Since 2022 Sort Finance

VWAP Cross

How this strategy trades, what it scored, and the measurements the score was read from — every symbol and timeframe, on real and resampled history.

  1. Compute the volume-weighted average price over the last 20 bars: each bar's typical price weighted by the volume traded on it.
  2. 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.
  3. 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.
Score
Total Score Mean Of Real And Resampled 35 / 100
Real Data 35 / 100
Resampled Data 35 / 100
Overall Rank Top 66% 34 of 52
Rank In Trend Top 79% 22 of 28
Score By Metric
Beats Hold Real 27 · Resampled 38 33 / 100
Risk Adjusted Real 40 · Resampled 35 38 / 100
Profitability Real 46 · Resampled 41 43 / 100
Win Rate Real 12 · Resampled 12 12 / 100
Fee Efficiency Real 36 · Resampled 36 36 / 100

Scores

The six scores the total is made of, one dataset at a time: how each stood as the run went on, and where each of them ended.

Source Metrics

The numbers those scores are read from, one dataset at a time: every trade as it happened, and where the run ended.