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VWAP Pullbacks After Opening Range Breakouts

Article Strategy library · Author: TraderTed420
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Summary

This intraday strategy defines an opening range from the early session high and low, then looks for trades after that range is established. A long requires a close above the range high, price above VWAP and the 9-period EMA, and a candle low that reaches VWAP. A short uses the mirrored conditions: a close below the range low, price below VWAP and the EMA, and a high that retests VWAP. ATR-based stops and targets are set using a configurable risk-to-reward multiple.

The supplied script specifies a New York session open, a configurable opening-range duration, and ATR with a 14-period setting. The accompanying description suggests intraday use in liquid stocks, futures, or ETFs, but gives no backtest results or evidence that the rules are profitable. The excerpt ends partway through its settings explanation, and the code does not show additional safeguards such as a daily trade limit. Opening-range and VWAP signals can fail in choppy sessions, while results may depend on market, timeframe, and execution assumptions.

Key ideas

  • The strategy records the session's opening-range high and low before seeking entries.
  • Long and short entries require a range breakout followed by a VWAP retest with EMA confirmation.
  • ATR sets the stop distance, and a configurable multiple determines the profit target.
  • The script exposes the opening-range duration and whether to apply the VWAP filter.
  • The material provides no performance results, and the supplied explanation is truncated.

Tags

EquitiesFuturesBreakoutMomentumTechnical indicatorsRisk management

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