Session VWMA Breakouts for Intraday Trading

Summary

This intraday strategy uses a volume-weighted moving average that resets at the start of each trading day. It generates a bullish signal when a candle’s low moves above the VWMA and a bearish signal when its high moves below it; signals occur on the first bar meeting each condition. The described implementation uses a VWMA length of 55, restricts repeated entries in the same direction until an opposite signal appears, and closes positions at 15:29 Indian Standard Time. It also describes equity-based sizing and up to 10 pyramid additions.

The document reports that sell signals have a win rate above 65% and suggests the approach is suited to one-minute charts, but provides no test period, sample size, market, or methodology to assess that claim. It identifies potential problems in choppy markets, weaker buy signals, sensitivity to the fixed VWMA length, and early exits caused by the scheduled close. Suggested improvements include regime filters and more adaptive exits and sizing. These are proposals rather than demonstrated results.

Key ideas

• The VWMA resets daily and serves as a reference for intraday price breakouts.
• A bullish signal requires the full candle range to be above the VWMA, while a bearish signal requires it to be below.
• The described rules prevent repeated same-direction signals until an opposite signal occurs.
• Positions are closed at a fixed time, and the strategy permits pyramiding.
• The reported sell win rate lacks supporting test details in the document.

Tags

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