NQ VWAP Mean Reversion with RSI, Reversal Signals, and ATR Exits

Summary

This intraday mean-reversion strategy for NQ looks for price to move a specified distance away from VWAP, paired with an RSI extreme and a two-candle reversal pattern. It buys when price is sufficiently below VWAP, RSI is oversold, and the current candle closes up after a down candle. It sells short under the mirrored conditions above VWAP. A session filter and an optional one-position-at-a-time rule constrain entries.

Exits use stop and target levels set as multiples of ATR from the average entry price. An optional time exit closes positions after a chosen number of bars. The script exposes settings for the VWAP distance, RSI thresholds, ATR multipliers, session, and holding period, but the supplied excerpt contains no backtest results. Trading costs are configured as zero commission and zero slippage, so those settings do not establish realistic live performance.

Key ideas

• Long entries require an oversold RSI, sufficient distance below VWAP, and a bullish reversal candle pair.
• Short entries use an overbought RSI, sufficient distance above VWAP, and a bearish reversal candle pair.
• ATR multiples define stop-loss and profit-target levels for open positions.
• Session filtering, single-position control, and a bar-count exit are configurable.
• The example sets commission and slippage to zero and supplies no performance evidence.

Tags

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