Daily Pivot Levels and Session VWAP Trading Strategy

Summary

The document presents a partial intraday strategy script that combines daily pivot levels with a session VWAP. It derives the central pivot and five support and resistance levels on each side from the previous day’s high, low, and close. The VWAP calculation accumulates price-volume values during the market session and resets at the next session. The script plots these reference levels and limits eligible trading time to the morning and early afternoon session window.

A daily counter is intended to cap signals, and helper functions search the pivot array for the nearest level above or below a proposed entry price. However, the supplied text ends before any entry, exit, or position-sizing rules appear, so the actual trade logic cannot be assessed. It provides no backtest results or evidence of profitability. The displayed prior-day data uses lookahead behavior, which may affect historical signal validity and should be checked before relying on the script in testing or live trading.

Key ideas

• Previous-day high, low, and close are used to calculate a central pivot and multiple support and resistance levels.
• Session VWAP is accumulated from price and volume during market hours and reset at each new session.
• The script restricts potential signals to a defined intraday window and intends to limit their daily frequency.
• Helper functions identify the closest pivot level above or below an entry price.
• The supplied document omits the trade rules, so its entries, exits, and performance cannot be evaluated.

Tags

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