VWAP 5 MIN Scalp Strategy - Need Back Testing Help

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willohara131

New member
VIP
I've been trading this strategy for a about 2 months and just was curious on back testing the strategy to see results. It has worked pretty well since I've been using it. I normally get stopped on spike in volatility or news. I also use RSI for spotting divergence that helps confirm setups for high probability trades.

5 Min Chart /ES
Short Rules: If price is below the VWAP & Below 200 SMA, then when price touches VWAP enter short position with STOP 0.50 points above the ATR. Profit Target 1.5 points.
Long Rules: If Price is above VWAP & Above 200 SMA, then when touches VWAP enter long position with stop 0.50 points above ATR. Profit Target 1.5 Points.

Thanks,
 
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adii800

Member
I may not have time to backtest, but I have a suggestion for your strat.
You could also implement the slope of the 200 SMA into your trading strategy as to avoid false signals given off by a choppy market.
For example, including the clause of Slope of 200 SMA > 0 ie having a positive slope.

Here is the free code for the slope the SMA from https://tickertape.tdameritrade.com...average-thinkscript-stock-momentum-tool-15190:

Code:
 declare lower;
input length = 20;
input price = close;
input averageType = AverageType. SIMPLE;
def avg = MovingAverage(averageType, price, length);
def height = avg - avg[1];
plot “Angle, deg” = Atan(height/length) * 180 / Double.Pi;
“Angle, deg”.AssignValueColor (if “Angle, deg” >=0 then color.ORANGE else color.BLUE);
:)
 
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willohara131

New member
VIP
Interesting, thanks for the help. I find that the first move to the VWAP after it has been trading away above/below the VWAP for a period of time. I trade the first touch into that level. If its chopping back and forth I don't trade the chop or retests. I will attach an example from yesterdays trading. Again the idea is a small scalp for 1-1.5 pts in ES and leave a runner on STOP BE after 1.5 target. Highest Probability setup's when VWAP and 200 SMA are very close together, + RSI Divergence for even better opportunity to support/resis. I like to see cleaner price movement into that VWAP Area, not giant vol spikes.

Attached area the Area's of the 2 trades I took on Friday. 1st area RSI Divergence, VWAP close to 200 SMA almost got stopped out ATR was 4.7 entered short at 24 even bar went to 28.5 (4.5 pts) stop was 0.50 over ATR 5.25 pts. Hit 1.5 pts Target and left runner closed at PERSONS Pivot S1 3016.5 + 7.5 pts on runner.

2nd Trade - Spike into VWAP Persons Pivot S1 Resistance - Short 3017 Hit 1st Target 1.5 pts left runner and took profit at 11.5 small swing high from prior 20 min of trading. +5.5 pts on runner.

I took off early on Friday so I did not trade the next 2 moves into the VWAP below the 200 I would have been stopped out on both with the big VOL spikes. Although when I see huge volatility spikes on 5 min bar I tend not to enter those trades.

I'm trying to refine the strategy as the big VOL moves is where I get stopped out news etc.

I think maybe an additional rule would be only enter trade if the difference between VWAP Value and 200 SMA is <= ATR + 0.50?? That may give the probability of the setup much better chance as additional Resistance of the 200 SMA could help

 
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adii800

Member
Hmm, RSI divergence must increase the probability a bit.

btw, my access is denied for the drive link you attached ://

If you want, you can just tell me the time (EST) for yesterday's trading on ES, I can take a look.
 
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jwp

New member
@willohara131, on the screenshot you posted. What is the name of the study you are using, that shows the Green and red shaded areas?
 
S

soary

Member
@willohara131, on the screenshot you posted. What is the name of the study you are using, that shows the Green and red shaded areas?

I could be wrong but it looks like parabolic sar with cloud user input on
 

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