NQ VWAP Mean Reversion with RSI Confirmation and ATR Exits

Summary

This intraday strategy looks for Nasdaq futures price extensions away from VWAP, paired with an extreme RSI reading and a two-candle reversal pattern. It buys when price is sufficiently below VWAP, RSI is oversold, and the latest candle turns up after a down candle; it sells short under the mirrored conditions above VWAP. A session filter can restrict signals to regular exchange hours, and an option allows only one open position at a time.

Exits use stop and target distances scaled to ATR, with a configurable bar-count exit intended to close positions that linger. The script plots VWAP and marks entry signals. The document describes the rules and suggested low-timeframe intraday use, but supplies no performance results, transaction-cost analysis, or evidence that the settings generalize. In particular, its zero commission and slippage assumptions in the strategy declaration can make historical results look more favorable than live execution.

Key ideas

• The strategy fades price extensions beyond a minimum VWAP distance when RSI is extreme.
• A reversal candle pattern provides a directional confirmation before entry.
• ATR multiples define stop and target levels, while an optional bar limit can close lingering positions.
• The script offers a session filter and a one-position-at-a-time setting but provides no evidence of profitability.

Tags

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