Demetrius Michael VWAP Strategies
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VWAP Strategies

Notes

  1. Signals use completed regular-session bars and execute at the next observed bar’s open. Above VWAP is long, below is short, and every position closes by the selected time.
  2. Session VWAP is cumulative ((high + low + close) / 3) × volume / cumulative volume. Missing minutes leave VWAP and the position unchanged. A zero-width no-trade band matches the paper.
  3. Each trade deploys 100% of current equity without leverage and holds that share quantity until exit. Fractional shares avoid account-size rounding. Costs apply on entry and exit; reversals close one trade and open another. Minimum commissions, fee caps, regulatory fees, dividends, and borrow fees are not modeled.
  4. Multiple-ticker results use common sessions. Equal weight resets daily; inverse-volatility and Kelly weights use prior returns only. A rebalance interval of zero allocates once, then lets ticker weights drift. Allocation cost is charged to net returns on one-way turnover, excluding initial deployment.
  5. The entry limit is a rolling 60-minute cap per ticker; zero disables it.
  6. The paper preset uses QQQ from January 2, 2018 through September 28, 2023, $0.0005 commission per share per side, and no slippage. The paper used IQFeed and Interactive Brokers data; this tool uses Massive minute aggregates, so exact crossings can differ.
  7. Volume Weighted Average Price (VWAP): The Holy Grail for Day Trading Systems, Carlo Zarattini and Andrew Aziz (2023). Reproduce the paper.