Session VWAP Momentum Strategy with Time and Trade Limits

Summary

This strategy computes a session VWAP from volume-weighted typical prices during a New York session defined in UTC+5, then monitors a narrower configured trading window later in the evening. Its settings include a 1.5 risk-to-reward ratio, an optional volume filter, weekday controls, and weekend trading disabled by default. The visible trade-management logic limits activity by day: it permits a second trade only when the first closed trade of that day lost money. The document ends partway through the entry-logic section, before the actual entry conditions, exits, volume test, or risk-to-reward implementation are shown.

Consequently, the available material explains session accounting and some scheduling constraints but is insufficient to reconstruct or assess the full momentum strategy. It provides no backtest period, market specification, performance report, or evidence that the settings are effective. The session labels and times should be interpreted carefully because the New York session is represented using UTC+5 in the source, and the chart excerpt supplies no explanation for that time-zone choice. Claims about trading signals or trade outcomes cannot be verified from the truncated document.

Key ideas

• The strategy calculates a volume-weighted average price over a defined New York session.
• Monitoring is configured for 19:00 to 23:59 in UTC+5, with a separate session start at 18:30.
• Weekday trading is enabled by default, while Saturday and Sunday are disabled.
• A second daily trade is allowed only if the first closed trade lost money.
• The excerpt ends before entry, exit, volume-filter, and risk-to-reward rules are visible.

Tags

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