VWAP Breakout Retests with ATR Risk Controls

Summary

This intraday strategy looks for price to cross daily VWAP, revisit that level within a configurable bar window, then close back on the breakout side with a candle in the same direction. It can trade long setups by default and optionally enable mirrored short setups. An hourly VWAP filter can require directional alignment; optional filters check rejection wicks, elevated volume, and a minimum ATR-scaled distance from VWAP.

Entries are limited to one open position and a configurable daily trade count, with an optional session restriction. Exits use ATR-scaled stop and target distances. The document describes the intended use as intraday trading and offers no strategy report, sample, or performance evidence, so it does not establish profitability. Results may depend on instrument, timeframe, session settings, and filter choices; simulation and further evaluation are necessary before practical use.

Key ideas

• A setup requires a VWAP cross, a retest within a set number of bars, and a directional confirming close.
• An hourly VWAP can filter trades according to higher-timeframe direction.
• Rejection wick, volume, distance, and session checks are configurable filters.
• ATR determines stop and target distances, while daily trade limits constrain activity.
• The document provides no performance evidence for the strategy.

Tags

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