New Script: VWAP strategy

New Script: VWAP strategy

This strategy uses VWAP with period 7. The success rate about 50%, and one huge drawback is the huge drawdown. I do not set up stop loss for this strategy.

Strategy Description: It buys when the price crosses up VWAP line. Exit when EMA50 crosses down SMA100.

Potential ROI Monthly (in bullish trend): 0-10%

Recommended Settings:

Pair: BTCUSDT, TIAUSDT

Time frame: 5mins

Initial Capital: 100

Base Currency: Default

Order Size: 98% of equity

Pyramiding: 1 order

Commission: 0.1 %

//@version=4
strategy(“VWAP+MA[www.capayam.com]”, overlay=true)

// Input for the VWAP period
cumulativePeriod = input(7, title=“VWAP Period”)

// Calculate VWAP
typicalPrice = (high + low + close) / 3
typicalPriceVolume = typicalPrice * volume
cumulativeTypicalPriceVolume = sum(typicalPriceVolume, cumulativePeriod)
cumulativeVolume = sum(volume, cumulativePeriod)
vwapValue = cumulativeTypicalPriceVolume / cumulativeVolume

// Plot VWAP
plot(vwapValue, color=color.blue, title=“VWAP”)

// Input for EMA50 period
ema50Period = input(50, title=“EMA50 Period”)

// Calculate EMA50
ema50 = ema(close, ema50Period)

// Input for SMA100 period
sma100Period = input(100, title=“SMA100 Period”)

// Calculate SMA100
sma100 = sma(close, sma100Period)

// Plot EMA50 and SMA100
plot(ema50, color=color.orange, title=“EMA50”)
plot(sma100, color=color.green, title=“SMA100”)

// Define strategy conditions
strategy.entry(“Buy”, strategy.long, when = close > vwapValue)
strategy.close(“Buy”, when = crossover(ema50, sma100))

kriptos
Founder & CEO

2 Comments So far

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    Saiful
    23 February 2024, 9:45 am

    Report on this startegy
    Pair: ENSUSDT
    VWAP7
    EMA: 100
    SMA: 600
    Nett: Loss

    LOSS
    2024-02-22 07:27:37 KuCoin spot market yes ENSUSDT sell 2.155 22.109
    2024-02-21 23:36:08 KuCoin spot market yes ENSUSDT buy 2.155 22.244

    LOSS
    2024-02-21 23:29:01 KuCoin spot market yes ENSUSDT sell 2.079 22.235
    2024-02-21 08:12:00 KuCoin spot market yes ENSUSDT buy 2.079 23.095

    LOSS
    2024-02-21 08:11:04 KuCoin spot market yes ENSUSDT sell 2.071 23.084
    2024-02-20 23:12:19 KuCoin spot market yes ENSUSDT buy 2.071 23.18

    PROFIT
    2024-02-19 12:32:06 KuCoin spot market yes ENSUSDT sell 4.672 23.279
    2024-02-19 04:35:07 KuCoin spot market yes ENSUSDT buy 4.672 22.777

    Reply
    Saiful
    23 February 2024, 10:36 am

    Report on this strategy
    VWAP:7
    EMA:100
    SMA:1000
    Nett: PROFIT (6 wins / 2 losses)
    *current order actually running (yet to close) on 1.79% loss

    PROFIT 0.4%
    2024-02-22 20:30:00 KuCoin spot market yes BTCUSDT sell 0.001875 51917.5
    2024-02-22 17:54:04 KuCoin spot market yes BTCUSDT buy 0.001875 51710.6

    PROFIT 0.5%
    2024-02-22 17:53:00 KuCoin spot market yes BTCUSDT sell 0.001887 51699.0
    2024-02-21 22:34:01 KuCoin spot market yes BTCUSDT buy 0.001887 51393.9

    LOSS 0.5%
    2024-02-21 22:33:00 KuCoin spot market yes BTCUSDT sell 0.001858 51389.5
    2024-02-20 20:37:00 KuCoin spot market yes BTCUSDT buy 0.001858 52187.5

    PROFIT 0.19%
    2024-02-20 20:36:00 KuCoin spot market yes BTCUSDT sell 0.001864 52124.1
    2024-02-20 10:33:06 KuCoin spot market yes BTCUSDT buy 0.001864 52024.0

    PROFIT 0.19%
    2024-02-20 10:32:01 KuCoin spot market yes BTCUSDT sell 0.001867 52043.0
    2024-02-20 06:30:04 KuCoin spot market yes BTCUSDT buy 0.001867 51941.2

    PROFIT 0.4%
    2024-02-20 06:20:02 KuCoin spot market yes BTCUSDT sell 0.001872 52012.3
    2024-02-18 21:06:00 KuCoin spot market yes BTCUSDT buy 0.001872 51801.4

    PROFIT 0.17%
    2024-02-18 21:05:02 KuCoin spot market yes BTCUSDT sell 0.001875 51801.5
    2024-02-18 14:18:00 KuCoin spot market yes BTCUSDT buy 0.001875 51712.8

    LOSS 0.8%
    2024-02-18 03:47:02 KuCoin spot market yes BTCUSDT sell 0.002193 51464.5
    2024-02-17 21:31:01 KuCoin spot market yes BTCUSDT buy 0.002193 51867.9

    Reply