BOS and CHoCH Breakout Strategy with Trend and VWAP Filters

Summary

This strategy trades breaks of market structure, using break-of-structure (BOS) and change-of-character (CHoCH) signals to identify potential entries. A configurable pivot lookback finds swing levels, with an option to scale the lookback for higher timeframes. Users can choose which signal types and trade directions to take, enter on the breaking candle or wait for a close, and apply a strong-candle filter.

Risk and trade selection are configurable: stops can reference the previous swing, entry candle, or a percentage distance, while profit targets use a risk-to-reward multiplier. Optional filters assess the direction or ordering of several simple moving averages, price relative to those averages, and position around anchored or daily VWAP. Trading-window limits, daily trade caps, end-of-day exits, and visual trade-zone displays are also included. The supplied material presents extensive options and implementation details but no performance evidence, so it does not establish that the signals or filters are profitable.

Key ideas

• The strategy enters on BOS or CHoCH market-structure breaks identified from pivot levels.
• Users can choose intrabar entries or wait for candle confirmation and the next bar.
• Stop placement can use swing levels, the entry candle, or a percentage distance, with risk-to-reward targets.
• SMA, VWAP, candle-strength, and trading-window filters can restrict entries.
• The document provides configurable rules but no results demonstrating strategy performance.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.