VWAP Code not working on longs

• 04/30/2024 at 11:31 AM #232077
  MacroT

  Hi,

   

  I have taken the VWAP code logic used by PRT and have a simple trading system to buy when close is below VWAP. I am running this on US 500 DFB on a 15M timeframe. The code works as an indicator but when I am trying to use it to build a trading strategy it is not returning any executions which is incorrect. Can you see any error in the code posted below

   

  DEFPARAM CumulateOrders = FALSE// Cumulating positions deactivated timeframe(daily,updateonclose) //PRC_VWAP intraday //SAME VERSION AS THE ORIGINAL VWAP FROM THE PLATFORM //09.01.2020 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge if day<>day[1] then d=0 else d=d+1 if volume >0 then VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) endif sd = std[d](abs(typicalprice-vwap)) //SDHigh8 = vwap //SDLow8 = vwap //SDHigh9 = vwap+(sd*1) //SDLow9 = vwap-(sd*1) //SDHigh10 = vwap+(sd*2) //SDLow10 = vwap-(sd*2) endif timeframe(default) IF Close[0]<VWAP THEN Trend= 1 ELSIF Close[0]> VWAP THEN Trend = -1 ELSE Trend = 0 ENDIF StopLossBuy = 20 StopLossSell = 20 SellTarget = 30 BuyTarget = 30 IF Trend = 1 THEN BUY 10 PERPOINT AT MARKET SET STOP LOSS StopLossBuy SET TARGET pPROFIT BuyTarget ELSE ENDIF

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  DEFPARAM CumulateOrders = FALSE// Cumulating positions deactivated   timeframe(daily,updateonclose) //PRC_VWAP intraday //SAME VERSION AS THE ORIGINAL VWAP FROM THE PLATFORM //09.01.2020 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge   if day<>day[1] then d=0 else d=d+1 if volume >0 then VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) endif     sd = std[d](abs(typicalprice-vwap))   //SDHigh8 = vwap //SDLow8 = vwap //SDHigh9 = vwap+(sd*1) //SDLow9 = vwap-(sd*1) //SDHigh10 = vwap+(sd*2) //SDLow10 = vwap-(sd*2) endif     timeframe(default)   IF Close[0]<VWAP THEN Trend= 1 ELSIF Close[0]> VWAP THEN Trend = -1 ELSE Trend = 0 ENDIF   StopLossBuy = 20 StopLossSell = 20   SellTarget = 30 BuyTarget = 30           IF Trend = 1 THEN BUY 10 PERPOINT AT MARKET SET STOP LOSS StopLossBuy SET TARGET pPROFIT BuyTarget ELSE ENDIF

   

  

  MacroT

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  04/30/2024 at 12:40 PM #232081
  GraHal

  Is it due to day always being different to day[1] and so d will always = o and so vwap will always = 0 using d = 0 in the formula below …

  if day<>day[1] then d=0 else d=d+1 if volume >0 then VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) endif

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  if day<>day[1] then d=0 else d=d+1 if volume >0 then VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) endif

   

  

  GraHal

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  04/30/2024 at 12:47 PM #232083
  fifi743

  it’s not the other way round

   

  IF Close[0]<VWAP THEN Trend= 1 ELSIF Close[0]> VWAP THEN Trend = -1

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  IF Close[0]<VWAP THEN Trend= 1 ELSIF Close[0]> VWAP THEN Trend = -1

  

  fifi743

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  04/30/2024 at 12:50 PM #232084
  MacroT

  Perfect – thanks

  

  MacroT

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