VWAP Deviation Scalping with Expansion, Trend, and Protective Stops

Summary

This MES strategy builds price bands around VWAP from the rolling standard deviation of percentage distance from VWAP. It looks for price to cross back inside the outer three-standard-deviation boundary, entering long below the lower boundary when a higher-timeframe EMA indicates an uptrend, or short above the upper boundary when the EMA indicates a downtrend. An optional filter requires the deviation bands to be expanding, and the script offers RTH or ETH sessions and configurable profit targets at an inner band or VWAP.

Risk controls use recent lows or highs for an initial stop, with an option to move it to breakeven after a specified favorable dollar move per contract. A second long entry can be added under specified conditions. The document provides implementation details and identifies the script as an initial attempt at a day-trading system, but gives no performance results or validation. Its usefulness therefore lies in the rule design; effectiveness, execution assumptions, and parameter robustness remain unestablished.

Key ideas

• The strategy calculates deviation bands from the rolling standard deviation of percentage distance between price and VWAP.
• It enters when price crosses back inside the outer band, with direction gated by a higher-timeframe EMA.
• An optional filter requires current band width to exceed its recent maximum.
• Stops use recent price extremes and can move to breakeven after a favorable dollar threshold.
• The document presents a strategy implementation but provides no backtest evidence.

Tags

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