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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.