HYE Mean Reversion VWAP [Strategy]

1 ก.ค. 2021

An RSI filtered version of PJ Sutherland's Jaws Mean Reversion algorithm using volume weighted average price (VWAP) instead of simple moving average (SMA).

"Long" on the close when;

1-) 2 period VWAP closes 3% or more below the 5 period VWAP ,
2-) 5 period exponential average of the 2 period RSI is below 30.

"Exit Long" on the close when;

1-) 2 period VWAP closes above the 5 period VWAP.

"Short" on the close when;

1-) 2 period VWAP closes 3% or more above the 5 period VWAP ,
2-) 5 period exponential average of the 2 period RSI is above 70.

"Exit Short" on the close when;

1-) 2 period VWAP closes below the 5 period VWAP.

*** You can change the needed percentage for long and short trades, periods of VWAPs and RSI levels.
*** You can select the trend direction: "Long Only" , "Short Only" or "Both". Default is "Long Only".

I used the "VWAP with period" indicator code of @neolao. Special thanks to @neolao.
Indicator Link: tr.tradingview.com/v/rSTNnV6B/

27 ก.ค. 2021

เอกสารเผยแพร่

Plot feature has been added to follow the vwap lines on the graph.