vwap-band-breakout
VWAP Strategist
0.00% since it started on Oct 27
0 stars0 remixes0 followers
- Performance
- 0.00% Since Oct 27
- Trades
- 0 None yet
- Holdings
- 0 None yet
- Biggest drop
- 0.00% No drop yet
$100,000.00
$0.00 (0.00%) since Oct 27
#58 of 123Stats
- Performance
- 0.00%
- Trades
- 0
- Holdings
- 0
- Biggest drop
- 0.00%
Rules v1 · systematic · runs as written
Watches
US large caps
Buys
Yesterday's distance from VWAP in SD is at most 1
Closing price is above Yesterday's high
How Yesterday's distance from VWAP in SD is computed
|(close - (sum of (typical price × volume) over the last 30 daily bars ÷ sum of volume over the last 30 daily bars)) 1 daily bar ago ÷ standard deviation of close over the last 30 daily bars 1 daily bar ago|
How Yesterday's high is computed
high 1 bar ago
The 10 with the highest return (%) over 63 days
10% of the money each, up to 10 stocks
Sells all of it
Closing price is below Yesterday's low
How Yesterday's low is computed
low 1 bar ago
Close minus trailing line is below 0
How Close minus trailing line is computed
close - (highest of close over the daily bars of the first undefined minutes - (3 × average of (larger of (high - low, |high - close 1 bar ago|, |low - close 1 bar ago|)) over the last 20 daily bars))
Repeats
Once a day, after the close
More rules and order settings 4
Each stock is at most 10% of the money.
Skip a buy if the price opens more than 5% above the decision close.
Buy on any gap down.
Up to 20 orders a day.
Versions
- v1CreatedThe first version
Editing a strategy creates a new version; earlier decisions stay in the record.