VWAP Reversal Strategy V1 by DerAndi72
By DerAndi72
Performance Metrics
- Author: DerAndi72
- Symbol: CME_MINI:MNQ1!
- Timeframe: 30 minutes
- Net P&L: +20,115.06 USD (+201.15%)
- Win Rate: 13.3%
- Profit Factor: 1.356
- Max Drawdown: 5,240.84 USD (25.44%)
- Total Trades: 781
Description
🔹 VWAP Reversal Strategy V1by COT-Trader.comThe VWAP Reversal Strategy V1 is a selective intraday framework designed to capture structured pullbacks to VWAP after a confirmed breakout.It focuses on quality over frequency and integrates volatility, confirmation and optional higher timeframe bias filtering.This strategy is part of the systematic trading research published at👉 cot-trader.com📌 Core ConceptMarkets frequently break above or below VWAP (fair value), only to retest it before continuation.This strategy trades that sequence:Long SetupPrice breaks above VWAPA retest of VWAP occurs within a defined number of barsA bullish confirmation candle formsOptional filters alignEntry at confirmationShort SetupMirrored logic below VWAP (can be disabled).📊 Built-In FiltersTo increase selectivity, the following filters can be enabled:• Rejection wick confirmation• Volume spike confirmation• Minimum ATR-based distance from VWAP• Optional H1 VWAP directional biasAll filters are configurable.⚙ Risk ManagementThe strategy uses:• ATR-based Stop Loss• ATR-based Take Profit• Maximum trades per day limit• Optional session filterThe goal is consistency and controlled exposure rather than high trade frequency.🧠 Intended UseDesigned for intraday timeframes (typically 15–30 minutes).Works best in structured, liquid markets.Extensive debug markers can be enabled for research purposes.⚠ DisclaimerThis script is published for educational and research purposes only.It does not constitute financial advice.Always test strategies in simulation before using real capital.