VWAP and Relative-Volume Scoring for Intraday Stock Breakouts
Summary
This intraday stock strategy scores long and short setups using several filters: relative volume, price and EMA alignment with VWAP, higher-timeframe trend, RSI momentum, a recent range breakout, and candle pressure. Each condition contributes a weighted number of points, and a trade signal requires the score to meet a configurable threshold during the specified morning trading window. Short trades can be disabled.
Position size is based on a chosen fraction of equity at risk divided by an ATR-based stop distance. The script sets a stop and a reward target at entry, and also closes positions after a maximum holding period or outside the session. A dashboard shows which filters are satisfied. The code includes commission and slippage assumptions, but the document presents no backtest results. Its many thresholds, stock-volume inputs, timeframe choices, and session settings can materially affect signals and outcomes.
Key ideas
- Long and short setups combine VWAP and EMA trend alignment with a higher-timeframe trend filter.
- Relative volume, RSI, recent price breakouts, and candle pressure add weighted points to each setup score.
- Signals are restricted to a configurable session, and short entries can be disabled.
- ATR-based stops and targets are paired with risk-based position sizing and time-based exits.
- The dashboard exposes filter status, but no performance evidence is provided.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.