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NYSE Open VWAP Reclaims with EMA Pullback Holds

Article Strategy library · Author: Neptuko
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Summary

The document outlines a long-and-short intraday strategy built around the regular-session opening VWAP. Its title and inputs point to entries after price reclaims VWAP and holds a pullback, with a 5/8/13 EMA curl as a trend filter. It also exposes settings for the trading window, reclaim definition, VWAP touch buffer, rising-volume confirmation, stop distance, profit target, and a maximum number of VWAP crosses before new trades are disabled.

The script appears intended to plot additional context, including anchored VWAPs, session highs and lows, the opening price, and a market status panel for major US equity indexes and a large-cap stock basket. The supplied text ends partway through the inputs, before entry and exit conditions or results are shown. As a result, the precise signal implementation and any performance evidence cannot be assessed from this excerpt; the listed settings describe the design but do not establish its effectiveness.

Key ideas

  • The strategy is framed around reclaiming the NYSE regular-session VWAP and holding a pullback.
  • A 5/8/13 EMA curl and optional rising-volume check are intended to filter entries.
  • Trading is limited to a configurable morning window and can stop after a set number of VWAP crosses.
  • The excerpt ends before the actual trading rules and performance evidence are provided.

Tags

EquitiesTechnical indicatorsMomentumExecution

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