VWAP Trend Momentum [Artillery] — Strategy by ArtilleryTrades
By ArtilleryTrades
Performance Metrics
- Author: ArtilleryTrades
- Symbol: CME_MINI:MNQ1!
- Timeframe: 5 minutes
- Win Rate: 28.6%
- Profit Factor: 0.822
Description
VWAP Trend Momentum is a session-VWAP pullback strategy: it waits for price to establish a trend on one side of the session VWAP, lets price pull back into the VWAP, and enters when the pullback resolves back in the trend direction. This publication consolidates three earlier scripts - "VWAP Trend Momentum", "VWAP Trend Momentum v2" and the market-specific "MNQ VWAP Trend" - into one canonical open-source strategy. The oldest version incorporated a third-party open-source trailing-stop component; that code has been removed entirely, so everything in this script is original and written with Pine built-ins only.WHAT IT DOES1) Trend side - the session-anchored VWAP (reset daily, volume-weighted) splits the day. A trend qualifies only when price is on one side of VWAP, a 34-period EMA has a meaningful slope in the same direction (slope is measured against ATR so "meaningful" scales with volatility), and optionally price is also beyond the EMA50.2) Pullback - the entry setup requires price to have traded within a configurable distance of VWAP inside the last few bars: the strategy buys strength only after a genuine test of the mean, not at extension.3) Trigger - after the VWAP test, a close back on the trend side that also takes out the prior bar's high (for longs; mirror for shorts) fires the entry.4) Exits - fixed ATR-based stop and target (defaults 1.5 ATR stop, 4.5 ATR target = 3:1), an optional breakeven move after a configurable ATR gain, and a forced flatten at session end.5) Guard rails - a trades-per-day cap, one position at a time, and a session window (all times New York).OPTIONAL CONFIRMATION FILTERSTwo stricter entry filters from the retired MNQ variant are included, off by default: a rejection-candle requirement (the trigger bar must show a wick of at least N% of its range toward VWAP with a real body) and an ADX floor (skip signals in flat tape). Turn them on if you want fewer, more selective entries.WHY ONE SCRIPT INSTEAD OF THREEThe three earlier publications were variations of the same idea - session VWAP plus trend filter plus pullback entry - separated only by tuning and by one market-specific configuration. That is versioning, not new logic, so they now live in one script where the differences are inputs. The trades-per-day cap in the previous version was documented but not actually enforced in code; that is fixed here.BACKTEST PROPERTIES (documented so you can judge the report)The report uses realistic properties for one micro futures contract: 50,000 initial capital, fixed 1 contract, commission of 4.00 per contract per side, 2 ticks of slippage, 10% margin, orders on confirmed bars only. Risk per trade is the ATR stop - a small fraction of capital on a micro contract. Defaults are deliberately neutral rather than optimized: full New York cash session (9:45-15:30 ET), both directions enabled, up to 3 trades per day. They were run on MNQ 5-minute bars; other symbols and timeframes need their own settings. Backtest results are historical, vary with the tested window, and do not predict future performance.WHAT YOU SEE ON THE CHART- The session VWAP (gold), the trend EMA (blue) and optional EMA50 (purple)- BUY/SELL labels at entries plus the strategy's own trade markers- A subtle session shading and a compact dashboard with VWAP bias, trend state, position, configured R:R and session statusBEHAVIOUR NOTESEverything is computed on closed bars: no intrabar order generation, no higher-timeframe requests, no lookahead. The session VWAP accumulates during the day and does not repaint once its bar closes. Strategies in Pine v6 alert through order-fill events - create an alert on the strategy and select order fills.This is an educational and analytical tool for studying VWAP-anchored trend behaviour. It is not financial advice.