VWAP Touch Entries with Rolling Limits and Reentry Rules

Summary

This strategy places limit orders at the prior bar’s VWAP while using the previous close relative to that VWAP to select long or short direction. The limit level updates as new bars form, creating a rolling entry reference. Inputs let users enable either side, define a New York trading window, set fixed point stops and targets, optionally cancel orders after a chosen number of bars, and flatten positions at a specified time.

After a losing exit, reentry can be immediate, delayed until the stop bar closes, gated by a same-direction close back across VWAP, or require price to stretch beyond VWAP before crossing back. The author describes the approach as a mechanical touch-entry idea for testing across timeframes. The listing supplies no performance results or instrument-specific evaluation; fixed point exits and time rules may behave differently across markets and chart intervals.

Key ideas

• The entry limit follows the previous bar’s VWAP while direction depends on the prior close relative to VWAP.
• Users can restrict entries to a chosen New York time window and force positions flat later in the day.
• Stop and target distances are fixed in points from the average fill price.
• Reentry settings can delay or condition a same-direction trade after a losing exit.
• The listing presents a testable mechanism but gives no evidence of profitability across instruments or timeframes.

Tags

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