NYSE VWAP Reclaims with Pullback, EMA, and Session Filters

Summary

This script describes an intraday VWAP strategy centered on the NYSE regular-session open. It includes a 09:45–11:00 New York trade window, VWAPs anchored to different session starts, prior-day VWAP, opening-range and initial-balance levels, and a status panel comparing several markets. It also plots session highs and lows and price or indicator cross markers.

The visible inputs specify reclaim rules, VWAP touch tolerance, rising-volume confirmation, stop and profit distances in ticks, and a cap on trades after repeated NYSE VWAP crosses. The title and settings indicate a reclaim-and-hold setup with short-term EMA structure, but the supplied excerpt omits much of the implementation, so the precise entry and exit logic cannot be fully assessed. It gives no backtest results or evidence of profitability. Commission is configured as zero in the shown strategy declaration, so realistic transaction costs and market-specific behavior would need separate assessment.

Key ideas

• The strategy focuses on trades during a defined window after the NYSE open.
• It uses session-anchored VWAPs and prior-day VWAP as reference levels.
• Inputs provide reclaim definitions, touch tolerance, volume confirmation, and tick-based risk levels.
• A configurable limit on VWAP crosses can block further trades.
• The excerpt does not include enough implementation detail to verify the complete trading rules or performance.

Tags

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