EVWMA VWAP Cross Strategy [QuantNomad] by QuantNomad
By QuantNomad
Performance Metrics
- Author: QuantNomad
- Symbol: BINANCE:ETHBTC
- Timeframe: 2 hours
- Net P&L: +2,540,762.05 NONE (+2,409.90%)
- Win Rate: 36.4%
- Profit Factor: 2.148
- Max Drawdown: 290,621.76 NONE (24.02%)
- Total Trades: 165
- Sharpe Ratio: 0.648
Description
Continue to experiement with VWAP and EVWMA. It seems that just simple crosses between VWAP and EVWMA can be pretty good signals. VWAP is a bit choppy so you can use VWAP smoothing input to smoth it a bit. Here are few other strategies based on EVWMA: EVWMA VWAP MACD Strategy [QuantNomad]QuantNomad - EVWMA MACD Strategy