EasyLanguage EL VWAP exit

[DRL]

Hi,

I'm trying to write a simple EL exit strategy to sell or buytoclose when the price comes back to VWAP

I have a code that is functional but when it is employed it seems to actually sell or buy at at a 20MA, not VWAP. Inputs and variables below:

inputs: VWAPLength(20);
variables: VWAPValue(0); VWAPValue = Average(close, VWAPLength);

if close crosses above VWAPValue then sell next bar at market;
else if close crosses below VWAPValue then buy to cover next bar at market;

Any ideas as to why this would be happening?

Thanks

Dan

 

[2rosy]

are you calculating vwap or is it builtin? I dont see any volume used in your post
vwap = dotproduct(prices[], volumes[])/sum(volumes[])

 

[DRL]

I thought it was built-in, but maybe that’s where the problem is. VWAP turns blue as a reserved word in EL but maybe for the purpose of strategy it needs to be separately calculated?

 

[RStrauss]

Use their built-in function namely VWAPResettable