StockSharp.Strategies.0048_VWAP_Breakout.py

VWAP Breakout (Python Version)

VWAP Breakout looks for price to cross the Volume Weighted Average Price from the opposite side. A breakout above VWAP signals bullish pressure, while a drop below VWAP signals bearish sentiment.

Testing indicates an average annual return of about 181%. It performs best in the crypto market.

The strategy waits for a close on the other side of VWAP and then trades in that direction. Exits occur when price reverses back through VWAP.

Because VWAP represents the average transaction price, breaks often lead to momentum moves.

Details

• Entry Criteria: Price closes on the opposite side of VWAP.
• Long/Short: Both directions.
• Exit Criteria: Price crosses back through VWAP or stop.
• Stops: Yes.
• Default Values:
  • CandleType = TimeSpan.FromMinutes(5)
• Filters:
  • Category: Breakout
  • Direction: Both
  • Indicators: VWAP
  • Stops: Yes
  • Complexity: Basic
  • Timeframe: Intraday
  • Seasonality: No
  • Neural Networks: No
  • Divergence: No
  • Risk Level: Medium