VWAP Reclaims with EMA Crosses and Higher-Timeframe Trend Filters

Summary

This intraday strategy combines five-minute EMA crosses and VWAP reclaims with hourly trend filters. A long setup requires the faster EMA to cross above the slower EMA, price to have traded below the five-minute VWAP during a recent lookback and close back above it, and the hourly close to be above both its EMA and VWAP. The short setup mirrors these conditions. Stop distance is based on hourly ATR, and the take-profit distance is set as a multiple of that stop distance.

The script defines example indicator lengths, an ATR multiplier, a risk-to-reward setting, and a VWAP lookback, but the document provides no trade list, performance statistics, or market-specific validation. Its accompanying explanation frames the reclaim as entering a pullback in the direction of the broader trend. The code uses higher-timeframe data and places exits at the signal bar's close-derived distances; execution assumptions, costs, and the handling of live bar updates are not discussed.

Key ideas

• Long entries combine an upward fast/slow EMA cross, a five-minute VWAP reclaim, and bullish hourly filters.
• Short entries apply the corresponding downward cross, VWAP reclaim, and bearish hourly filters.
• The hourly EMA, VWAP, and ATR provide trend checks and stop-distance sizing.
• The target distance is calculated from the stop distance and a configurable risk-to-reward ratio.
• No backtest results, transaction costs, or execution validation are provided.

Tags

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