Two-Bar Impulse Retracements with VWAP Direction and Wick Stops

Summary

This futures strategy looks for an impulse formed by two strong candles with rising volume, then waits for price to wick into a Fibonacci retracement zone of the second candle. It recognizes same-direction candles and mixed patterns that still close beyond the first candle’s range. A VWAP filter can require price above VWAP for long setups or below it for short setups. Stops are placed beyond the second candle’s wick by a configurable offset, and the script enters one contract per signal.

The script also provides chart elements for the retracement zone, stop level, and session and prior-period reference levels, with configurable display options and alerts. These additions help contextualize signals but do not constitute evidence of edge. The document supplies implementation details and modeled costs, but no performance report or validated results; the setup’s effectiveness, market suitability, and execution behavior are therefore unestablished.

Key ideas

• The setup identifies a two-candle impulse using candle body size, direction or range break, and rising volume.
• It enters when a later wick reaches the 50% to 61.8% retracement zone of the second candle.
• VWAP can filter long and short setups by the side of the market on which price trades.
• Stops are offset beyond the second candle’s wick, and the script uses a fixed contract quantity.
• Session and prior-period levels add chart context, but the document reports no strategy performance results.

Tags

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