Pivot VWAP Entries with Daily Support and Resistance Targets

Summary

This intraday strategy combines daily pivot levels with a session VWAP. It derives the central pivot and five support and resistance levels from the prior day's high, low, and close, while accumulating a VWAP during market hours. Trading signals are limited to a specified daytime window and capped at two per day.

Long entries follow either a rejection below a pivot and VWAP that closes back above both, or an upward crossing of both. Short entries use the mirrored rejection or downward crossing conditions. At entry, the strategy records the next pivot as a target; it closes when price reaches that level and retreats, or when price crosses VWAP against the position. The document provides source code but no performance results or backtest evidence. It also specifies full-equity position sizing and does not describe stop-loss placement, transaction costs, or validation. The prior-day data request uses lookahead settings, so historical signal timing warrants careful review before interpreting results.

Key ideas

• The strategy calculates daily pivot levels from the previous session's high, low, and close.
• It accumulates an intraday VWAP during market hours and filters entries to a daytime window.
• Long and short signals use pivot rejections or crossings confirmed by VWAP.
• Positions target the next pivot and exit on a failed move there or an adverse VWAP cross.
• The script limits signals per day but provides no reported performance evaluation.

Tags

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