RSI of VWAP [SHORT selling] — Strategy by eemani123
By eemani123
Performance Metrics
- Author: eemani123
- Symbol: AMEX:SPY
- Timeframe: 1 hour
- Net P&L: +4,075.01 USD (+40.75%)
- Win Rate: 87.5%
- Profit Factor: 6.283
- Max Drawdown: 335.74 USD (3.17%)
- Total Trades: 56
- Sharpe Ratio: 0.253
Description
Dec 9, 2020This is SHORT selling version of RSIofVWAP strategy. Settings and Logic are totally different from LONG side version , hence I am publishing it as a new strategy.Settings============VWAP of RSI Length 15Slow EMA Length 200Short entry level 25Cover short level 70stop loss 5SHORT Entry============condition1 : When RSIofVWAP crossdown below 25 and VWAP is below ema200condition2: When weekly RSIofVWAP crossdown 70 and VWAP (note : session vwap , not weekly vwap) is below ema200condition3: Use VIX value , if you want to short when the price is above ema200 vwap RSI crossing down 70 and VIX RSI is cossing up 70 enter short ... This is like falling knife :-) I need to add the code -- laterif any of above condition is TRUE , SHORT entry will be takenTake Profit============When close less than short entry price and RSIofVWAp is crossing up 25 , take profit ...close 1/3 of the positionExit============When RSIofVWAP crossing up 70 levelStop Loss============Stop Loss is set to 5% Note:1. When strategy is in SHORT position , background and bar color changes to gray2. When strategy is already in short position , possible entries are shown in yellow background3. RSI Length 15 is working most of the equities on hourly chart. ( RSI length 9 and 14 also works good , but not for all ... You may want to try which setting works for your symbol)4. weekly VWAP (blue color) is also plotted by default ... you can disable it if you dont want to see it. But there is advantage keeping it on the chart , you can notice whenever weekly VWAP crosses above 70 line , trend is UP ... if you have LONG position you can hold on it ... Hurray :-)Warning============For the educational purposes onlyDec 9, 2020Release NotesI have added check VIX paaremeter. When this is selected , strategy only checks whether VIX reading is rsisng and above 60. This setting gives advantage of volatility in the market , which boosts the over all performance SHORT selling trades.RSI Length has been adjusted to 11Please note this is tested for SPY on hourly. for your equity / asset and timeframe , adjust the settings accordinglyHave fun :-)