Intraday VWAP, Stochastic RSI, and Daily Pivot Breakout Strategy

Summary

This intraday strategy combines VWAP, Stochastic RSI, and daily pivot levels to generate long and short entries during a specified session. A long setup requires price above VWAP and an upward price cross of a pivot; a short setup requires price below VWAP and a downward cross. Stochastic RSI must confirm direction. With the efficiency filter enabled, momentum and VWAP alignment can already be in place when price crosses a pivot; disabling it requires the oscillator and price to cross on the same bar. Entries can use the central pivot alone or any of the listed support and resistance levels.

Stops are set at the entry candle’s low for longs or high for shorts. The target can be a fixed price move or a multiple of the entry risk, and positions are closed at the configured end-of-day time. The overview describes intended use on a five-minute chart in an Indian market session, but provides no backtest results or evidence of profitability. Instrument suitability, execution costs, and the effect of the pivot data and settings require independent evaluation.

Key ideas

• The strategy filters entries by whether price is above or below VWAP.
• A price cross of the central daily pivot or selected support and resistance levels acts as the trigger.
• Stochastic RSI confirms direction, with an option to require a fresh oscillator cross on the entry bar.
• Stops use the entry candle’s high or low, while targets can be fixed or based on a risk multiple.
• An end-of-day close is intended to prevent positions from carrying overnight, but no performance evidence is supplied.

Tags

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