VWAP and RSI strategy by eemani123
By eemani123
Performance Metrics
- Author: eemani123
- Symbol: AMEX:SPY
- Timeframe: 1 hour
- Net P&L: +152.67 USD (+1.53%)
- Win Rate: 81.8%
- Profit Factor: 2.988
- Max Drawdown: 42.55 USD (0.42%)
- Total Trades: 121
- Sharpe Ratio: −1.337
Description
Aug 28, 2020This strategy combines VWAP and RSI indicatorsBUY RULE1. EMA50 > EMA 2002. if current close > vwap session value and close>open 3. check if RSI3 is dipped below 10 for any of last 10 candles (as defined rsi_buy_level)EXIT RULE1. RSI3 crossing down 90 level (as defined in rsi_sell_level)STOP LOSS EXIT1. default is set to 5%you need to add EMA 50 , EMA 200 and VWAP (session) indicators to the chart to see how these signals are generatedThis strategy is tested on SPY and QQQ index stocks on hourly chart.Warningfor educational purposes onlySep 17, 2020Release NotesAdd on RSI divergence parameter added to settingsThis will allow to add to existing position if RSI divergence found.Background color green has been added to RSI indicator when there is divergence