VWAP and Zero-Lag Trend Pullbacks with ATR-Based Risk Levels
Summary
This scalping strategy seeks pullback entries when price remains aligned with both a zero-lag exponential average and VWAP. It defines bullish or bearish bias from price closing above or below both references, then looks for a retracement that touches VWAP, a one-standard-deviation VWAP band, or the zero-lag line. A candle direction and close condition provide confirmation, and a state variable prevents repeated signals in the same direction until an opposite signal occurs.
On entry, the strategy places a stop at a configurable ATR distance and a profit target at a configurable risk multiple; an opposite trigger closes the existing side and enters the other. The script also plots VWAP bands and risk levels. Although it calculates a volume-expansion condition, that value is not used in the entry rules. The document offers no backtest results or market and timeframe guidance, so its performance and the behavior of session-based VWAP require independent evaluation.
Key ideas
- Trend bias requires price to be on the same side of both the zero-lag average and VWAP.
- Entries combine a retracement to a reference zone with candle direction and close confirmation.
- Stops use an ATR multiple, and targets scale the initial risk by a configurable reward ratio.
- A state variable suppresses consecutive signals in the same direction until an opposite trigger appears.
- The volume-expansion calculation does not affect the stated entry conditions.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.