OPEN-SOURCE SCRIPT
RVWAP Mean Reversion Strategy
After reading "Everyone uses VWAP wrong" by EdgeTools I had to built a quick Rolling VWAP Mean Reversion Strategy.
I took the TradingView Rolling VWAP indicator and defined simple long and short entry conditions.
The strategy takes long positions if we dip below the lower band of the RVWAP standard deviation and then crossover and close above. For shorts, if we crossunder and close below the upper band, we enter a short trade.
For both longs and shorts we exit the position after crossing the RVWAP.
The strategy quickly showed its amazing potential. By tweaking the rolling period and the first standard deviation, you can create some amazing backtests.
High win rates are usual and expected, as price always returns to the volume weighted mean average. Depending on the configuration, the Sharp and Sortino ratio indicate a real edge. Though fast declines and rises in the underlying asset may result in bigger drawdowns.
I built in the possibility to chose which direction you want to trade. So you can go only long or only short.
I also included a tool to define your own backtesting range, as the inbuilt tradingview backtester isn't optimized for that in my opinion.
I highly encourage you, to take the code, make a copy and add your own ideas. You may want to have different standard deviations for long and short entries, or you want to define entries with simple crosses. The code is easily edited as long as you don't touch the indicator.
If you got this far reading you absolutely must look into "Everyone uses VWAP wrong"!
I took the TradingView Rolling VWAP indicator and defined simple long and short entry conditions.
The strategy takes long positions if we dip below the lower band of the RVWAP standard deviation and then crossover and close above. For shorts, if we crossunder and close below the upper band, we enter a short trade.
For both longs and shorts we exit the position after crossing the RVWAP.
The strategy quickly showed its amazing potential. By tweaking the rolling period and the first standard deviation, you can create some amazing backtests.
High win rates are usual and expected, as price always returns to the volume weighted mean average. Depending on the configuration, the Sharp and Sortino ratio indicate a real edge. Though fast declines and rises in the underlying asset may result in bigger drawdowns.
I built in the possibility to chose which direction you want to trade. So you can go only long or only short.
I also included a tool to define your own backtesting range, as the inbuilt tradingview backtester isn't optimized for that in my opinion.
I highly encourage you, to take the code, make a copy and add your own ideas. You may want to have different standard deviations for long and short entries, or you want to define entries with simple crosses. The code is easily edited as long as you don't touch the indicator.
If you got this far reading you absolutely must look into "Everyone uses VWAP wrong"!
Script de código abierto
Fiel al espíritu de TradingView, el creador de este script lo ha convertido en código abierto, para que los traders puedan revisar y verificar su funcionalidad. ¡Enhorabuena al autor! Aunque puede utilizarlo de forma gratuita, recuerde que cualquier republicación del código está sujeta a nuestras Normas internas.
Exención de responsabilidad
La información y las publicaciones no constituyen, ni deben considerarse como, asesoramiento o recomendaciones financieras, de inversión, de trading u otro tipo, proporcionadas o respaldadas por TradingView. Obtenga más información en Condiciones de uso.
Script de código abierto
Fiel al espíritu de TradingView, el creador de este script lo ha convertido en código abierto, para que los traders puedan revisar y verificar su funcionalidad. ¡Enhorabuena al autor! Aunque puede utilizarlo de forma gratuita, recuerde que cualquier republicación del código está sujeta a nuestras Normas internas.
Exención de responsabilidad
La información y las publicaciones no constituyen, ni deben considerarse como, asesoramiento o recomendaciones financieras, de inversión, de trading u otro tipo, proporcionadas o respaldadas por TradingView. Obtenga más información en Condiciones de uso.