NY Session Trend Retest Strategy by itzkarmakyo
By itzkarmakyo
Performance Metrics
- Author: itzkarmakyo
- Symbol: CME_MINI:MNQ1!
- Timeframe: 1 minute
- Net P&L: +9,812.00 USD (+4.91%)
- Win Rate: 43.5%
- Profit Factor: 3.182
- Max Drawdown: 926.00 USD (0.46%)
- Total Trades: 108
Description
A Session-based trend continuation and breakout system built around the relationship between:* Higher timeframe trend* Anchored VWAP* Premarket structure* EMA positioning* Session liquidity behaviorIt’s essentially a **hybrid momentum + mean reversion framework** designed for intraday futures trading, especially instruments like:* NQ / MNQ* ES / MES* Gold / MGCwhere intraday institutional flow around VWAP and session highs/lows matters heavily.---# Core Strategy ConceptThe strategy attempts to align trades with:1. Higher timeframe directional bias2. Intraday institutional positioning via Anchored VWAP3. Session expansion away from equilibrium4. Liquidity reactions at key levelsInstead of blindly buying/selling crossovers, it tries to enter only when price interacts with important session reference points while the broader trend is already established.---# Higher Timeframe Trend FilterThe backbone of the system is a higher timeframe EMA trend filter.```textPrice above HTF EMA = bullish environmentPrice below HTF EMA = bearish environment```This prevents counter-trend trades during strong directional sessions and keeps the strategy aligned with broader market structure.The idea is:* buy pullbacks in bullish regimes* short rallies in bearish regimesrather than constantly fading momentum.---# Anchored VWAP LogicThe anchored VWAP resets every trading session and acts as the strategy’s institutional equilibrium level.This is one of the most important parts of the system because it determines:* directional bias* entry location* trade quality* exit behavior* market regime conditionsThe strategy treats VWAP as:* support in bullish sessions* resistance in bearish sessionsand uses it to detect whether the market is:* trending* balanced* compressed* expanding---# Entry SystemsYour strategy has three independent entry models.---## 1. VWAP Retest EntriesThese are trend continuation entries.### Long setup:* price retests VWAP* closes back above VWAP* HTF trend is bullish### Short setup:* price retests VWAP* closes back below VWAP* HTF trend is bearishThis attempts to capture:> institutional continuation after equilibrium retestsThese are generally your highest-quality trend entries.---## 2. Premarket Breakout EntriesThis is your expansion model.The strategy tracks:* premarket high* premarket lowThen enters when price either:* closes beyond those levels OR* retests them successfullydepending on the selected breakout mode.This captures:* opening drive momentum* liquidity sweeps* range expansion after overnight consolidation---## 3. EMA Retest EntriesThese are secondary trend continuation entries using a faster EMA.They allow entries during:* shallow pullbacks* momentum continuation* trending intraday conditionswithout requiring full VWAP interaction.---# VWAP Regime FilterOne of the more advanced components is your VWAP regime filter.This prevents trades during:* flat VWAP conditions* compressed price action* low expansion environmentsThe filter measures:1. VWAP slope2. Compression rangeand blocks entries when the market lacks directional intent.This is important because most intraday losses come from:* sideways VWAP chop* low volatility rotations* fake breakouts during equilibriumThe filter attempts to avoid those environments entirely.---# Exit LogicYour exit system is adaptive rather than fixed.---## Standard EMA ExitNormally trades exit when candle bodies close aggressively across the exit EMA.This acts as:* trend failure detection* momentum loss confirmationrather than a static take-profit.---## VWAP Exit OverrideThis is one of the more unique parts of the strategy.If a trade enters:* below the exit EMA on longs OR* above the exit EMA on shortsthe strategy temporarily ignores EMA exits.Instead, it switches to VWAP-based exits until:* price recovers back into profit* reclaims trend structureThis prevents:* premature exits* weak-entry shakeouts* breakout trades getting cut immediatelyIt is especially useful for:* PM breakout entries* volatility expansion trades* reclaim setups---# Partial Profit TakingThe strategy scales out at:* premarket highs/lows* intraday highs/lowsThis allows:* partial realization into liquidity* reduced emotional volatility* better trade management during expansion---# Breakeven LogicAfter partial profit is taken:* stops move to breakevenThis creates:* asymmetric risk* free-trade conditions* better protection during reversalswhile still allowing runners to continue.---# Trade Cooldown SystemAfter a trade closes, the strategy waits a configurable amount of time before allowing another entry.This helps avoid:* revenge trading behavior* chop reentries* overtrading during consolidationsespecially during:* midday conditions* failed breakout clusters* post-news volatility compression---# Session-Based DesignThe strategy is heavily session-aware.It distinguishes between:* premarket activity* NY regular trading hours* session transitionsand resets important calculations daily.This makes it much more tailored for futures markets than generic indicator systems.---# Overall Trading PhilosophyThe strategy is fundamentally trying to trade:> directional expansion away from institutional equilibriumwhile avoiding:* flat VWAP environments* low volatility compression* weak counter-trend conditionsIt combines:* trend following* liquidity trading* session structure* VWAP mean reversion concepts* breakout continuation behaviorinto a single adaptive framework.