VWAP Williams R Strategy (C#). StockSharp

Author: StockSharp
N: 1686
v5.0.1 (7/30/2025)
Downloads: 74

The VWAP Williams %R strategy focuses on intraday reversion around the Volume Weighted Average Price. It observes when price drifts away from VWAP while the Williams %R oscillator reaches oversold or overbought territory. The assumption is that extreme readings near VWAP often lead to a snapback toward the mean.
When the oscillator drops below -80 and price trades under VWAP, the setup implies selling pressure is fading and a rebound may follow. Conversely, a reading above -20 while price is positioned above VWAP warns that buyers are exhausted and a pullback is likely. The strategy opens trades in the direction of a potential return to VWAP and watches for that move to complete.
This approach fits active intraday traders who prefer frequent mean reversion opportunities. A small stop‑loss relative to VWAP keeps risk contained while still allowing enough room for price to fluctuate before reversing.

  • Entry Criteria:

    • Long: Price < VWAP && Williams %R < -80 (oversold below VWAP)
    • Short: Price > VWAP && Williams %R > -20 (overbought above VWAP)

  • Long/Short: Both sides.
  • Exit Criteria:

    • Long: Exit long position when price breaks above VWAP
    • Short: Exit short position when price breaks below VWAP

  • Stops: Yes.
  • Default Values:

    • WilliamsRPeriod = 14
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(5)

  • Filters:

    • Category: Mixed
    • Direction: Both
    • Indicators: VWAP Williams R
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Intraday
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk Level: Medium