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I am trying to import the VWAP indicator from pandas_ta and test a simple strategy utilizing it with vectorbt. My code so far is:

import vectorbt as vbt

binance_data = vbt.BinanceData.load('ADABUSD_1m')
high = binance_data.get('High')
low = binance_data.get('Low')
close = binance_data.get('Close')
volume = binance_data.get('Volume')

vwap = vbt.pandas_ta('VWAP').run(high, low, close, volume, 14)

I am not sure if it works properly. When I run it it does not return any errors. Just a warning: "Converting to PeriodArray/Index representation will drop timezone information.".

Can I plot it somehow? "vwap.plot().show()" returns an error.

Assuming it works. How can I set an entry signal for when the closing price crosses above the VWAP line and exits for when it crosses below?

I tried:

entries = vwap.close_above(vwap)
exits = vwap.close_below(vwap)

But when I plotted with:

portfolio = vbt.Portfolio.from_signals(close, entries, exits, init_cash=1000)
portfolio.plot().show()

There were no trades. I use ".load" to get the data from a file I downloaded and saved first.

Krzysztof Jakubowski
  • 49
  • 3

1 Answers1

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You can use the class method in the indicator factory for that:

VWAP = vbt.IndicatorFactory.from_pandas_ta("VWAP")
vwap = VWAP.run(high, low, close, volume)

details in the picture here

Carlo A. Fernandez B.
  • 139
  • 3