Break-of-Structure Trading with Moving-Average, VWAP, and Session Filters
Summary
This strategy builds entries around breaks of market structure, with configurable choices for break-of-structure or change-of-character signals, candle strength, and entry timing. It can filter direction using moving-average slope, stacking, and divergence, as well as anchored VWAP levels. Trading-window limits, daily trade caps, and optional end-of-day position closure add session controls.
Risk and exit settings include stops based on a prior swing, entry candle, or percentage, with optional buffers, plus reward-to-risk targets. The script adapts pivot lookback to chart timeframe and can display trade zones and exit markers. The supplied material documents many adjustable rules and implementation options, but gives no backtest results or evidence that the filters improve outcomes. Pivot detection, intrabar entry behavior, and session definitions may affect results across instruments and chart settings; these choices require validation in the intended market.
Key ideas
- Entries can be based on breaks of structure or changes of character, with configurable candle and timing conditions.
- Moving-average slope, order, and divergence can filter trades by directional trend conditions.
- Anchored VWAP and time-window rules can restrict entries to selected price and session contexts.
- Stops may use swing levels, entry candles, or percentage distances, while targets use reward-to-risk settings.
- The document describes configurable mechanics but does not report strategy performance.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.