Hi all,

This strategy combines the Volume Weighted Average Price (VWAP) and the Simple Moving Average(SMA) to generate the buy and sell signals. We enter the market to long the forex pair when the fast VWAP cross above the fast SMA, we liquidate the positions when the fast SMA cross above the fast VWAP. At the end of the notebook, we compared the performance of VWAP strategy and the traditional SMA strategy.