stocksharp.strategies.0246_vwap_breakout 5.0.0

Prefix Reserved 
dotnet add package stocksharp.strategies.0246_vwap_breakout --version 5.0.0
                    


                    

                
NuGet\Install-Package stocksharp.strategies.0246_vwap_breakout -Version 5.0.0
This command is intended to be used within the Package Manager Console in Visual Studio, as it uses the NuGet module's version of Install-Package. 
<PackageReference Include="stocksharp.strategies.0246_vwap_breakout" Version="5.0.0" />
For projects that support PackageReference, copy this XML node into the project file to reference the package. 
<PackageVersion Include="stocksharp.strategies.0246_vwap_breakout" Version="5.0.0" />
                    


                            Directory.Packages.props
                        

                    

                
<PackageReference Include="stocksharp.strategies.0246_vwap_breakout" />
                    


                            Project file
For projects that support Central Package Management (CPM), copy this XML node into the solution Directory.Packages.props file to version the package. 
paket add stocksharp.strategies.0246_vwap_breakout --version 5.0.0
                    


                    

                
#r "nuget: stocksharp.strategies.0246_vwap_breakout, 5.0.0"
#r directive can be used in F# Interactive and Polyglot Notebooks. Copy this into the interactive tool or source code of the script to reference the package. 
#:package stocksharp.strategies.0246_vwap_breakout@5.0.0
#:package directive can be used in C# file-based apps starting in .NET 10 preview 4. Copy this into a .cs file before any lines of code to reference the package. 
#addin nuget:?package=stocksharp.strategies.0246_vwap_breakout&version=5.0.0
                    


                            Install as a Cake Addin
                        

                    

                
#tool nuget:?package=stocksharp.strategies.0246_vwap_breakout&version=5.0.0
                    


                            Install as a Cake Tool

VWAP Breakout Strategy

This breakout strategy tracks how far price pulls away from the volume weighted average price. By measuring the distance in terms of the Average True Range it attempts to identify moments of accelerated momentum.

A buy is triggered when the market closes more than K times the ATR above VWAP, signalling strong upward pressure. Likewise, a short is taken once price drops K ATRs below VWAP. Trades are closed when price comes back to the VWAP line, assuming the burst of energy has faded.

The approach is designed for short-term traders who enjoy trading sudden expansions in volatility. Fixed protective stops and a clear reentry level help manage the risk of false breakouts.

Details

  • Entry Criteria:
    • Long: Price > VWAP + K*ATR (breakout above upper band)
    • Short: Price < VWAP - K*ATR (breakout below lower band)
  • Long/Short: Both sides.
  • Exit Criteria:
    • Long: Exit long when price falls back below VWAP
    • Short: Exit short when price rises back above VWAP
  • Stops: Yes.
  • Default Values:
    • K = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
    • AtrPeriod = 14
  • Filters:
    • Category: Breakout
    • Direction: Both
    • Indicators: VWAP Breakout
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Intraday
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk Level: Medium
There are no supported framework assets in this package.

Learn more about Target Frameworks and .NET Standard.

This package has no dependencies.

NuGet packages

This package is not used by any NuGet packages.

GitHub repositories

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Version Downloads Last Updated
5.0.0 57 7/11/2025