VWAP and Zero-Lag EMA Pullback Scalping with ATR Targets

Summary

This script presents a single-trigger scalping strategy that combines a zero-lag exponential moving average with VWAP and its standard-deviation bands. It defines bullish or bearish bias from price relative to both the average and VWAP, then looks for a pullback toward VWAP, its inner band, or the zero-lag average. Candle direction and a simple close comparison confirm entries, while a remembered signal direction prevents repeated same-side triggers until the opposite direction signals.

The strategy sets a stop using an ATR multiple and a profit target using a fixed risk-to-reward multiple, closing an opposing position when a new signal arrives. Volume averages and outer VWAP bands are calculated or displayed, but volume expansion does not appear in the entry rules. The document provides implementation details and default settings, but no performance results or market-specific evaluation. Its usefulness therefore lies in the rule design; live or historical performance, sensitivity to costs, and behavior across instruments remain unestablished.

Key ideas

• Bullish and bearish bias require price to be on the matching side of both the zero-lag average and VWAP.
• Entries require a pullback to a reference level plus a directional candle confirmation.
• ATR sets the stop distance, and a fixed risk-to-reward multiple sets the target distance.
• The signal state blocks consecutive entries in the same direction until the opposite side triggers.
• The code computes volume expansion and outer VWAP bands, but volume is not used as an entry filter.

Tags

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