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NYSE Open VWAP Reclaim and Pullback Strategy with EMA Filters

Article Strategy library · Author: Neptuko
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Summary

The excerpt presents a session-based intraday strategy organized around the New York market open. It defines a regular-hours VWAP, a narrower trading window, and additional anchored VWAP references, including one spanning the evening session and levels anchored to the session high and low. Its title and inputs describe long and short trading around a VWAP reclaim followed by a pullback hold, with a 5/8/13 EMA curl as a directional filter. Settings also cover how a reclaim is defined, a VWAP touch buffer, rising-volume confirmation, stop placement beyond the setup extreme, a maximum stop distance, and a fixed tick target.

The code excerpt is incomplete, so the precise entry, exit, and cross-filter rules cannot be fully verified from the supplied text. It includes display options for VWAP and EMA crosses, a cap on open-VWAP crosses before new trades stop, and a market-status panel referencing equity index futures and a large-cap growth fund. No backtest results, asset-specific performance, or discussion of execution costs is included; the excerpt alone does not establish whether the approach is profitable.

Key ideas

  • The strategy centers on reclaiming and holding an opening-session VWAP during a restricted morning trading window.
  • Its stated filters combine a 5, 8, and 13-period EMA curl with optional rising-volume confirmation.
  • The settings define stop placement beyond a setup extreme, a maximum permitted stop, and a fixed tick profit target.
  • Additional anchored VWAP levels, cross markers, and a market-status panel provide context and chart displays.
  • The supplied source is truncated and contains no reported performance or execution analysis.

Tags

EquitiesFuturesTechnical indicatorsExecutionRisk management

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