VWAP Deviation Fade Scalping with Volume and Trend Filters

Summary

This scalping strategy fades price moves toward bands placed around VWAP. The band distance is set by an asset-specific input multiplied by a user adjustment, with values supplied for Nasdaq futures, S&P futures, and gold. A long setup requires price to touch the lower band, a bullish candle, elevated volume relative to its recent average, and—when enabled—price above a 200-period exponential moving average. The short setup mirrors those conditions at the upper band below the average. Entries can also be restricted to a New York trading session.

Both sides use fixed tick-based profit and loss exits, and the script plots VWAP, the bands, and the optional trend average. It provides alerts but no reported trade history, performance statistics, or comparison against alternatives. The band widths are fixed inputs rather than a demonstrated forecast model, and the code comments describe an expected move without showing how that estimate was calculated. Results would depend on instrument, timeframe, execution assumptions, and costs; the strategy listing does not establish that the settings are optimized or profitable.

Key ideas

• The strategy enters against price when it reaches a fixed-distance band around VWAP and candle direction confirms a possible reversal.
• A volume spike and optional 200-period EMA filter gate entries.
• An optional New York session restriction narrows the hours when signals can occur.
• Long and short positions use fixed tick-based profit targets and stop losses.
• The listing gives no performance evidence that validates its band widths or trading rules.

Tags

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