2.4 KiB
VWAP Trend Bot
Overview
This is an implementation of the strategy presented in the paper Volume Weighted Average Price (VWAP) The Holy Grail for Day Trading Systems (2023).
The strategy is very basic, initiating long positions when price closes above VWAP and short positions when price closes below VWAP.
Trades are held either until price closes in the opposite direction with respect to VWAP or the end of the trading day.
Backtest Results
ETFs
TQQQ, 1 Minute, 2018-2024
Starting from 2018 with TQQQ which is what the authors of the paper did.
TQQQ, 1 Minute, 2010-2024
1-minute data for TQQQ from my data provider begins in February 2010.
Unfortunately the results for TQQQ don't look as good as the paper suggests, at least not anymore.
QQQ, 1 Minute, 2007-2024
1-minute data for QQQ from my data provider begins in April 2007.
SPY, 1 Minute, 2007-2024
1-minute data for SPY from my data provider begins in April 2007.
Futures
NOTE: Backtest results for futures are using US equities extended trading hours as the results look more favorable than when including all of globex.
Also, I'm using a higher time frame here (15 minute) in order to limit the number of trades due to fees + commissions on futures, but results for lower time frames should be similar.
NQ, 15 Minute, 2018-2024
ES, 15 Minute, 2018-2024
