VWAP Strategy by Neptuko
By Neptuko
Performance Metrics
- Author: Neptuko
- Symbol: CME_MINI:ES1!
- Timeframe: 2 minutes
- Net P&L: +2,000.00 USD (+0.20%)
- Win Rate: 100.0%
- Profit Factor: —
- Max Drawdown: 3,100.00 USD (0.31%)
- Total Trades: 4
Description
This strategy is designed for intraday futures trading around the NYSE open VWAP. It identifies long and short opportunities when price reclaims the New York VWAP, pulls back to hold it, and aligns with 5/8/13 EMA trend confirmation. The script also includes an 18:00–16:00 anchored VWAP for added context, VWAP cross tracking to help filter out choppy conditions, and configurable hold markers, cross markers, stop limits, and profit targets.In addition, the strategy includes a compact market-status panel that lets the trader monitor whether NQ and YM are trading above or below their own NY VWAP and 18:00 VWAP in real time. This can help provide intermarket context while trading ES and improve confidence in directional bias and market participation.