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VWAP filtering suggestions

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Milwaukee, WI, USA
Trading Experience: Intermediate
Platform: NinjaTrader
Favorite Futures: Equities
DavidBodhi's Avatar
Posts: 111 since Oct 2014
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VWAP filtering suggestions

I am putting together an indicator to send an alert when price reverts to the VWAP then, presumably, continues an existing trend.
I am finding it difficult to reduce the number of signals to a reasonable level and wondered if anyone can suggest a way to filter the conditions.

I am using a VWAP with a couple of envelopes and am looking for instances where (for a bull trend) the VWAP is rising, but a bar closes within the first envelope AND has a lower wick >= 50% of the bar's range. I also added that the low should be the lowest recent low. I still get too many signals.

I considered requiring price to be outside the envelopes a few bars ago, but that leaves out valid situations where price is staying within a narrow channel.

Any suggestions?

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