VWAP Reversals After High-Volume Absorption with Session and Risk Filters

Summary

This strategy presents a post-absorption reversal approach centered on VWAP. Its configurable inputs indicate that absorption is identified using unusually high volume, limited price displacement relative to ATR, and proximity to VWAP; candidate signals can then fade above-VWAP moves with shorts or below-VWAP moves with longs. The system includes choices for entry timing, reversal horizon, exit mode, direction, and trading sessions. Exits can combine a VWAP target, an ATR-based stop, and a time limit, with an end-of-day flatten option.

The script also includes extensive operational controls: daily trade limits, optional loss and drawdown halts, webhook message formats, and separate settings that gate live execution. The supplied text claims recent ES/YM backtests were promising but says strict cross-instrument holdout validation was not completed and that the results reflect one regime. The excerpt omits much of the signal and order logic and supplies no detailed performance results, so the absorption definition and any claimed edge cannot be independently assessed from this document alone.

Key ideas

• The strategy seeks reversals after high-volume activity with limited displacement near VWAP.
• It can fade above-VWAP conditions short and below-VWAP conditions long, subject to direction and session filters.
• Exit options include VWAP targets, ATR stops, time limits, and end-of-day flattening.
• Optional safeguards include trade-count limits, loss halts, and separate live-execution gates.
• The document reports incomplete cross-instrument validation, and its excerpt omits key strategy logic.

Tags

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