Intraday VWAP and RSI Scalping with ATR-Based Exits

Summary

This intraday strategy combines a short-period RSI with VWAP and EMA filters to seek both reversal entries and directional confirmation. It considers longs when RSI is below 35 while price is above VWAP and EMA, and shorts when RSI is above 70 while price is below both. Trading is restricted to a user-defined session, and a daily trade cap limits the number of entries. Stops and profit targets are set at one and two ATR, respectively; positions are closed through these levels.

The document reports sample backtest claims, including a profit factor above 1.37, drawdown within 1%, and win rates between 37% and 48%. However, the published settings use daily ETH futures bars over roughly a year, which do not match the stated intraday scalping design and session logic. The results therefore need independent verification. The source also cautions about short-period RSI noise, persistent trends, liquidity changes, and overfitting, and suggests regime filters, volume checks, and multi-timeframe confirmation.

Key ideas

• Longs require oversold RSI alongside price above VWAP and EMA; shorts use the opposite conditions.
• The strategy limits entries to a specified session and caps daily trades.
• ATR defines a one-unit stop and a two-unit profit target by default.
• The document reports sample results but its daily backtest configuration conflicts with the intraday design.
• Short RSI periods can generate noisy signals, and mean-reversion entries may struggle in strong trends.

Tags

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