VWAP SX (Strategy)
DisclaimerInput Information
| Name | Type | Default | Description |
|
PriceToUseInVWAPCalc |
Numeric | AvgPrice | A bar price or other value used to calculate the estimated volume-weighted average price (VWAP). |
| RestartCondition | Numeric | 1 | This input determines when the VWAP calculation is restarted. By default, the calculation is restarted at the start of a new regular session only (RestartCondition = 1). But the calculation can also be set to restart at every new session (2), or to calculate only during the regular session (3). |
Usage
Short exit (SX) strategy. Exits a short position when the close of a bar crosses from below the volume-weighted average price (VWAP) to above the VWAP.
Description
Volume-weighted average price (VWAP) values are calculated based by averaging volume-weighted prices (see VWAP (Estimated)).
In this strategy, a short exit signal is generated when the close of a bar crosses over the VWAP value. This means that a short exit (buy-to-cover) order will be generated when, subsequent to a bar closing below the VWAP value, a bar closes above the VWAP value.
For visualization purposes, you may find the indicator VWAP (Estimated) to be helpful.
Order Name: VWAP-SX
Related Strategies: VWAP Bands SE, VWAP Bands LE, VWAP LX
Related Indicator: VWAP (Estimated)