VWAP-Bollinger Bands — Strategy by Wayne-o
By Wayne-o
Performance Metrics
- Author: Wayne-o
- Symbol: BITSTAMP:BTCUSD
- Timeframe: 1 day
- Net P&L: +5,001,651.89 USD (+500.17%)
- Win Rate: 47.5%
- Profit Factor: 5.672
- Max Drawdown: 379,186.71 USD (6.19%)
- Total Trades: 59
- Sharpe Ratio: 0.177
Description
Apr 19, 2021This script uses Bollinger bands but with a VWAP as the source, it uses the high crossing the upper band as a buy signal and a low crossing the lower band as a sell signalIts default settings are for a day chart - Crypto 30 periods, forex 24 periods and stocks 20 periods, which basically line up with a month per asset classive seen good results in crypto and stocks, settings used between1% and 10% equity per trade with a 0.1% fee which lines up with Binance fee structure and $25 per trade which lines up with Commsec on the ASXJun 19, 2023Release NotesAdded all the default values and converted to V5