VWAP Mean-Reversion Scalping with RSI and ADX Filters

Summary

This scalping strategy seeks mean reversion toward VWAP when price appears stretched and the market is classified as ranging. It buys when price is below VWAP and RSI falls under a configurable threshold, and sells short when price is above VWAP with RSI above its threshold. The ranging filter uses ADX; the script also calculates ATR to set exits. Each position receives an ATR-based stop, profit target, and trailing exit, while the strategy configuration specifies a percentage-of-equity allocation and commission.

The document gives implementation rules and default indicator settings, but it supplies no backtest results, market selection, timeframe, or evidence of profitability. Its title and release note describe scalping, while an earlier note refers to a different EMA and MACD approach; the visible source implements VWAP, RSI, ADX, and ATR instead. Results would depend on execution, trading costs, and whether the ranging filter behaves consistently on the chosen instrument and timeframe.

Key ideas

• The strategy looks for reversals toward VWAP when ADX indicates a ranging market.
• RSI thresholds identify potential long entries below VWAP and short entries above it.
• ATR sets the initial stop, target, and trailing exit distances.
• The script specifies a small equity-based position allocation and percentage commission.
• No performance evidence is provided, and the accompanying description conflicts with the visible strategy rules.

Tags

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