HYE0619

HYE Mean Reversion VWAP [Strategy]

An RSI filtered version of PJ Sutherland's Jaws Mean Reversion algorithm using volume weighted average price ( VWAP ) instead of simple moving average ( SMA ).

"Long" on the close when;

1-) 2 period VWAP closes 3% or more below the 5 period VWAP ,
2-) 5 period exponential average of the 2 period RSI is below 30.

"Exit Long" on the close when;

1-) 2 period VWAP closes above the 5 period VWAP .

"Short" on the close when;

1-) 2 period VWAP closes 3% or more above the 5 period VWAP ,
2-) 5 period exponential average of the 2 period RSI is above 70.

"Exit Short" on the close when;

1-) 2 period VWAP closes below the 5 period VWAP .

*** You can change the needed percentage for long and short trades, periods of VWAPs and RSI levels.
*** You can select the trend direction: "Long Only" , "Short Only" or "Both". Default is "Long Only".

I used the "VWAP with period" indicator code of @neolao. Special thanks to @neolao.
Indicator Link:
Release Notes: Plot feature has been added to follow the vwap lines on the graph.
Open-source script

In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in a publication is governed by House Rules. You can favorite it to use it on a chart.

Want to use this script on a chart?

Comments