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Atualizado 0 Anchored VWAP Strategy - Full Suite v21
0 Anchored VWAP Strategy - Full Suite
Overview
The "0 Anchored VWAP Strategy - Full Suite" is a comprehensive and highly customizable trading system designed to capture momentum breakouts. At its core, the strategy anchors Volume-Weighted Average Price (VWAP) lines to significant market turning points identified by a Stochastic RSI. It provides a robust framework for both long and short trading, equipped with advanced risk management and filtering tools.
Core Logic
Momentum Identification: The strategy calculates a smoothed Stochastic RSI to detect overbought and oversold market conditions.
Dynamic Anchoring: * A High VWAP (Red Line) is anchored to the peak price when the Stochastic RSI crosses down from the overbought territory.
A Low VWAP (Green Line) is anchored to the lowest price when the Stochastic RSI crosses up from the oversold territory.
Entry & Exit: A Long position is triggered when the price breaks above the resistance of the High VWAP. Conversely, a default exit occurs if the price breaks below the support of the Low VWAP.
Advanced Features & Modules
This "Full Suite" version includes a modular set of advanced filters and exits that can be individually toggled in the settings to adapt to any asset or timeframe:
MTF Trend Filter: A Multi-Timeframe Moving Average (SMA or EMA). When enabled, trades are only taken in the direction of the macro trend (e.g., requiring the price to be above the 250-day EMA for longs), protecting against prolonged bear markets.
Volume Confirmation: Filters out fakeouts by requiring the breakout candle to have trading volume significantly higher than the recent average.
Short Selling: Fully supports short trades with mirrored logic for downtrends.
ATR Stop-Loss: A dynamic, volatility-based hard stop-loss to limit drawdowns in case the market crashes before the VWAP exit triggers.
Partial Take Profits (Scaling Out): Automatically secures profits by selling a defined percentage of the position once a specific target (in %) is reached.
Built-In Performance Dashboard
The strategy features an integrated, on-chart performance table that updates in real-time. It compares the strategy's metrics directly against a standard "Buy & Hold" approach over your defined backtest period. Metrics include:
Total Return (%)
CAGR (Compound Annual Growth Rate)
Maximum Drawdown (%) & Date of Max DD
Relative Performance (Strategy vs. Buy & Hold)
Total Number of Trades closed
Visualization
An optional "Relative Equity Curve" can be displayed directly on the main chart, scaled to the starting price of the backtest. This allows for an immediate visual comparison of how the strategy performs relative to the underlying asset's price action.
Overview
The "0 Anchored VWAP Strategy - Full Suite" is a comprehensive and highly customizable trading system designed to capture momentum breakouts. At its core, the strategy anchors Volume-Weighted Average Price (VWAP) lines to significant market turning points identified by a Stochastic RSI. It provides a robust framework for both long and short trading, equipped with advanced risk management and filtering tools.
Core Logic
Momentum Identification: The strategy calculates a smoothed Stochastic RSI to detect overbought and oversold market conditions.
Dynamic Anchoring: * A High VWAP (Red Line) is anchored to the peak price when the Stochastic RSI crosses down from the overbought territory.
A Low VWAP (Green Line) is anchored to the lowest price when the Stochastic RSI crosses up from the oversold territory.
Entry & Exit: A Long position is triggered when the price breaks above the resistance of the High VWAP. Conversely, a default exit occurs if the price breaks below the support of the Low VWAP.
Advanced Features & Modules
This "Full Suite" version includes a modular set of advanced filters and exits that can be individually toggled in the settings to adapt to any asset or timeframe:
MTF Trend Filter: A Multi-Timeframe Moving Average (SMA or EMA). When enabled, trades are only taken in the direction of the macro trend (e.g., requiring the price to be above the 250-day EMA for longs), protecting against prolonged bear markets.
Volume Confirmation: Filters out fakeouts by requiring the breakout candle to have trading volume significantly higher than the recent average.
Short Selling: Fully supports short trades with mirrored logic for downtrends.
ATR Stop-Loss: A dynamic, volatility-based hard stop-loss to limit drawdowns in case the market crashes before the VWAP exit triggers.
Partial Take Profits (Scaling Out): Automatically secures profits by selling a defined percentage of the position once a specific target (in %) is reached.
Built-In Performance Dashboard
The strategy features an integrated, on-chart performance table that updates in real-time. It compares the strategy's metrics directly against a standard "Buy & Hold" approach over your defined backtest period. Metrics include:
Total Return (%)
CAGR (Compound Annual Growth Rate)
Maximum Drawdown (%) & Date of Max DD
Relative Performance (Strategy vs. Buy & Hold)
Total Number of Trades closed
Visualization
An optional "Relative Equity Curve" can be displayed directly on the main chart, scaled to the starting price of the backtest. This allows for an immediate visual comparison of how the strategy performs relative to the underlying asset's price action.
Notas de Lançamento
Stoch to 47Notas de Lançamento
added Market CapitalNotas de Lançamento
small BugFixesNotas de Lançamento
BugfixesNotas de Lançamento
//Update v31: Added Exposure (Time in Market) tracking. Calmar Ratios are now strictly exposure-adjusted.Notas de Lançamento
//Update v33: Added Minimum Hold Time to prevent immediate VWAP exits after an entry.Notas de Lançamento
added Sharpe RatioNotas de Lançamento
Update v38: Integrated Full 21-Row Performance Dashboard & frozen end-date metrics.Script de código aberto
Em verdadeiro espírito do TradingView, o criador deste script o tornou de código aberto, para que os traders possam revisar e verificar sua funcionalidade. Parabéns ao autor! Embora você possa usá-lo gratuitamente, lembre-se de que a republicação do código está sujeita às nossas Regras da Casa.
Aviso legal
As informações e publicações não se destinam a ser, e não constituem, conselhos ou recomendações financeiras, de investimento, comerciais ou de outro tipo fornecidos ou endossados pela TradingView. Leia mais nos Termos de Uso.
Script de código aberto
Em verdadeiro espírito do TradingView, o criador deste script o tornou de código aberto, para que os traders possam revisar e verificar sua funcionalidade. Parabéns ao autor! Embora você possa usá-lo gratuitamente, lembre-se de que a republicação do código está sujeita às nossas Regras da Casa.
Aviso legal
As informações e publicações não se destinam a ser, e não constituem, conselhos ou recomendações financeiras, de investimento, comerciais ou de outro tipo fornecidos ou endossados pela TradingView. Leia mais nos Termos de Uso.