VWAP and EMA Pullback Strategy with ATR-Based Exits

Summary

This strategy looks for continuation entries after a pullback in the direction of a short-term trend. Long setups require price above VWAP and a faster EMA above a slower EMA; the bar must touch or move below the faster average, then close above the prior bar's high. Short setups mirror those conditions below VWAP, using a failed bounce into the faster average followed by a close below the prior low. The script plots the averages and produces chart labels and alerts when these conditions occur.

Exits use ATR-based stop and target levels, with the stated target distance set at twice the ATR and the stop distance at one ATR from the current close. The description suggests liquid US index ETFs and a five-minute chart, and names certain intraday windows while cautioning against midday trading. These are recommendations in the source, not demonstrated findings: no backtest statistics or test design are shown, and the document does not establish how the rules perform across assets, sessions, or execution costs.

Key ideas

• Long entries require price above VWAP, a fast EMA above a slow EMA, a pullback to the fast EMA, and a close above the prior high.
• Short entries apply the reverse trend, pullback, and prior-bar breakdown conditions.
• The strategy sets ATR-based stop and target levels, with the target distance twice the stop distance.
• The source suggests an intraday chart and specific trading windows but provides no performance data to support those choices.

Tags

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