Trend-Aligned VWAP Reclaims with EMA Crosses and ATR-Based Exits

Summary

This strategy seeks short-term pullbacks that resume in the direction of a higher-timeframe trend. On a five-minute chart, a long setup requires price to have traded below VWAP during a recent lookback and then close back above it, alongside a fast EMA crossing above a slower EMA. The hourly filter requires price above both its EMA and VWAP. Short entries mirror these conditions below the hourly references.

Stop distance is set as a fraction of hourly ATR, and the target distance scales that stop by a configurable reward-to-risk ratio. The source plots the moving averages and VWAP references and shades periods when the higher-timeframe filters are active. The document provides no backtest statistics or evidence of profitability. Its reclaim condition checks whether a recent low or high crossed VWAP, while the EMA cross must occur on the current bar; this timing combination and the higher-timeframe data behavior should be evaluated on the intended market and chart settings.

Key ideas

• The setup pairs a five-minute fast/slow EMA crossover with a recent VWAP excursion and reclaim.
• Hourly price relative to its EMA and VWAP determines whether long or short trades are allowed.
• Stops use a configurable fraction of hourly ATR, and targets scale from stop distance.
• The document describes the rules but reports no performance evidence.

Tags

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