VWAP Bounce Strategy with Weekly Bias and Capped Trade Risk

Summary

This futures strategy seeks intraday rebounds from daily or New York session VWAP. Long setups require price above weekly VWAP and a prior low that touched or crossed the daily or session VWAP before the current close returns above it. Short setups mirror those conditions below weekly VWAP. Filters can restrict trades by weekday, New York session, entry cutoff, cooldown, and a daily trade limit.

Stops are based on the signal bar extreme plus an ATR buffer, then capped by a maximum dollar loss calculated from contract count and point value. Profit targets use a configurable reward-to-risk multiple, and positions are closed at the New York session end when that filter is enabled. The script is described for MNQ, NQ, MES, and ES, but includes no backtest statistics or evidence of profitability. Results depend on timeframe, instrument settings, execution assumptions, and VWAP/session handling; the code’s order and risk assumptions require independent verification before use.

Key ideas

• Weekly VWAP sets the directional bias for long and short bounce setups.
• Daily and New York session VWAP provide potential touch-and-reclaim or rejection levels.
• Session, weekday, entry-time, cooldown, and daily trade-count filters are configurable.
• ATR-buffered stops are constrained by a maximum dollar risk per trade.
• Targets use a configurable reward-to-risk ratio, with positions flattened at session end when enabled.

Tags

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