Hi!
I want to create a basic algo that shorts when price touch the VWAP SD+1. Unfortunately, I can't see how to not use closing price which is very bad in terms of timing.
So to sum up, I want my algo to short VWAP SD1 and buy to cover at VWAP. Sounds very simple, but I'm new to EL. Maybe I should use limit orders?
All your thoughts are welcome.
Thanks
I want to create a basic algo that shorts when price touch the VWAP SD+1. Unfortunately, I can't see how to not use closing price which is very bad in terms of timing.
So to sum up, I want my algo to short VWAP SD1 and buy to cover at VWAP. Sounds very simple, but I'm new to EL. Maybe I should use limit orders?
All your thoughts are welcome.
Thanks