New York Session VWAP Momentum Entries with Candle and Volume Filters

Summary

This strategy uses a session VWAP as a dynamic reference for momentum trades during a configurable evening session in UTC+5. A long setup requires two consecutive bullish candles, the current low above VWAP, rising volume relative to the previous candle, and a non-doji signal candle. Shorts apply the inverse conditions below VWAP. Day-of-week switches control when signals are allowed, and the strategy permits another trade that day only if the first closed trade was a loss.

At entry, the VWAP value becomes the stop level, while a configurable risk-reward multiple sets the profit target. The document provides the rules and alert behavior but no backtest results or evidence of profitability. The volume-filter toggle is declared but does not appear to control the entry conditions, which always include the volume comparison. Session settings and execution assumptions may also require adaptation to the instrument and chart timeframe.

Key ideas

• Long entries require two bullish candles and a current low above session VWAP; shorts use two bearish candles with the high below VWAP.
• The signal candle must not be a doji, and its volume must reach the specified multiple of the prior candle’s volume.
• Weekday settings and a daily loss-sequence rule limit when trades can be taken.
• The entry-time VWAP sets the stop, and a configurable risk-reward ratio determines the profit target.
• The document gives no performance evidence, and its volume-filter toggle does not disable the volume condition in the shown logic.

Tags

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