VWAP-RSI Scalper FINAL v1 — Strategy by michaelriggs
By michaelriggs
Performance Metrics
- Author: michaelriggs
- Symbol: CME_MINI:ES1!
- Timeframe: 15 minutes
- Net P&L: +29,075.00 USD (+2.91%)
- Win Rate: 37.8%
- Profit Factor: 1.377
- Max Drawdown: 9,337.50 USD (0.91%)
- Total Trades: 259
- Sharpe Ratio: 0.198
Description
DescriptionThis script implements a robust, battle-tested intraday scalping strategy designed for prop firm challenges, funded trader programs, and serious futures scalpers.It combines VWAP, RSI, EMA trend, and ATR-based risk management to capture high-probability mean reversion and momentum moves during the most liquid hours of the trading day.Core LogicRSI (Relative Strength Index):Trades are triggered when the RSI is either oversold or overbought using a short lookback (default: 3). This ensures only the strongest intraday reversals or exhaustion moves are considered.VWAP Filter:Longs are only taken above VWAP, shorts only below VWAP, aligning trades with the session’s dominant bias.EMA Filter:Additional trend quality filter—longs require price above EMA, shorts below EMA.Session Control:Only trades between user-defined session hours (default: US cash session), eliminating overnight/illiquid action.ATR-based Dynamic Stops & Targets:Every trade uses a stop loss at 1x ATR and a take profit at 2x ATR for a positive risk/reward ratio.Max Trades Per Day:Prevents overtrading and controls risk exposure (default: 3).Performance (Sample Backtest)Profit Factor: 1.37+ (prop-firm quality)Drawdown: 1, so high edge)Consistency: Smooth, steady equity curve over hundreds of trades.Best For:ES/NQ/CL/GC intraday tradersProp firm evaluation challenges (Tradeify, Topstep, Apex, etc.)Anyone needing robust, no-nonsense systematic edge for futures or indices.How to Use & TuneApply to 3min, 5min, or 15min charts of liquid futures or indices.Change parameters in the settings panel to suit your asset, volatility, or session hours.Use “Strategy Tester” to validate P&L, win rate, and drawdown.How to OptimizeRaise/lower RSI length or bands to make signals more/less frequent.Adjust stop/target multiples for your preferred risk/reward profile.Change session hours to match your broker or market.DisclaimerThis is not financial advice. Use on a demo or sim account first. Results will vary by market, slippage, and execution speed. Past performance does not guarantee future results.If you find this useful, please give it a like, follow for more strategies, and comment your results or questions!Good luck and safe trading!