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VWAP Breakout

VWAP Breakout looks for price to cross the Volume Weighted Average Price from the opposite side. A breakout above VWAP signals bullish pressure, while a drop below VWAP signals bearish sentiment.

Testing indicates an average annual return of about 181%. It performs best in the crypto market.

The strategy waits for a close on the other side of VWAP and then trades in that direction. Exits occur when price reverses back through VWAP.

Because VWAP represents the average transaction price, breaks often lead to momentum moves.

Details

  • Entry Criteria: Price closes on the opposite side of VWAP.
  • Long/Short: Both directions.
  • Exit Criteria: Price crosses back through VWAP or stop.
  • Stops: Yes.
  • Default Values:
    • CandleType = TimeSpan.FromMinutes(5)
  • Filters:
    • Category: Breakout
    • Direction: Both
    • Indicators: VWAP
    • 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>
/// VWAP Breakout strategy.
/// Enters long when price breaks above VWAP, short when below.
/// </summary>
public class VWAPBreakoutStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _previousClosePrice;
	private decimal _previousVWAP;
	private int _cooldown;

	/// <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 the VWAP Breakout strategy.
	/// </summary>
	public VWAPBreakoutStrategy()
	{
		_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;
		_previousVWAP = default;
		_cooldown = default;
	}

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

		_previousClosePrice = 0;
		_previousVWAP = 0;
		_cooldown = 0;

		var vwap = new VolumeWeightedMovingAverage();

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_previousClosePrice == 0)
		{
			_previousClosePrice = candle.ClosePrice;
			_previousVWAP = vwapPrice;
			return;
		}

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

		var breakoutUp = _previousClosePrice <= _previousVWAP && candle.ClosePrice > vwapPrice;
		var breakoutDown = _previousClosePrice >= _previousVWAP && candle.ClosePrice < vwapPrice;

		if (Position == 0 && breakoutUp)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}
		else if (Position == 0 && breakoutDown)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}
		else if (Position > 0 && candle.ClosePrice < vwapPrice)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}
		else if (Position < 0 && candle.ClosePrice > vwapPrice)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}

		_previousClosePrice = candle.ClosePrice;
		_previousVWAP = vwapPrice;
	}
}