ORB+VWAP NY Bounce — Strategy by RicoTrades_21
By RicoTrades_21
Performance Metrics
- Author: RicoTrades_21
- Total Trades: 21
Description
ORB + VWAP Bounce — opening-range break with a resting VWAP retestAn intraday entry model for the 1-minute chart on index futures. Itcombines an opening-range breakout filter with a mean-reversion entry,and it only ever takes one trade per session.THE IDEA IN ONE SENTENCEThe opening range breaks; a resting LIMIT order then waits at thesession VWAP and fills the moment price retests it in the direction ofthat break.HOW IT WORKSEach session runs through three phases.1. RANGE — the script records the high and low of the opening-range window (09:30–10:00 New York by default). Nothing is armed until this window closes.2. BREAK — when price closes beyond that high or low, the side of the break sets the direction for the rest of the day. Broke up = long only. Broke down = short only. This is the only thing that decides direction.3. RETEST — from the start of the entry window, a limit order rests on the session VWAP, anchored at the RTH open. A long fills on the pullback down to it; a short fills on the rally up to it.WHY THE ENTRY IS A RESTING LIMIT, NOT A MARKET ORDERThis is the part worth understanding before using it.A buy limit can only rest BELOW the market, and a sell limit onlyABOVE it. So "price is on the correct side of VWAP" is not somethingthe script has to check — it is inherent to the order type itself. Along only exists if price is above the VWAP and pulls back into it; ashort only exists if price is below and rallies into it.That is why there is no separate trend filter or bias input in thisscript: there would be nothing left for it to decide. The break setsdirection, the order type enforces location.The trade-off is real and you should know it: a resting limit fills ata known price but is not guaranteed to fill at all. Days where pricebreaks and never returns to the VWAP simply produce no trade. Thescript is designed to sit out far more often than it trades.SETTINGSSession / Time — timezone, the RTH session that defines the tradingday, the opening-range window, the entry window, and a forced flattime. No position is ever carried overnight.Entry Logic — direction (long only / short only / both), which VWAPanchor the limit rests on (RTH open or Globex open), an optional tickoffset so the limit sits a hair on the approach side, and the maximumnumber of trades per day.Filters / Seasonality — day-of-week switches, month exclusions, andseparate gates for the short side only (a time cut-off, weak months,and a weekday block). All of these are OFF or neutral by default. Theyexist so you can test whether your own instrument and session showasymmetries, not because any particular setting is recommended.Setup Quality — an optional gate on the size of the opening range,measured either in points or as a multiple of the previous day's ATR.The ATR mode is self-scaling, so one setting holds across changingvolatility regimes. OFF by default.Stop / Target — the stop can be a fixed tick distance, a multiple ofthe daily ATR, the VWAP line itself, the opposite side of the openingrange, or a retest swing. Targets can be an R multiple, a multiple ofthe range, a fixed tick distance, or none at all.Trailing Stop — optional, by R multiple or by points, with aconfigurable activation threshold. There is a switch to remove thefixed target once the trail is active, so a runner is not capped.Risk Management — position size derived from a fixed dollar risk andthe actual stop distance, or a fixed contract count. Note that thederived size is a step function: contracts = floor(risk / (stopdistance x point value)). Small changes in risk can leave the contractcount unchanged, and then jump it by a whole contract.WHAT ELSE IS ON THE CHARTA Market Positioning table compares price against five VWAPs (session,overnight, previous session, high-of-day, low-of-day) plus the openingrange, for the chart symbol and two correlated tickers you choose. Italso reports the opening-range size in points and in ATR multiples,and the daily ATR itself.There is an optional risk:reward box drawn on each entry, and anoptional prop-firm tracker that reports balance, distance to atrailing drawdown line, worst margin reached, and a consistencymeasure.Every order carries a JSON alert_message suitable for automationplatforms that parse webhook payloads.BACKTESTING NOTES — PLEASE READTwo Properties settings change results substantially on this script,and both default to values that flatter it:- Limit order execution. Every entry here is a limit order resting on the VWAP. The "Requested price" setting assumes a fill the moment price grazes the line without trading through it, which is optimistic for a resting order. Use "Standard".- Bar detalization. Set it to High. On a 1-minute chart with intrabar stop and target logic, the default resolution is too coarse.Also apply realistic commission and slippage for your instrumentbefore drawing any conclusion.LIMITATIONSThis script takes at most one trade per session and requires both arange break and a retest, so it trades infrequently. On any giveninstrument the sample it produces over a few years may be small enoughthat ordinary variance dominates. Treat any backtest of it as adescription of one particular past, not as an expectation.Seasonal and day-of-week filters are especially easy to overfit: witha handful of trades per month, apparent patterns appear by chance.They ship neutral for that reason. If you turn them on, check that theeffect holds in every year of your sample independently, not just inthe total.Defaults are a starting point for the instrument and session they werewritten around. They are not tuned for yours.Nothing here is financial advice.