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VWAP Mean-Reversion Scalping with RSI, ADX, and ATR Exits

Article Strategy library · Author: stevenygabbyperez
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Summary

This scalping strategy looks for price to move away from VWAP while RSI reaches an extreme, but only when ADX is below a chosen threshold, which the script uses to identify ranging conditions. It enters long below VWAP when RSI is low and short above VWAP when RSI is high. Trades are allowed only while flat. ATR sets an initial stop and profit target, and a trailing exit activates after a favorable move.

The script exposes RSI, ADX, and ATR settings, along with stop, target, and trailing parameters. Its configuration specifies a one-to-three ATR stop-to-target distance and percent-of-equity sizing, and includes a commission assumption. The page gives code but no strategy report results or tested instrument and period, so it offers no evidence that the rules are profitable. Trading costs, slippage, VWAP session behavior, and the reliability of the ranging filter may materially affect results.

Key ideas

  • The setup seeks mean reversion toward VWAP when RSI is extreme and ADX indicates a range.
  • Longs require price below VWAP and low RSI; shorts require price above VWAP and high RSI.
  • ATR determines the initial stop, profit target, and trailing exit levels.
  • The strategy permits one open position at a time and sizes positions as a share of equity.
  • No backtest results or tested market are provided, limiting conclusions about effectiveness.

Tags

Mean reversionTechnical indicatorsVolatilityRisk management

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