Session VWAP Pullbacks with EMA Trend Filters and ATR Exits

Summary

This document presents a session VWAP pullback strategy with an EMA based trend gate. Configurable controls restrict entries to a time window, cap daily trades, and optionally require a rejection candle or an ADX minimum. The visible code resets and accumulates a volume weighted average price by day and includes settings for ATR based stop loss, profit target, and a breakeven trigger. It also specifies flattening positions at the session end.

The published strategy settings include contract costs and slippage, while the code excerpt stops during the trend engine. As a result, the excerpt does not show the complete entry and exit rules, and it provides no performance report or test outcomes. The document describes a consolidated script intended for educational use; its configurable session hours and confirmation filters require market and timeframe specific evaluation. The listed settings alone do not show that the approach is profitable or suitable for any particular instrument.

Key ideas

• The strategy is framed around pullbacks toward session VWAP in the direction of an EMA filtered trend.
• Entries can be limited to a configurable session, with an optional end of session flattening rule and daily trade cap.
• Rejection candle and ADX confirmations are optional filters.
• The settings provide ATR based stop, target, and breakeven controls, but the excerpt ends before showing the full rules.
• Published configuration includes trading costs and slippage, but no performance results are provided.

Tags

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