VWAP Trend Strategy (Intraday) [KedarArc Quant] by kedarcquant
By kedarcquant
Performance Metrics
- Author: kedarcquant
- Symbol: NSE:INFY
- Timeframe: 5 minutes
- Net P&L: −115.15 INR (−0.12%)
- Win Rate: 33.1%
- Profit Factor: 0.901
- Max Drawdown: 406.33 INR (0.41%)
- Total Trades: 248
Description
Description:An intraday strategy that anchors to VWAP and only trades when a local EMA trend gate and a volume participation gate are both open. It offers two entry templates—Cross and Cross-and-Retest—with an optional Momentum Exception for impulsive moves. Exits combine a TrendBreak (structure flips) with an ATR emergency stop (risk cap).Updates will be published under this script.Why this merits a new scriptThis is not a simple “VWAP + EMA + ATR” overlay. The components are sequenced as gates and branches that *change the trade set* in ways a visual mashup cannot:1. Trend Gate first (EMA fast vs. slow on the entry timeframe)Counter-trend VWAP crosses are suppressed. Many VWAP scripts fire on every cross; here, no entry logic even evaluates unless the trend gate is open.2. Participation Gate second (Volume SMA × multiplier)This gate filters thin liquidity moves around VWAP. Without it, the same visuals would produce materially more false triggers.3. Branching entries with structure awareness* Cross: Immediate VWAP cross in the trend direction.* Cross-and-Retest: Requires a revisit to VWAP vicinity within a lookback window (recent low near VWAP for longs; recent high for shorts). This explicitly removes first-touch fakeouts that a plain cross takes.* Momentum Exception (optional): A quantified body% + volume condition can bypass the retest when flow is impulsive—intentional risk-timing, not “just another indicator.”4. Dual exits that reference both anchor and structure* TrendBreak: Close only when price loses VWAP and EMA alignment flips.* ATR stop: Placed at entry to cap tail risk.These exits complement the entry structure rather than being generic stop/target add-ons.What it does* Trades the session’s fair value anchor (VWAP), but only with local-trend agreement (EMA fast vs. slow) and sufficient participation (volume filter).* Lets you pick Cross or Cross-and-Retest entries; optionally allow a fast Momentum Exception when candles expand with volume.* Manages positions with a structure exit (TrendBreak) and an emergency ATR stop from entry.How it works (concepts & calculations)* VWAP (session anchor): Standard VWAP of the active session; entries reference the cross and the retest proximity to VWAP.* Trend gate: Long context only if `EMA(fast) > EMA(slow)`; short only if `EMA(fast) SMA(volume, volLen) × volMult`. Screens out low-participation wiggles around VWAP.Entries:* Cross: Price crosses VWAP in the trend direction while volume gate is open.* Cross-and-Retest: After crossing, price revisits VWAP vicinity within `lookback` (recent *low near VWAP* for longs; recent *high near VWAP* for shorts).* Momentum Exception (optional): If body% (|close−open| / range) and volume exceed thresholds, enter without waiting for the retest.Exits:* TrendBreak (structure):* Longs close when `price < VWAP` and `EMA(fast) < EMA(slow)` (mirror for shorts).* ATR stop (risk):* From entry: `stop = entry ± ATR(atrLen) × atrMult`.How to use it ?1. Select market & timeframe: Intraday on liquid symbols (equities, futures, crypto).2. Pick entry mode: * Start with Cross-and-Retest for fewer, more selective signals. * Enable Momentum Exception if strong moves leave without retesting.3. Tune guards: * Raise `volMult` to ignore thin periods; lower it for more activity. * Adjust `lookback` if retests come late/early on your symbol.4. Risk: * `atrLen` and `atrMult` set the emergency stop distance.5. Read results per session: Optional panel (if enabled) summarizes Net-R, Win%, and PF for today’s session to evaluate behavior regime by regime.⚠️ DisclaimerThis script is provided for educational purposes only.Past performance does not guarantee future results.Trading involves risk, and users should exercise caution and use proper risk management when applying this strategy.