SMB Fashionably Late Scalp (9EMA x VWAP) — Strategy by bo77rader
By bo77rader
Performance Metrics
- Author: bo77rader
- Symbol: NASDAQ:NVDA
- Timeframe: 3 minutes
- Win Rate: 39.4%
- Profit Factor: 0.787
Description
SMB "Fashionably Late Scalp" (9 EMA × VWAP) — backtest & study toolWHAT THIS ISAn open, fully tunable Pine v5 strategy implementation of the "Fashionably LateScalp," a 9-EMA-crosses-VWAP intraday setup published by SMB Capital. It is builtfor honest backtesting and study of the setup's mechanics — not as a turnkeyprofitable system (see "Honest notes on performance" below).THE SETUP (long; short is the mirror)1. Divergence — a sustained move separates the 9 EMA from the session VWAP.2. The Turn — price puts in a distinct low of the day, then starts back up.3. Convergence — the 9 EMA rises back and crosses VWAP. That cross is the trigger.Entry: an up-sloping 9 EMA crossing a flat-to-downsloping VWAP (mirror for shorts).Stop: 1/3 of the distance from VWAP to the low of day.Target: a measured move — low-of-day to the cross, projected the same distancebeyond the cross.TWO ENTRY MODES• Anticipate cross (stop order) [default]: TradingView can normally only act on the bar AFTER a cross. Because the EMA's next value is deterministic in price (EMA_next = α·P + (1−α)·EMA_now), the script solves for the exact price P that makes the 9 EMA meet VWAP and rests a stop order there — so it fills AT the cross, intrabar. Non-repainting: the trigger is fixed on the closed bar and refreshed each bar.• React next bar open (market): conventional market entry on the confirmed cross (fills one candle late). Kept for A/B comparison.Note: the anticipatory trigger sits above VWAP by ~4× the EMA-to-VWAP gap (9-EMAalgebra), so the further the EMA lags VWAP at entry, the higher the fill and thelower the realized reward:risk. A "Minimum reward:risk" input — measured from theactual fill, not from VWAP — bounds this.KEY INPUTS• EMA length; separate EMA & VWAP slope lookbacks/thresholds (VWAP uses a longer lookback so "flat-to-downsloping" reflects the day's posture, not a 1-bar wiggle)• Stop fraction, stop-anchor mode, cross-price mode, minimum reward:risk• "The turn" requirement, re-entry cooldown, long/short toggles• Optional filters: ideal EST session windows (10:00–10:45 / 10:46–13:30), a >15-minute EMA-flat veto, and a volume-confirmation filter• A signal-funnel table (top-right) showing how many crosses survive each gate, so you can see exactly what is or isn't triggeringREQUIREMENTS & BEHAVIOR• Needs a volume-bearing instrument (stocks/futures). On symbols without real volume the session VWAP is undefined and the script stops with a message.• Session VWAP and the low/high of day share one daily anchor, so they reset together across RTH/ETH/24h charts.• Signals evaluate on closed bars; no lookahead. Set realistic commission and slippage in the Strategy Properties before drawing any conclusions.HONEST NOTES ON PERFORMANCEThe source cites roughly a 60% win rate at ~3:1 reward:risk. Those numbers comefrom a discretionary playbook, and in my own testing this mechanical version doesNOT reproduce them — it is not reliably profitable out of the box. That isexpected: the original depends on trader judgment this code cannot encode(selecting "in-play" names, reading the speed/quality of the turn, position sizing,skipping messy tape), and scalping costs erode a thin edge quickly. Treat this as afaithful study/backtest harness for the mechanics and a base to experiment on — nota signal to trade live. Nothing here is financial advice; test and manage your ownrisk.CREDITSSetup concept: SMB Capital ("The Fashionably Late Scalp," public cheat sheet).Pine v5 implementation, the anticipatory-cross entry, and the diagnostics are mine.