VWAP Breakout and Retest Entries with Trend and Risk Filters

Summary

This strategy looks for a move across daily VWAP followed by a return to that level and a confirming close. A long setup requires a recent upward VWAP crossover, a touch of VWAP since the crossover, and a bullish close above it; short conditions mirror this logic and can be disabled. An optional one-hour VWAP filter aligns trades with the higher-timeframe direction.

The script includes configurable filters for rejection wicks, volume spikes, and minimum distance from VWAP, as well as a session window and daily trade limit. ATR sets stop and target distances, and the visible settings specify a larger target multiple than stop multiple. The supplied document cuts off partway through the code, so later position management and exit details cannot be fully assessed. It provides no backtest results or market-specific evidence; the stated settings alone do not establish profitability, and VWAP/session behavior may vary by instrument and data feed.

Key ideas

• Entries follow a VWAP cross, a subsequent touch, and a confirming close within a configurable bar window.
• A one-hour VWAP can filter trades according to the broader directional bias.
• Wick rejection, relative volume, and distance from VWAP are optional entry conditions.
• The script limits trades per day and can restrict activity to a selected session.
• The excerpt is incomplete and reports no strategy performance statistics.

Tags

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