VWAP Automated Order

• 06/12/2020 at 8:50 AM #135674
  Plaedies

  Hi Guys,

  Would any of you wizards be able to create a pro order strategy using an adjustable timeframe but mainly 1 minute and 5 minute using the VWAP indicator.

  Buy Conditions

  Condition 1

  Price crosses above VWAP

  Condition 2

  Next bar closes higher than the VWAP

  execute order at next bar

  Sell (Short) Conditions

  The exact opposit of the Buy Condition

  Exit Conditions

  Still toying with this but would like the ability to backtest different variatons of a trailing stop by pips, % and value.

   

  

  Plaedies

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  06/12/2020 at 10:09 AM #135689
  Nicolas

  That below code should trigger the orders based on the VWAP cross you described:

  if day<>day[1] then d=0 else d=d+1 if volume >0 then VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) endif endif if close crosses over vwap then buybar=barindex endif if close crosses under vwap then sellbar=barindex endif if barindex-buybar=1 and not longonmarket then if close > vwap then buy at market endif endif if barindex-sellbar=1 and not shortonmarket then if close < vwap then sellshort at market endif endif set stop ptrailing 15 //change to whatever kind of trailing stop here: ptrailing, %trailing

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30

  if day<>day[1] then d=0 else d=d+1 if volume >0 then VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) endif endif   if close crosses over vwap then buybar=barindex endif   if close crosses under vwap then sellbar=barindex endif   if barindex-buybar=1 and not longonmarket then if close > vwap then buy at market endif endif   if barindex-sellbar=1 and not shortonmarket then if close < vwap then sellshort at market endif endif   set stop ptrailing 15 //change to whatever kind of trailing stop here: ptrailing, %trailing

  Change the trailing stop instruction to the desired one (last line of the code).

  

  Nicolas

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  06/12/2020 at 11:42 AM #135702
  Plaedies

  Thank you @Nicolas

  This is exactly what I wanted perfect! just one question around the position sizing. I did not see an element within the code that allows what the entry position size should be?

   

  

  Plaedies

  Participant

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  06/12/2020 at 11:44 AM #135703
  Nicolas

  change line 20 with “buy 1 contract at market”, do the same for the sellshort order.

  

  Nicolas

  Keymaster

  Topics: 81

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