RSI on VWAP Upgraded strategy

First of all, the idea of apply RSI to VWAP was inspired by XaviZ; at least, that where I first saw that.

I simply applied the idea and searched for apply this on lower timeframe (M15) to increase the number of positions and improve the profit factor.

The conditions to enter are the same :
  • long : enter on RSI crossover oversold level
  • short : enter on RSI crossunder oversell level

To close position, I found a little change to apply :
  • long : close position when RSI ( VWAP ) went in overbought zone and crossunder the overbought level OR after being at least x bars in the overbought zone (parameter is 28 by default) => when the first condition happens
  • short : close position when RSI ( VWAP ) went in oversold zone and crossover the oversold level OR after being at least x bars in the oversell zone (parameter is 28 by default) => when the first condition happens

With this change, I got better results specially on BTCUSDTPERP (M15) where I reach a 6.8 profit factor with 119 trades closed. Not BAD !

The defaults parameters are the best found for BTCUSDTPERP (M15), but the strategy works fine for other pairs if you take time to find the rights combinations.

In this strategy you can change (with defaults in () ):
  • RSI length (28)
  • RSI overbought level (85)
  • RSI oversell level (30)
  • Number of bars before leaving as explain above (28)
  • The choice to take longs only, shorts only or both
  • The number of coin/token by position
  • The start date for backtesting

Please note that the script use a pyramiding parameter of 3 (can be changed in the first line of the script); that means that you can take up to 3 positions before closing. It lets you improve average enter price but increase the risk. 3 is the best I found to improve profit factor without expose myself too much.

This script would be better if automated because of the conditions of buy and sell.

It's only for educative purpose, not an advice to invest.

All my free scripts here :

Leave a message and don't forget to follow me ;) !
Notes de version: Increase the default pyramiding value from 3 to 4 to improve profits (don't forget to adapt your position to not be liquidated).

Changed the code for the "checking conditions" in the strategy part, it avoids errors in pine editor console (no changes in operating and results stay the same).
Notes de version: Increase the default bet from 0.1 to 1 (it seems that 0.1 made some troubles for some people).

And for those who find this strategy useful or profitable, toss a coin ;)
BTC : 1L21iwaz4NFutu8rXwgTtg4siiiVLVmh5s
ETH : 0x7ca6a37111d578fc94e10e1d155a75a13be202aa
Notes de version: Added the Laguerre option for VWAP RSI.
Feel free to comments if you find good results !
Notes de version: Thanks to feedbacks from the comments, I made some changes :
  • deleted the "bet" parameters : it's better to use the right input in the strategy's "Properties"
  • increase the commission value : from 0.04% to 0.08% to include slippages fees because of the "market orders" method used ; more realistics results.
  • added multiple timeframe option : for the RSI(VWAP), others timeframes can be used.
Notes de version:
  • Cleaned script
  • Change default value for the RSI(VWAP) from M15 to "Same as symbol"
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iIcan't see performance history when I run the script. it is blank.
also got
line 63: The function 'crossover' should be called on each calculation for consistency. It is recommended to extract the call from this scope.
+1 Répondre
@LKFHK, please give me the ticker symbol and timeframe used, I'll check that.

For the "error" in the pine console, I've just updated the code to avoid it (even if there was no problem in calculating).

By the way, thanks for your feedback
madhu1948menon Mysteriown
@Mysteriown, can u pl add multi time frame option too
Mysteriown madhu1948menon
@madhu1948menon. Hey ! Sure it's possible but how would you use this option ? Multi timeframes RSI used I'm same time or just one ? Is it for strategy use or to have a MTF RSI VWAP indicator, so I could create it in another script ?
madhu1948menon Mysteriown
@Mysteriown, thanks bro the option to use time frames other than the one on in which chart is if I am using one min can we have 5 15 30 45 mins avlb to be chosen from
Mysteriown madhu1948menon
@madhu1948menon, done ;) ! Enjoy !
madhu1948menon Mysteriown
@Mysteriown, awesome bro
madhu1948menon madhu1948menon
@madhu1948menon, bro can you get your hands on ANN script and make it work
Mysteriown madhu1948menon
@madhu1948menon, I don't understand what you mean by "ANN script".
madhu1948menon madhu1948menon
@madhu1948menon, it's a script in this platform by sirolf however it repaints can we combine that logic with your strategy I think version 3 is the latest .with your skills you will ne able to resolve it
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