Volume Weighted Average Price (VWAP) jako narzędzie wspierające proces podejmowania decyzji inwestycyjnych: na przykładzie indeksu DAX
Volume Weighted Average Price (VWAP) as a Tool Supporting the Investment Decision-Making Process as Exemplified by the DAX Index

Summary/Abstract: The purpose of this article is to analyse the application of tools that support investment decision-making processes in the context of position management on the capital market. The study focuses on the Volume Weighted Average Price (VWAP) indicator and its integration with additional technical instruments, such as Bollinger Bands, On Balance Open Interest and Percentage Change Since Open. The research methodology is based on the analysis of intraday data from the DAX futures market over the period of 2014-2024, accounting for market microstructure tools as well as methods for evaluating risk-reward relationships such as the Sharpe ratio and Alpha test. The research findings indicate that a strategy based on VWAP, even when combined with additional filters and optimisation tools, does not outperform the benchmark returns of the DAX index. This suggests limited effectiveness of such an approach under conditions of elevated market volatility. In conclusion, VWAP and related instruments may constitute valuable support tools within the framework of risk management and investment decision-making, yet they should not be considered as stand-alone investment strategies.

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