VWAP Distance Scalping with Volatility Bands and Trend Filters

Summary

This script outlines an intraday strategy for Micro E-mini S&P futures that measures the percentage distance between price and VWAP. It calculates the rolling standard deviation of that distance and uses scaled bands to define extreme readings. A long signal occurs when distance crosses back inside the lower outer band, while a short signal crosses back inside the upper outer band. Entries are filtered by the selected trading session, expanding band width, and price relative to a higher-timeframe EMA. The script offers selectable profit targets, a recent-bar stop, and a breakeven adjustment after a specified favorable move; it can also allow a second long entry under a stated condition.

The supplied text is source code and interface material, not a performance analysis: it includes no backtest results, trade statistics, or evidence that the filters improve outcomes. The excerpt ends abruptly, so completeness cannot be confirmed. Session handling, VWAP behavior, and higher-timeframe data should be checked in the intended chart environment, and the chosen bands, stop rules, and breakeven threshold need testing with realistic fees and execution assumptions.

Key ideas

• The strategy uses standard deviation bands around percentage distance from VWAP to detect extreme moves and re-entry signals.
• Long and short entries are filtered by session, band expansion, and a higher-timeframe EMA trend check.
• Stops use recent price extremes and can move to breakeven after a specified favorable move.
• Profit targets can reference VWAP or one of the distance bands, and a second long entry may be permitted.
• The excerpt contains no reported results and ends mid-text, leaving performance and completeness unverified.

Tags

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