StockSharp.Strategies.0030_VWAP_Reversion.py

VWAP Reversion (Python Version)

VWAP Reversion strategy that trades on deviations from Volume Weighted Average Price

VWAP Reversion trades deviations from the volume-weighted average price. If price strays too far above or below VWAP, the strategy fades the move and exits on a snap back.

Because VWAP reflects typical transaction levels, extreme deviations often lure price back toward it. Some traders combine this signal with intraday trend filters for higher probability.

Details

• Entry Criteria: Signals based on RSI, VWAP.
• Long/Short: Both directions.
• Exit Criteria: Opposite signal or stop.
• Stops: Yes.
• Default Values:
  • DeviationPercent = 2.0m
  • StopLossPercent = 2.0m
  • CandleType = TimeSpan.FromMinutes(5)
• Filters:
  • Category: Mean Reversion
  • Direction: Both
  • Indicators: RSI, VWAP
  • Stops: Yes
  • Complexity: Basic
  • Timeframe: Intraday (5m)
  • Seasonality: No
  • Neural Networks: No
  • Divergence: No
  • Risk Level: Medium