StockSharp.Strategies.0201_VWAP_Williams_R.py

VWAP Williams R Strategy (Python Version)

The VWAP Williams %R strategy focuses on intraday reversion around the Volume Weighted Average Price. It observes when price drifts away from VWAP while the Williams %R oscillator reaches oversold or overbought territory. The assumption is that extreme readings near VWAP often lead to a snapback toward the mean.

When the oscillator drops below -80 and price trades under VWAP, the setup implies selling pressure is fading and a rebound may follow. Conversely, a reading above -20 while price is positioned above VWAP warns that buyers are exhausted and a pullback is likely. The strategy opens trades in the direction of a potential return to VWAP and watches for that move to complete.

This approach fits active intraday traders who prefer frequent mean reversion opportunities. A small stop‑loss relative to VWAP keeps risk contained while still allowing enough room for price to fluctuate before reversing.

Details

• Entry Criteria:
  • Long: Price < VWAP && Williams %R < -80 (oversold below VWAP)
  • Short: Price > VWAP && Williams %R > -20 (overbought above VWAP)
• Long/Short: Both sides.
• Exit Criteria:
  • Long: Exit long position when price breaks above VWAP
  • Short: Exit short position when price breaks below VWAP
• Stops: Yes.
• Default Values:
  • WilliamsRPeriod = 14
  • StopLossPercent = 2m
  • CandleType = TimeSpan.FromMinutes(5)
• Filters:
  • Category: Mixed
  • Direction: Both
  • Indicators: VWAP Williams R
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Intraday
  • Seasonality: No
  • Neural networks: No
  • Divergence: No
  • Risk Level: Medium