Overview

This strategy integrates multiple indicators including volume-weighted average price, Bollinger Bands and time segmented volume to identify the start and end of price trends and follow trends. The multiple confirmations can effectively filter false breakouts.

Strategy Logic

The strategy involves the following key steps:

1. Calculate fast and slow volume-weighted average price lines. VWAP instead of close price is used to better reflect actual trading price.

2. Take the average of the VWAP lines to plot Bollinger Bands. Expanding volatility shown by bands suggests a trend start.

3. Introduce time segmented volume (TSV) to confirm increasing trading volume and validate the trend.

4. Generate buy signal when fast VWAP crosses above slow VWAP, price breaks above Bollinger upper band, and TSV is positive. Sell signal when reverse occurs.

5. Use VWAP pullback and Bollinger lower band as stop loss signals.

Advantages

• Multiple confirmations effectively filter false breakouts and identify trend start

• VWAP calculation reflects actual trading price better

• Volatility indicator judges if a trend is present

• Trading volume confirms trend continuation

• Reasonable stop loss and take profit controls risk

• Configurable parameters allow flexible optimization

Risks

• Difficulty in optimizing multiple indicators

• Lagging nature of VWAP and Bollinger Bands delays stop loss

• TSV sensitive to parameter tuning for different markets

• More false signals in range-bound markets

• Ignores trading costs, actual P&L weaker than backtest

Enhancements

• Apply machine learning to auto optimize parameter combinations

• Set dynamic or trailing stop loss to better lock in profits

• Add volume momentum indicators to avoid divergence

• Incorporate Elliott Waves to determine trend stages, adjust parameters accordingly

• Consider trading costs, set minimum profit target to control cost efficiency

Conclusion

This strategy provides good trend identification by integrating multiple indicators. It can effectively determine the start and end of real trends. Further improvements in stability can be achieved through parameter optimization, stop loss optimization and filter optimization. But overall, as a trend following strategy, it still carries certain levels of drawdown and risk-reward ratios. Traders need patience to wait for opportunities and strict risk management mindset.