Daily Anchored VWAP and Volume Profile Signals with ATR Exits

Summary

This strategy looks for price deviations from two daily reference levels: an anchored VWAP and a volume-profile point of control. It proposes buying when price is below both references, volume is unusually high relative to its recent average, and RSI is low; the short setup reverses those conditions. The described exits use ATR multiples to set stop-loss and take-profit distances, linking trade risk to recent volatility.

The document also discusses limitations and extensions, including the discontinuity caused by resetting reference calculations each day, fixed volume and RSI thresholds, and the lack of a trend filter. Suggested improvements include using VWAP across several timeframes, adaptive volume thresholds, market-state classification, and time-of-day filters. The published backtest settings specify ETH/USDT futures on three-hour bars for about a month, but provide no performance results. The supplied source uses a simplified volume profile and does not clearly distribute each bar's volume across its full price range, so its POC may not represent a conventional volume profile. Execution and profitability claims are therefore not established by the material.

Key ideas

• The setup combines daily anchored VWAP and a volume-profile POC as price reference levels.
• Entries require price deviation, unusually high volume, and an RSI condition.
• ATR multiples are used to define volatility-scaled stop and target distances.
• Daily resets, fixed thresholds, and missing trend filtering are identified limitations.
• The provided test configuration has no reported performance results.

Tags

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