StockSharp.Strategies.0266_VWAP_Slope_Breakout.py

VWAP Slope Breakout (Python Version)

The VWAP Slope Breakout strategy observes the rate of change of the VWAP. An unusually steep slope hints that a new trend is forming.

Testing indicates an average annual return of about 133%. It performs best in the crypto market.

Entries occur when slope exceeds its typical level by a multiple of standard deviation, taking trades in the direction of acceleration with a protective stop.

It appeals to active traders eager for early trend exposure. Positions exit when the slope drifts back toward normal readings. Default LookbackPeriod = 20.

Details

• Entry Criteria: Indicator exceeds average by deviation multiplier.
• Long/Short: Both directions.
• Exit Criteria: Indicator reverts to average.
• Stops: Yes.
• Default Values:
  • LookbackPeriod = 20
  • DeviationMultiplier = 2m
  • StopLossPercent = 2m
  • CandleType = TimeSpan.FromMinutes(5)
• Filters:
  • Category: Breakout
  • Direction: Both
  • Indicators: VWAP
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Short-term
  • Seasonality: No
  • Neural Networks: No
  • Divergence: No
  • Risk Level: Medium