SMB Fashionably Late Scalp Using the 9 EMA and VWAP
Summary
The strategy describes a long setup, mirrored for shorts, that seeks a reversal after price has moved away from the session VWAP. It looks for a low of day, a turn in price, and then an upward 9 EMA cross of VWAP. The proposed stop is placed using the distance between VWAP and the low of day, while the target projects the move from that low to the cross above the cross point.
The script outlines two entry approaches: a stop order intended to fill when price reaches the level that would bring the EMA to VWAP, or a market order on the bar after a confirmed cross. It also discusses slope filters, reward-to-risk gating, session timing, and backtest safeguards such as confirmed-bar signals and a shared daily anchor for VWAP and intraday highs and lows. The document quotes approximate win-rate and reward-to-risk figures, but the excerpt does not provide supporting test data. Results may depend on instrument, timeframe, execution assumptions, and trading costs.
Key ideas
- The setup looks for a price reversal after divergence between the 9 EMA and session VWAP.
- A long signal occurs when the rising 9 EMA crosses VWAP after a low of day forms.
- The stop and target are defined from the low of day and the VWAP cross.
- An anticipatory stop-entry can fill at a price level before a bar-close cross is confirmed.
- Slope, timing, and minimum reward-to-risk filters can restrict trades.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.