Two-Bar Futures Retracements with Fibonacci Zones and VWAP Filtering

Summary

This futures strategy looks for a two-bar directional impulse and then a pullback into a retracement zone based on the second bar’s range. It requires both bars to have substantial bodies and rising volume; same-direction bars or a mixed pair with a qualifying close beyond the first bar’s extreme can define the impulse. A VWAP filter, enabled by default, restricts long setups to prices above VWAP and shorts to prices below it. Entry occurs when the current wick reaches the stated retracement band, with a stop placed beyond the second bar’s opposite wick.

The script also plots session and prior-period reference levels, displays market-session information, and provides signal alerts. These features add chart context but do not establish that the entries are profitable. No outcome statistics or backtest analysis are supplied. The code specifies stop placement but does not show a profit target, so risk-reward and exit behavior require careful evaluation; results may vary with futures contract, timeframe, session, costs, and parameter choices.

Key ideas

• The setup identifies directional impulses from two consecutive bars, body size, and rising volume.
• A retracement into the second bar’s 50% to 61.8% range can trigger an entry.
• VWAP provides a directional filter when enabled.
• Stops are placed beyond the second bar’s wick with a configurable offset.
• The script adds session and prior-period levels, but the document provides no performance evidence or profit-target rule.

Tags

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