CNPS18-VWAP_RETEST — Strategy by PhaisinhOnline
By PhaisinhOnline
Performance Metrics
- Author: PhaisinhOnline
- Symbol: HNX:VN301!
- Timeframe: 1 minute
Description
CNPS18 VWAP BREAKOUT RETESTCNPS18 is an intraday VWAP strategy designed to avoid entering directly on the initial breakout.Instead, the strategy waits for price to break VWAP, return to the VWAP area, and confirm continuation before opening a position.The core idea is:Breakout→ Retest→ Confirmation→ Entry━━━━━━━━━━━━━━━━━━1. STRATEGY CONCEPT━━━━━━━━━━━━━━━━━━VWAP is used as the main intraday equilibrium reference.A directional setup begins when price crosses through VWAP.LONG SEQUENCEPrice crosses above VWAP→ Bullish breakout is registered→ Price returns toward VWAP→ VWAP is successfully retested→ Price closes back above VWAP→ Bullish confirmation candle→ LONGSHORT SEQUENCEPrice crosses below VWAP→ Bearish breakout is registered→ Price returns toward VWAP→ VWAP is successfully retested→ Price closes back below VWAP→ Bearish confirmation candle→ SHORTThe strategy therefore avoids automatically chasing the first breakout candle.━━━━━━━━━━━━━━━━━━2. BREAKOUT VALIDITY WINDOW━━━━━━━━━━━━━━━━━━A breakout remains valid only for a limited number of bars.Default logic:Maximum approximately 10 bars between breakout and retest confirmation.If the market does not produce a valid retest within the active window, the setup expires.This prevents very old VWAP breaks from creating delayed entries.━━━━━━━━━━━━━━━━━━3. VWAP RETEST━━━━━━━━━━━━━━━━━━After a breakout, the strategy monitors whether price returns to the current VWAP area.For Long setups:Price must revisit VWAP after breaking above it.For Short setups:Price must revisit VWAP after breaking below it.A valid confirmation then requires price to close back on the correct side of VWAP.━━━━━━━━━━━━━━━━━━4. HIGHER-TIMEFRAME BIAS━━━━━━━━━━━━━━━━━━CNPS18 includes an optional higher-timeframe VWAP bias.Default reference:1-hour timeframeThe higher-timeframe component can be used to determine whether the lower-timeframe setup agrees with the broader intraday direction.This filter can be enabled or disabled from the settings.━━━━━━━━━━━━━━━━━━5. ATR DISTANCE FILTER━━━━━━━━━━━━━━━━━━The strategy uses ATR to evaluate whether the breakout has created enough separation from VWAP.This helps avoid extremely small crosses where price simply oscillates around VWAP without establishing directional intent.The minimum VWAP distance requirement is configurable.━━━━━━━━━━━━━━━━━━6. OPTIONAL CONFIRMATION FILTERS━━━━━━━━━━━━━━━━━━Additional confirmation tools may include:• Candle direction• Wick behavior• Volume confirmation• VWAP distance• Higher-timeframe biasSome optional filters are disabled by default to avoid over-filtering the strategy.━━━━━━━━━━━━━━━━━━7. RISK MANAGEMENT━━━━━━━━━━━━━━━━━━Default CNPS exit configuration:Stop Loss: 5 pointsTake Profit: 15 pointsDefault theoretical Risk/Reward:1:3Position Size:3 contractsPyramiding is disabled.The strategy also contains source-derived ATR logic that can be used as an alternative research configuration.━━━━━━━━━━━━━━━━━━8. TRADE FREQUENCY━━━━━━━━━━━━━━━━━━The strategy includes controls for limiting the number of trades taken during one trading day.This is particularly useful on low timeframes where price may repeatedly move above and below VWAP.Trade limits should be evaluated together with transaction costs.━━━━━━━━━━━━━━━━━━9. TIMEFRAME━━━━━━━━━━━━━━━━━━CNPS18 uses the current chart timeframe for its primary entry logic.The optional higher-timeframe bias uses its own configurable timeframe.Typical research timeframes include:• 1-minute• 3-minute• 5-minuteResults can vary significantly across timeframes.━━━━━━━━━━━━━━━━━━10. BACKTEST ASSUMPTIONS━━━━━━━━━━━━━━━━━━Default Strategy Tester configuration:Initial Capital: 100,000,000Position Size: 3 contractsCommission: 10,000 VND per contractSlippage: 3 ticksPyramiding: 0Trading friction is included in the strategy settings.━━━━━━━━━━━━━━━━━━11. HOW TO EVALUATE THE STRATEGY━━━━━━━━━━━━━━━━━━CNPS18 should be evaluated as a retest strategy rather than a simple VWAP crossover system.Important metrics and comparisons include:• Breakout-only versus breakout-retest behavior• Long versus Short performance• Higher-timeframe bias ON versus OFF• Number of bars allowed for retest• ATR distance requirement• Profit Factor• Average Trade• Maximum Drawdown• Transaction-cost sensitivity━━━━━━━━━━━━━━━━━━DISCLAIMER━━━━━━━━━━━━━━━━━━This strategy is provided for educational, analytical and backtesting purposes only.It does not constitute financial or investment advice.Past performance does not guarantee future results.Trading leveraged financial instruments involves substantial risk. Users are responsible for their own trading decisions and risk management.