Algorithmic Trading & Indicators Intermediate

Supertrend + Intraday VWAP + RSI Confluence Strategy in Python (Single-Trade Per Trend)

Combine Supertrend (10,3), Intraday Session VWAP, and RSI(14) in Python Pandas with strict single-trade-per-trend state lock to prevent overtrading.

#pandas#numpy

Problem Statement

Standalone indicators trigger multiple whipsaw entries during choppy market hours. Combining Supertrend direction, VWAP institutional bias, and RSI momentum (>55 for Long, <45 for Short) with a state lock eliminates duplicate entries.

Formula / Core Logic

Bull_Entry = (Supertrend == 1) & (Close > VWAP) & (RSI > 55) & (Prev_Position != 1) Bear_Entry = (Supertrend == -1) & (Close < VWAP) & (RSI < 45) & (Prev_Position != -1)

Installation

pip install pandas numpy

supertrend-vwap-rsi-intraday-confluence-strategy-python.py

import pandas as pd
import numpy as np

def supertrend_vwap_rsi_confluence(df):
    # Assumes df already has columns: 'Close', 'ST_Trend' (1/-1), 'VWAP', 'RSI'
    df = df.copy()
    raw_long = (df['ST_Trend'] == 1) & (df['Close'] > df['VWAP']) & (df['RSI'] > 55)
    raw_short = (df['ST_Trend'] == -1) & (df['Close'] < df['VWAP']) & (df['RSI'] < 45)
    
    signals = np.zeros(len(df), dtype=int)
    current_state = 0
    for i in range(len(df)):
        if raw_long.iloc[i] and current_state != 1:
            signals[i] = 1
            current_state = 1
        elif raw_short.iloc[i] and current_state != -1:
            signals[i] = -1
            current_state = -1
    df['Confluence_Signal'] = signals
    return df

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Frequently Asked Questions

Q: Why use a `current_state` lock in the loop?

It guarantees that once a Long trade is taken, the bot will not fire another Long signal until a valid Short reversal occurs first.