11 lines
502 B
Markdown
11 lines
502 B
Markdown
# VWAP Trend Bot
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## Overview
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This is an implementation of the strategy presented in the paper [Volume Weighted Average Price (VWAP) The Holy Grail for Day Trading Systems (2023)](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4631351).
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The strategy is very basic, initiating long positions when price closes above VWAP and short positions when price closes below VWAP.
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Trades are held either until price closes in the opposite direction with respect to VWAP or the end of the trading day.
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