Session VWAP Pullbacks with EMA Trend and ATR-Based Exits

Summary

This intraday strategy looks for pullbacks toward a daily session VWAP, then enters in the direction of a trend. A trend requires price to remain on the appropriate side of VWAP and a volatility-scaled EMA slope to point the same way; an EMA50 price filter is also enabled by default. After price has been near VWAP within a recent four-bar window, a close back on the trend side that exceeds the previous bar's high or low triggers an entry. Trades are restricted to a configurable New York session, capped per day, and limited to one open position.

Exits use an ATR-based stop and target, with an optional breakeven adjustment and end-of-session flattening. Rejection-candle and ADX confirmation filters are available but disabled by default. The publication describes the setup and its configurable safeguards, but provides no backtest results or evidence that the stated risk/reward settings are profitable. Results may depend on instrument, timeframe, session definition, costs, and execution assumptions; the script should be assessed under those conditions before practical use.

Key ideas

• The strategy uses daily session VWAP as a reference for both trend bias and pullback location.
• EMA slope and an optional EMA50 condition gate long and short trend states.
• Entries require a recent VWAP test followed by a close beyond the prior bar in the trend direction.
• ATR-based stops and targets, optional breakeven logic, and session-end exits manage positions.
• Optional ADX and rejection-candle filters can make entries more selective.

Tags

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