StockSharp.Strategies.0049_VWMA

VWMA Cross (C# Version)

The Volume Weighted Moving Average (VWMA) emphasizes price levels with higher trading volume. This strategy trades crossovers between price and the VWMA.

Testing indicates an average annual return of about 184%. It performs best in the crypto market.

A close above VWMA after being below it generates a long entry, while a drop below VWMA prompts a short trade. Positions exit when price crosses back in the opposite direction.

Using a volume-weighted average reduces noise from low-volume periods.

Details

• Entry Criteria: Price crosses VWMA from below or above.
• Long/Short: Both directions.
• Exit Criteria: Reverse crossover or stop.
• Stops: Yes.
• Default Values:
  • VWMAPeriod = 14
  • CandleType = TimeSpan.FromMinutes(5)
• Filters:
  • Category: Trend
  • Direction: Both
  • Indicators: VWMA
  • Stops: Yes
  • Complexity: Basic
  • Timeframe: Intraday
  • Seasonality: No
  • Neural Networks: No
  • Divergence: No
  • Risk Level: Medium