Tideflow VWAP-RSI [Momentum Strategy] by wielkieef
By wielkieef
Performance Metrics
- Author: wielkieef
- Symbol: BINANCE:BTCUSDT
- Timeframe: 30 minutes
- Net P&L: +2,443.90 USDT (+24.44%)
- Win Rate: 38.8%
- Profit Factor: 1.16
- Max Drawdown: 1,999.27 USDT (16.30%)
- Total Trades: 250
Description
VWAP-RSI momentum strategy for crypto majors on intraday timeframes.RSI is computed on rolling VWAP rather than close price, giving anoscillator that emphasizes high-volume price action. Three independententry triggers, exhaustion-based exit, optional SMA trend filter.━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━MECHANICS━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━VWAP-RSI OSCILLATORThe strategy computes a rolling 20-bar VWAP from typical price weightedby volume, then runs a 14-period RSI on that VWAP series, smoothed witha 3-period EMA. Bars with low volume contribute less to the signal thanhigh-volume bars at the same price.THREE ENTRY TRIGGERSThe strategy can open a position from any of three patterns:- EXTREME REVERSAL — RSI was below the oversold zone and turned upward (or above overbought and turned down)- COLOR FLIP — RSI crosses the 50 midline in the direction of the active trend- SHALLOW DIP REENTRY — RSI reached a strong level (75/25), dipped back lightly (to 70/30), and is reversing back toward the trendThe shallow-dip trigger is what allows reentry during establishedtrends without waiting for a full pullback to the oversold/overboughtzone.EXHAUSTION EXITPositions close when RSI reaches the opposite extreme AND beginsreversing. The strategy waits for confirmed momentum exhaustion ratherthan exiting on the first touch of a level. A static percentage stoploss handles tail-risk scenarios.SMA TREND FILTERA long requires SMA Fast > SMA Slow AND close > SMA Fast. Shortsmirror on the opposite side. The filter is fixed-rule, not adaptive.━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━CREDITS & FOUNDATIONS━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━This script builds on established methodologies with original Pine v5implementation of every layer:- RSI (Relative Strength Index) — concept by J. Welles Wilder- VWAP (Volume Weighted Average Price) — institutional execution metric- SMA crossover filtering — classic trend-following frameworkAll code in this script was written from scratch. No code has beencopied from other public or private scripts.━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━WHAT YOU SEE━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━LOWER PANEThe VWAP-RSI line, color-coded by state. Solid green when above 50and rising. Solid red when below 50 and falling. Faded versions whenmomentum slows. Background tint shows the SMA trend regime. Sixhorizontal reference levels: oversold (35), overbought (65), strong-up(75), strong-down (25), dip-low (70), dip-high (30), midline (50).ENTRY MARKERS ON THE LOWER PANE- DIAMOND = extreme reversal entry- TRIANGLE = color flip entry- CIRCLE = shallow-dip reentry- YELLOW X = exhaustion exitPRICE CHARTBlue triangle below bar = long entry. Red triangle above bar = shortentry. Green TP label = exhaustion exit. Fuchsia X with SL label =stop loss hit. A fuchsia cross renders at the exact exit price.Optional SMA lines and position background can be toggled in inputs.━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━INPUTS OVERVIEW━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ZONES- Oversold zone (default 35)- Overbought zone (default 65)TREND FILTER- SMA Fast (default 50)- SMA Slow (default 100)ENTRIES- Color-flip toggle- Shallow-dip toggle and parameters (strong level, dip threshold, lookback bars)RISK- Static SL percentage (default 4.0)VISUALIZATION- Toggles for SMA on chart, position background, entry arrows, exit markersDefaults are tuned for BTC on 30-minute and 1-hour. For lowertimeframes, tighter SMA (20/50) and tighter SL (3%) work better.For 4H and above, wider SMA (100/200) and SL 5-6%.━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━HOW TO USE━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━This is a fully automated strategy with no discretionary input.The trader's role is parameter tuning and timeframe selection.For manual reading: watch the histogram color and position relativeto zones, identify which marker fires for each entry, and watch thefuchsia cross for exit fills. The trend regime panel backgroundindicates when the system is allowed to enter trades.━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━TECHNICAL NOTES & DISCLOSURES━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━NO REPAINT. All entries and exits compute on confirmed bar data.The strategy uses past RSI values for rising/falling state checks.No security() calls, no higher-timeframe lookups.NOT FINANCIAL ADVICE. Backtests have inherent limitations includingoverfitting risk and assumption of perfect fills. Historical resultsdo not guarantee future returns. Position sizing and capitalallocation should match the user's risk tolerance.EXECUTION REALISM. The strategy is configured with 3 ticks slippageand 0.03% commission per side, reflecting typical crypto exchangeconditions. Adjust for higher-cost venues.NO PYRAMIDING. Maximum 1 open position at a time. Each entry triggeris gated by an in-position check.STOP LOSS IS HARD. The static percentage stop is non-negotiable whenhit. There is no breakeven move and no trailing stop. The exhaustionexit handles winners; the SL handles outliers.OPEN SOURCE. Code is readable and forkable. Attribution appreciatedbut not required. Bug reports and feedback welcome in the comments.Check my profile for other published scripts.