StockSharp.Strategies.0051_Volume_Weighted_Price_Breakout.py

Volume Weighted Price Breakout (Python Version)

This strategy combines a moving average with a volume‑weighted moving average (VWMA). When price trades above the VWMA, it suggests buyers are dominant. A breakout occurs when price crosses the VWMA from the opposite side.

Trades align with the VWMA direction and use the simple moving average as a higher‑level trend filter. Exits occur when price reverses relative to the moving average.

The goal is to capture breakouts supported by volume.

Details

• Entry Criteria: Price above or below VWMA with MA confirmation.
• Long/Short: Both directions.
• Exit Criteria: Price crosses MA in opposite direction or stop.
• Stops: Yes.
• Default Values:
  • MAPeriod = 20
  • VWAPPeriod = 20
  • CandleType = TimeSpan.FromMinutes(5)
• Filters:
  • Category: Breakout
  • Direction: Both
  • Indicators: VWMA, MA
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Intraday
  • Seasonality: No
  • Neural Networks: No
  • Divergence: No
  • Risk Level: Medium