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Strategy: VWAP_266
Downloaded: 20220228
Stoploss: -0.99
5mSpotv2UnbiasedLink


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Average Overall
BuysAvgprofTotProfWin%DD%Time
22.250.442.0268.52.545.35
SharpeSortinoCalmar
2.782.730.41
Prof.FactorExpectancyCagr
0.0900
Trades/DayRejected Signals
0.9266.5
Ninja Score: 66
The VWAP (Volume Weighted Average Price) strategy is implemented as a class called VWAP, which inherits from the IStrategy class. It involves calculating various indicators and making buy and sell decisions based on certain conditions. In the method populate_indicators, the strategy calculates and adds several indicators to the input dataframe.

These indicators include: vwap_low, vwap, and vwap_high: These are the lower, middle, and upper bands of the Volume Weighted Average Price (VWAP) calculated using a 20-day period.

tcp_percent_4: This represents the percentage change of the top price within the last 4 periods.

cti: This is the Commodity Channel Index (CCI) indicator calculated with a length of 20. rsi: This is the Relative Strength Index (RSI) indicator calculated with a time period of 14. rsi_84 and rsi_112: These are additional RSI indicators calculated with time periods of 84 and 112, respectively. bb_lowerband, bb_upperband, and bb_middleband: These are the lower, upper, and middle bands of the Bollinger Bands indicator calculated with a window of 20 and standard deviations of 2. The populate_buy_trend method determines the buy signals based on the following conditions: The closing price is below the vwap_low. The tcp_percent_4 is greater than 0.04. The cti is less than -0.8. The rsi is less than 35. The rsi_84 is less than 60. The rsi_112 is less than 60. The volume is greater than 0. When these conditions are met, the corresponding rows in the dataframe are marked with a value of 1 in the 'buy' column. The populate_sell_trend method marks all rows in the dataframe with a value of 1 in the 'sell' column. Overall, the VWAP strategy involves using a combination of VWAP, CCI, RSI, and Bollinger Bands indicators to generate buy and sell signals based on specific conditions related to price, volume, and indicator values.

stoploss: -0.99
timeframe: 5m
hash(sha256): 8872c7f41d4448b35865f2c813588e3f13bcd254498654e2b936d3f3406a4351
indicators:
tcp_percent_4 rsi_112 upper lower mid
volume close bb_middleband rsi rsi_84
cti bb_upperband bb_lowerband open vwap
vwap_low vwap_high

Similar Strategies: (based on used indicators)

Strategy: 1_BB_RPB_TSL_RNG_VWAP, Similarity Score: 94.44%
Strategy: BBMod_2, Similarity Score: 94.44%
Strategy: BB_RPB_TSL_RNG_VWAP, Similarity Score: 94.44%
Strategy: BB_RPB_TSL_RNG_VWAP_0, Similarity Score: 94.44%
Strategy: BB_RPB_TSL_RNG_VWAP_2, Similarity Score: 94.44%
Strategy: BL, Similarity Score: 94.44%
Strategy: Discord_VWAP, Similarity Score: 94.44%
Strategy: VWAP_0, Similarity Score: 94.44%
Strategy: VWAP_1, Similarity Score: 94.44%
Strategy: VWAP_319, Similarity Score: 94.44%
Strategy: VWAP_339, Similarity Score: 94.44%

last change: 2024-04-02 01:29:45