VWAP Breakout Retest Trend Strategy by AIScripts
By AIScripts
Performance Metrics
- Author: AIScripts
- Symbol: NYSE:ORCL
- Timeframe: 3 minutes
- Net P&L: +72.61 USD (+0.07%)
- Win Rate: 40.4%
- Profit Factor: 1.037
- Max Drawdown: 452.54 USD (0.45%)
- Total Trades: 146
Description
Strategy IdeaThis strategy focuses on trading continuation moves that occur after price breaks away from the Volume Weighted Average Price (VWAP) and then retests it.VWAP is commonly used to represent the average traded price during a session. When price moves away from this level and later returns to it, the area can act as a dynamic support or resistance level.The script attempts to capture trend continuation when price breaks VWAP and then confirms the move with a retest.How the Strategy Works1. VWAP BreakoutThe first step is identifying when price moves above or below the VWAP line.Price crossing above VWAP suggests bullish momentum.Price crossing below VWAP suggests bearish momentum.This initial move signals potential directional interest.2. Retest ConfirmationInstead of entering immediately on the breakout, the strategy waits for price to pull back toward VWAP.This retest helps confirm whether the VWAP level is acting as support or resistance.3. Trend AlignmentTo reduce counter-trend trades, a trend filter using an exponential moving average (EMA) is applied.Price above the trend EMA favors long trades.Price below the trend EMA favors short trades.4. Risk ManagementStop-loss and take-profit levels are based on ATR (Average True Range).This allows exits to adapt to market volatility rather than using fixed distances.Key FeaturesVWAP-based market structureRetest confirmation before entryTrend filter using EMAATR-based dynamic risk managementDesigned for testing and educational purposesWhen This Strategy May Work BetterThis type of approach may perform better in:intraday trending marketsinstruments with strong liquiditysessions where price frequently reacts to VWAP levelsIt may perform less effectively during low-volatility or sideways market conditions.