Macd Strategy (C#)

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. A percent stop prevents 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 = 2
  • 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. An entry signal against an open position reverses it.
• 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