This is an experimental strategy that enters long when the instrument crosses over the upper standard deviation band of a VWAP and enters short when the instrument crosses below the bottom standard deviation band of the VWAP. I have added a trend filter as well, which stops entries that are opposite to the current trend of the VWAP. The trend filter will reduce total false breakouts, thus improving the % profitable while maintaining the overall returns of the strategy. Because this is a trend-following breakout strategy, the % profitable will typically be low but the average % return will be higher. As a rule, be sure to look at the average winning trade % compared to the average losing trade %, and compare that to the % profitable to judge the effectiveness of a strategy. Factor in fees and slippage as well.
This strategy appears to work better with the lower timeframes, and I was impressed with its results. It also appears to work on a wide range of asset classes. There isn't a stop loss or take profit built-in (other than the reversal signals, which close the current trade), so I would encourage you to expand on the strategy based on your own trading parameters.
You can toggle off the bar colors and the trend filter if you so desire.
Future updates to this script (or ideas of improving on it) might include a take profit level set at one standard deviation past the current level and a stop loss level set at one standard deviation closer to the vwap from the current level - or applying a multiple to the two based off of your reward/risk ratio.
About the strategy results below: this is with commissions of 0.5 % per trade.
הערות שחרור
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Added take profit, fixed commission regime, and changed default % equity to be more realistic. A note to new people interested in the strategy - use this strategy as the basis for your own strategies, it is still experimental.
@Muhammad_alfi, Working on getting it to work on forex. Works for spot at the moment, I'll let you know when I figure out a solution.
mmhogsett
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Did you figure out why it doesn't work on futures?
piccard54
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Hello,
You say in the description that you are using a commission of a 0.5% .
I have checked the properties of your strategy, and you are using a commission of 0.005%(*0.00005) not 0.5%(*0.005). *0.005 is a 0.5% so you might have been confused with the percentages.
Please note that symbol in that exchange the commission is around 0.1% (*0.001) which is 20 times more commission that the one you have used in this back-test.
If you run the back-test with real-life commissions, you will see how it blows up your account.
wbburgin
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@piccard54, The commission value is now 0.025 %, I use a broker that is either zero-fee or high volume. Again, yes, this is experimental and should not be used without taking into account fees or slippage.