Break-of-Structure Trading with SMA Trend and VWAP Filters

Summary

This strategy combines market-structure breaks or changes of character with configurable trend filters and trade management. It tracks prior swing highs and lows, with an option to increase pivot lookback on higher timeframes. Entries can be restricted to breaks of structure or changes of character and can be gated by candle-body strength. Optional simple moving average filters assess slope, price position, stacking, or divergence across three lookback lengths; VWAP filters can require longs above or shorts below a session-anchored VWAP.

Stops can be based on a prior swing, the entry candle, or a percentage, with configurable buffers. Profit targets use a risk-to-reward multiple, and settings also govern intrabar versus next-bar entry, daily trade limits, structure resets, and end-of-day closure. The supplied material is a configurable strategy script, not a performance study: it reports no test results, and signals and fills can depend on timeframe, pivot confirmation, and execution assumptions.

Key ideas

• The strategy identifies breaks of prior swing levels and can also trade changes of character.
• Pivot lookback can be adjusted manually or scaled for higher chart timeframes.
• SMA slope, ordering, divergence, candle strength, and anchored VWAP are optional entry filters.
• Stops can use swing structure, the entry candle, or a percentage, while targets are set by risk-to-reward multiples.
• The document gives no measured strategy performance, and pivot timing and execution assumptions matter.

Tags

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