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"!
오픈 소스 스크립트
트레이딩뷰의 진정한 정신에 따라, 이 스크립트의 작성자는 이를 오픈소스로 공개하여 트레이더들이 기능을 검토하고 검증할 수 있도록 했습니다. 작성자에게 찬사를 보냅니다! 이 코드는 무료로 사용할 수 있지만, 코드를 재게시하는 경우 하우스 룰이 적용된다는 점을 기억하세요.
면책사항
해당 정보와 게시물은 금융, 투자, 트레이딩 또는 기타 유형의 조언이나 권장 사항으로 간주되지 않으며, 트레이딩뷰에서 제공하거나 보증하는 것이 아닙니다. 자세한 내용은 이용 약관을 참조하세요.
오픈 소스 스크립트
트레이딩뷰의 진정한 정신에 따라, 이 스크립트의 작성자는 이를 오픈소스로 공개하여 트레이더들이 기능을 검토하고 검증할 수 있도록 했습니다. 작성자에게 찬사를 보냅니다! 이 코드는 무료로 사용할 수 있지만, 코드를 재게시하는 경우 하우스 룰이 적용된다는 점을 기억하세요.
면책사항
해당 정보와 게시물은 금융, 투자, 트레이딩 또는 기타 유형의 조언이나 권장 사항으로 간주되지 않으며, 트레이딩뷰에서 제공하거나 보증하는 것이 아닙니다. 자세한 내용은 이용 약관을 참조하세요.