29 lines
1.0 KiB
Markdown
29 lines
1.0 KiB
Markdown
# 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)](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4631351).
|
|
|
|
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
|
|
|
|
### TQQQ, 1 Minute, 2018-2024
|
|
|
|
Starting from 2018 with TQQQ which is what the authors of the paper did.
|
|
|
|
|
|
|
|
|
|
|
|
### TQQQ, 1 Minute, 2010-2024
|
|
|
|
Data for TQQQ begins in February 2010.
|
|
|
|
|
|
|
|
|
|
|
|
--- |