Fashionably Late Scalp: 9 EMA and VWAP Reversal Setup

Summary

The strategy describes a reversal scalp built around divergence and convergence between a 9-period EMA and session VWAP. For a long setup, price first establishes a low of day and turns upward; the EMA then rises to cross VWAP while VWAP remains flat or declining. The short setup mirrors these conditions. A stop is placed one-third of the distance from VWAP toward the session extreme, and the target uses a measured move from the extreme to the cross. The script also offers time-window, volume, slope, and reward-to-risk filters.

Two entry modes are provided: a stop order intended to fill at the anticipated cross, or a market order on the next bar after a confirmed cross. The notes report source-attributed estimates of roughly a 60% win rate and 3:1 reward-to-risk, but provide no supporting sample or test details. The code operationalizes subjective concepts such as a distinct turn and VWAP posture, and the author flags that anticipatory fills can worsen realized reward-to-risk when the EMA lags VWAP. It requires volume data and is designed for backtesting.

Key ideas

• A long setup looks for an intraday low followed by an upward turn and a rising 9 EMA crossing VWAP.
• The short rules mirror the long setup around the high of day.
• The stated stop is one-third of the VWAP-to-extreme distance, with a measured-move target.
• Entry timing can use a price-triggered stop or a next-bar market order.
• Slope, session, volume, and reward-to-risk filters translate setup guidance into configurable rules.

Tags

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