English EN
View on GitHub

VWMA Cross

The Volume Weighted Moving Average (VWMA) emphasizes price levels with higher trading volume. This strategy trades crossovers between price and the VWMA.

Testing indicates an average annual return of about 184%. It performs best in the crypto market.

A close above VWMA after being below it generates a long entry, while a drop below VWMA prompts a short trade. Positions exit when price crosses back in the opposite direction.

Using a volume-weighted average reduces noise from low-volume periods.

Details

  • Entry Criteria: Price crosses VWMA from below or above.
  • Long/Short: Both directions.
  • Exit Criteria: Reverse crossover or stop.
  • Stops: Yes.
  • Default Values:
    • VWMAPeriod = 14
    • CandleType = TimeSpan.FromMinutes(5)
  • Filters:
    • Category: Trend
    • Direction: Both
    • Indicators: VWMA
    • Stops: Yes
    • Complexity: Basic
    • Timeframe: Intraday
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
using System;
using System.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Volume Weighted Moving Average (VWMA) Strategy.
/// Long entry: Price crosses above VWMA.
/// Short entry: Price crosses below VWMA.
/// </summary>
public class VWMAStrategy : Strategy
{
	private readonly StrategyParam<int> _vwmaPeriod;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _previousClosePrice;
	private decimal _previousVWMA;
	private int _cooldown;

	/// <summary>
	/// VWMA Period.
	/// </summary>
	public int VWMAPeriod
	{
		get => _vwmaPeriod.Value;
		set => _vwmaPeriod.Value = value;
	}

	/// <summary>
	/// Candle type for strategy calculation.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Cooldown bars between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Initialize <see cref="VWMAStrategy"/>.
	/// </summary>
	public VWMAStrategy()
	{
		_vwmaPeriod = Param(nameof(VWMAPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("VWMA Period", "Period for Volume Weighted Moving Average", "Indicators")
			.SetOptimize(5, 30, 5);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_cooldownBars = Param(nameof(CooldownBars), 500)
			.SetRange(1, 1000)
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_previousClosePrice = default;
		_previousVWMA = default;
		_cooldown = default;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_previousClosePrice = 0;
		_previousVWMA = 0;
		_cooldown = 0;

		var vwma = new VolumeWeightedMovingAverage { Length = VWMAPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(vwma, ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, vwma);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, decimal vwmaPrice)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_previousClosePrice == 0)
		{
			_previousClosePrice = candle.ClosePrice;
			_previousVWMA = vwmaPrice;
			return;
		}

		if (_cooldown > 0)
		{
			_cooldown--;
			_previousClosePrice = candle.ClosePrice;
			_previousVWMA = vwmaPrice;
			return;
		}

		var crossoverUp = _previousClosePrice <= _previousVWMA && candle.ClosePrice > vwmaPrice;
		var crossoverDown = _previousClosePrice >= _previousVWMA && candle.ClosePrice < vwmaPrice;

		if (Position == 0 && crossoverUp)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}
		else if (Position == 0 && crossoverDown)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}
		else if (Position > 0 && crossoverDown)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}
		else if (Position < 0 && crossoverUp)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}

		_previousClosePrice = candle.ClosePrice;
		_previousVWMA = vwmaPrice;
	}
}