VWAP Band Fade Scalping with Volume and Trend Filters

Summary

This intraday strategy fades moves toward bands placed around VWAP. It sets upper and lower levels using an asset-specific volatility value multiplied by a global adjustment factor. A long setup occurs when price reaches the lower band area and closes up; a short setup occurs near the upper band and closes down. Both setups require volume to exceed 1.5 times its 20-bar simple average, and can be filtered by whether price is above or below a 200-period EMA. Trading can be limited to the New York session, and entries use fixed take-profit and stop-loss distances measured in ticks.

The script offers settings for NQ, ES, and gold, but the page supplies no backtest report, tested market, timeframe, or performance evidence. Its description calls the levels expected-move boundaries, while the implementation specifies fixed volatility inputs around VWAP. Outcomes will depend on those settings, instrument tick values, session configuration, and execution assumptions; the document gives no validation that the defaults are suitable for live trading.

Key ideas

• The strategy places configurable bands above and below VWAP using an asset-specific volatility input.
• Long and short entries require a reversal-colored candle near the corresponding band and unusually high volume.
• An optional 200-period EMA filter restricts longs and shorts according to the prevailing price trend.
• Trading may be limited to the New York session, with fixed tick-based profit and loss exits.
• The document provides no backtest results to establish the strategy's performance.

Tags

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