How It Works
- Compute the volume-weighted average price over the last 20 bars: each bar's typical price weighted by the volume traded on it.
- Buy when the close crosses above VWAP — price has moved above what the average participant recently paid, so buyers are now willing to pay up.
- Sell when the close crosses back below it. Compared with a plain moving-average cross, VWAP is pulled toward the prices where real trading happened, so quiet drifting bars move it far less.
Worked example. Most of the last 20 bars traded near 102 on heavy volume, with a few thin bars down at 100, putting VWAP around 101.7. A close at 102.4 crosses above it and the strategy buys; the trade is closed weeks later when price slips back beneath the rising VWAP.
The Math Behind The Indicators
Everything runs on closing prices of the traded timeframe: P is a close, Pt today's close, and N counts bars — one bar is one candle of that timeframe, so 20 bars on a 1h chart is 20 hours.
- Volume-Weighted Average Price (VWAP)
- The average price actually paid, rather than the average price printed: every bar's typical price is weighted by the volume traded there, so busy bars pull it and quiet ones barely register. That makes it a benchmark of what participants collectively paid — price above VWAP means the market is now bid above the crowd's cost basis. Crypto never closes, so there is no daily session to anchor the sum to; this uses a rolling 20-bar window, which keeps the same meaning on every timeframe.
- VWAPN = N∑i=1TPi · ViN∑i=1Vi, TP = H + L + P3
- Example: Three bars trade at typical prices 100, 102 and 101 on volumes 10, 90 and 10. The plain average is 101, but the volume-weighted one is (100·10 + 102·90 + 101·10) / 110 ≈ 101.7 — pulled toward 102, where nearly all the trading actually happened.
Example Chart
Example Chart
The Metrics
| Metric | Calculation | What it shows |
|---|---|---|
| Price Change % | change = Plast − P0P0 × 100 The traded market's own close against its first close over the same window, as a percentage. | What the market did while the rule was running — the benchmark every other row here is read against. A rule that made 40% in a market that made 120% lost to doing nothing. |
| Trades | N = count(closed positions) How many positions the rule opened and closed over the window. | The sample behind every other figure, and what the fees are charged on. Two rules with the same return are not the same rule if one took nine trades and the other took nine hundred. |
| Win Rate % | W%n = winsnn × 100 Of the first n trades, how many closed above the cash they opened with after fees. Plotted trade by trade, so the line is the rate so far rather than a final figure. | How often the rule is right, which is not how much it makes. A rule can win a third of its trades and still lead, if the third it wins pays for the two it loses. |
| Cumulative P&L % | PnL%n = n∑i=1(fi − 1) × 100 Each trade's percentage result added up, net of fees. A sum rather than a compounding, so a 10% gain and a 10% loss cancel. | What the rule returned per trade, with position size taken out of it. It answers whether the edge is in the trades themselves, where the equity curve answers what the account did with them. |
| Equity | En = E0 n∏i=1fi The account compounded through every trade — the whole balance goes into the next position. Drawn net of fees as a solid line and gross of them as a dotted one. | The account itself, which is the only figure a reader actually ends up with. The gap between the two lines is what the fees took, and it widens with every trade rather than staying a fixed share. |
| Cumulative Fees | Fn = n∑i=1(Ci φ + Xi φ) Fee charged on the way into each position and again on the way out, at rate phi, on the capital actually committed — so the bill grows with the account as well as with the trade count. | The cost of trading, in the account's own units. It is the one line here that only ever rises, and the one a rule cannot trade its way out of. |
| Rolling Sharpe | Sharpet = mean(rdaily)sd(rdaily) × √365 Mean daily return over its deviation, annualized on a 365-day year because crypto has no weekend. Taken on the account marked to market every bar — open positions included, not just closed ones — and read off at each trade's exit. | Return per unit of the swing it took to get it. It is the heaviest weight in the composite score, because an account that doubled calmly and one that doubled violently are not the same result. |