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.

How It Trades

  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.

Example Strategy

Pine Script

Paste it into TradingView’s Pine Editor to run these rules on any chart.

//@version=6
// VWAP Cross — sort.finance. Fills at the signal bar's close, 0.02% fee a side,
// whole account per trade, as the backtest. History and indicator warm-up
// differ from the site's, so expect close to the same trades, not identical.
strategy("VWAP Cross", overlay=true,
     initial_capital=100, default_qty_type=strategy.percent_of_equity,
     default_qty_value=100, commission_type=strategy.commission.percent,
     commission_value=0.02, process_orders_on_close=true, pyramiding=0)

// The bar the current position opened on, and the bar the last one closed on.
var int entryBar = na
var int exitBar = -1

// ── Signals ──────────────────────────────────────────────────────────────
// A rolling 20-bar VWAP: crypto has no session to anchor one to.
tradedVolume = math.sum(volume, 20)
vwap = tradedVolume > 0 ? math.sum(hlc3 * volume, 20) / tradedVolume : na
above = close > vwap
enterNow = above and not above[1]
exitNow = not above and above[1]

// ── Orders ───────────────────────────────────────────────────────────────
// Open on the first bar the entry holds while flat; close on the first
// later bar the exit holds; never reopen on the bar a position closed.
inTrade = strategy.position_size != 0
if inTrade and bar_index > entryBar and exitNow
    strategy.close("Long")
    exitBar := bar_index
else if not inTrade and bar_index > exitBar and enterNow
    strategy.entry("Long", strategy.long)
    entryBar := bar_index

// ── Drawing ──────────────────────────────────────────────────────────────
plot(vwap, "VWAP 20", color=#4d8dff)