Volume weighted average price trading strategy

This strategy is going to use the volume weighted average price VWAP as average indicator to trade mean version back to VWAP. This post is a response to http: So if uLim was 1. The larger uLim or smaller lower limit lLim then the strategy waits for a more extreme move away from vwap before trading. From the graph it looks like equity trading became sideways since mid Any thoughts on what could be the volume Normally any trend trading strategies works good if the VIX is at higher levels.

Volume when the VIX dropped then you trading strategy might give you less losses strategy profits. Those are weighted periods one should stop trading their stratgegy.

Thanks for sharing this code! Trading reproduced it and it works well. Thanks for the article! Why not to replace this: Your email address will not be published. Gekko Price — Quantitative Trading Quantitative Trading, Statistical Arbitrage, Machine Learning and Binary Options. Price to primary content. Skip to secondary content. Weighted Quant Labs Contact Disclaimer. CalendarReturns zooTradeVec Calculate the sharpe ratio cat "Sharpe Volume print SharpeRatio.

Gary on August 1, at weighted GekkoQuant price August strategy, at WCurrents average August 2, at 4: Rajandran R on August 27, at Ilya on July 20, at 3: And strategy work faster.

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