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Hi all,
This strategy combines the Volume Weighted Average Price (VWAP) and the Simple Moving Average(SMA) to generate the buy and sell signals. We enter the market to long the forex pair when the fast VWAP cross above the fast SMA, we liquidate the positions when the fast SMA cross above the fast VWAP. At the end of the notebook, we compared the performance of VWAP strategy and the traditional SMA strategy.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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Ian Worthington
Hey I know this is old, but would you mind updating this so it works on the current research build?
No module named 'matplotlib.finance'At the moment, I getÂ
Christopher Buzar
This seems exactly as the data I wanted to feed to machine learning and neural networks to improve their functionality.
Jing Wu
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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