StockSharp.Strategies.0345_VWAP_Behavioral_Bias_Filter

VWAP Behavioral Bias Filter (C# Version)

The VWAP Behavioral Bias Filter strategy is built around VWAP Behavioral Bias Filter.

Testing indicates an average annual return of about 124%. It performs best in the forex market.

Signals trigger when Behavioral confirms filtered entries on intraday (5m) data. This makes the method suitable for active traders.

Stops rely on ATR multiples and factors like BiasThreshold, BiasWindowSize. Adjust these defaults to balance risk and reward.

Details

• Entry Criteria: see implementation for indicator conditions.
• Long/Short: Both directions.
• Exit Criteria: opposite signal or stop logic.
• Stops: Yes, using indicator-based calculations.
• Default Values:
  • BiasThreshold = 0.5m
  • BiasWindowSize = 20
  • StopLoss = 2m
  • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
• Filters:
  • Category: Trend following
  • Direction: Both
  • Indicators: Behavioral, Bias
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Intraday (5m)
  • Seasonality: No
  • Neural Networks: No
  • Divergence: No
  • Risk Level: Medium