VWAP Bounce Strategy Setup and Risk Controls

Summary

This excerpt introduces a VWAP-based futures strategy and shows its configuration and early calculations. It sets fixed contract sizing, commission and slippage assumptions, an ATR-based stop buffer, a reward-to-risk input, a per-trade dollar loss limit, a daily trade cap, a cooldown, and a New York session filter. It also provides weekday switches for enabling long and short trades independently.

The visible code calculates ATR and typical price, builds New York calendar day and week keys, and begins accumulating a daily VWAP that resets at the New York date boundary. These choices aim to align session rules and VWAP resets across chart time zones. The supplied document ends partway through that calculation: it does not show the complete VWAP formula, entry or exit conditions, backtest results, or evidence of performance. The settings therefore describe a strategy framework and risk controls, but are insufficient to assess how the named bounce signal is defined or whether it has an edge.

Key ideas

• The strategy configuration includes contract sizing, trading costs, and a maximum dollar loss per trade.
• New York calendar dates anchor the weekday filters and daily VWAP reset logic.
• ATR, typical price, and daily VWAP accumulation are part of the visible indicator calculations.
• The excerpt omits the complete signal rules and any performance evidence.

Tags

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