Fabio + Whale + VRVP — Strategy by saivivek0192
By saivivek0192
Performance Metrics
- Author: saivivek0192
- Symbol: AMEX:SPY
- Timeframe: 5 minutes
- Net P&L: −144.23 USD (−1.44%)
- Win Rate: 23.2%
- Profit Factor: 0.253
- Max Drawdown: 144.23 USD (1.44%)
- Total Trades: 151
Description
Levels — completely changedBefore:VWAP (mean reversion line)Prior Day High / Low (yesterday's extremes)Today's High / Low (running)Round numbersNow:POC (Point of Control) — yellow solid line, the price with the most institutional interest in the lookback periodVAH (Value Area High) — red dashed, top of where 70% of volume tradedVAL (Value Area Low) — green dashed, bottom of value areaThat's it. Three lines. Pure VRVP.How VRVP is calculatedThe script:Looks back 100 bars (configurable)Finds the highest high and lowest low → that's the profile rangeDivides the range into 40 horizontal rowsFor each bar, distributes its volume proportionally across the rows it touchedFinds the row with the most volume → POCExpands outward from POC until 70% of total volume is captured → VAH (top), VAL (bottom)Three setup types nowTrend trade:Trending up + at any VRVP level + buy whale → BUY CALLTrending down + at any VRVP level + sell whale → BUY PUTRange trade:Ranging + at VAL or POC + buy whale → BUY CALLRanging + at VAH or POC + sell whale → BUY PUTMean reversion (the new one):Price extended below value area + at VAL + buy whale → BUY CALL (snap back to value)Price extended above value area + at VAH + sell whale → BUY PUT (snap back to value)This is the most "Fabio" entry — fading exhaustion at value area edges. He talks about this constantly.Confirmation candle is OFF by defaultBased on your last screenshot showing 0 trades, I switched the default to OFF. You can turn it back on in settings if you want stricter signals. With it OFF, signals fire on the same bar all 3 conditions align.Dashboard now shows VRVP location precisely② → "POC" / "VAH" / "VAL" / "above VA" / "below VA" / "in VA" / "—"So you can see exactly where price is relative to the value area at all times. This is half the battle of trading like Fabio.The POC and value area range also display in the dashboard:POC $722.45VA $720.12-$724.56What you should see on chartThree horizontal lines extending right:Yellow solid = POC (the magnet)Red dashed = VAH (resistance ceiling)Green dashed = VAL (support floor)Whale dots still appear as before. When all 3 rules align (state + at VRVP level + whale), you get a triangle entry signal.What to testPaste, save, add to chartSet chart to 5min SPYLook at the chart — you should see 3 colored horizontal lines (POC/VAH/VAL)Watch the dashboard top-rightRun backtest — Strategy Tester should populate with tradesIf you still see 0 trades after this, the issue is the strategy's signal logic itself, not the levels. We'd need to lower the minimum tier to 1 and remove confirmation entirely to see if anything fires.Honest expectation: with VRVP and 3 setup types (trend/range/MR), you should see 30-100 trades on YTD SPY 5min backtest. That's enough sample to actually evaluate edge.Run it. Tell me the numbers.