VWAP Strategy Lab: 4 Setups + Prop Test [forexobroker]
VWAP Strategy Lab: 4 Setups + Prop Test [forexobroker]
🔶 OVERVIEW
VWAP Strategy Lab trades the four VWAP setups traders use most, side by side on the same chart, and logs every trade of each one: the first-touch bounce, the break and retest, the band reversion and the anchored VWAP. One table compares them over the same days, splits every result into calm and choppy sessions, and runs a prop firm style challenge on the setup you draw, so you can see on your own chart which setup actually holds up.
🔶 HOW IT WORKS
1. The VWAP. The session VWAP of hlc3 (TradingView's default anchor: a new line every trading day) with bands at +/- 2 standard deviations. A new session starts a new line.
2. The anchored VWAPs. Two more lines anchored at the bar of the previous session's high (orange) and the previous session's low (blue).
3. A. First-touch bounce. Price has closed on one side of the VWAP for at least 12 candles of the session (one hour on a 5-minute chart). The first candle that touches the VWAP and closes back on that side is the entry. Stop beyond that candle (0.1 ATR past it, at least 0.25 ATR), target 2R. Only the first touch counts; a close through the line starts the count again.
4. B. Break and retest. After at least 12 closes on one side, price closes through the VWAP: the break. Within 12 candles a candle touches the VWAP from the new side and closes away from it: the retest and the entry. A close back through the line before the retest cancels the break. Stop beyond the retest candle, target 2R.
5. C. Band reversion. A close outside a band, then the first close back inside it: a trade against the stretch. Target = the VWAP at entry, stop beyond the furthest point of the stretch.
6. D. Anchored VWAP. Price has closed above the low-anchored line for 12 candles; the first touch that closes back above it is a buy. The mirror at the high-anchored line is a sell. Stop and target as in A.
Every trade is checked on closed candles: the stop counts first when one candle touches both the stop and the target, a gap through the stop exits at the open, and a trade still open when the session ends closes at the next session's first price. Results are in R (move / risk). One trade per setup at a time.
🔶 THE TABLE
For each setup: trades, wins, total R, average R, the worst losing run, and the total R split into calm and choppy sessions. Choppy sessions are the top 25 % of the chart's sessions by how many times the close crossed the VWAP (the threshold is measured on your chart and printed under the table). The comparison window is everything the chart has loaded by default, the same days for all four setups; it can also be set to the days of one setup's last N trades.
Note on the chop split: a session is known to be choppy only after it ends, so the split shows where a setup made or lost its R, not a filter you could apply in real time.
🔶 PROP CHALLENGE COUNTER
Every trade of the drawn setup inside the window is used once as a starting point. From there each trade is worth its result times the risk per trade (1 % of the starting balance by default). Passed = the profit target (+10 %) is reached first; failed = the daily loss limit (closed trades of one UTC day, -5 %) or the total loss limit (-10 %) is reached first; unfinished = neither yet. The table prints passed, failed and unfinished out of all starts. All four limits are inputs.
NON-REPAINTING: every entry, exit and result is evaluated on barstate.isconfirmed; there is no request.security and no lookahead.
🔶 SETTINGS
Show
- Which setup is drawn (all four are always logged).
VWAP
- Band width in standard deviations (2), show the bands, show the anchored VWAPs.
Setup rules
- Bars on one side before a setup counts (12), bars allowed for the retest (12).
Stop and target
- Target for A, B and D (2R), stop beyond the candle (0.1 ATR), minimum stop (0.25 ATR), ATR length (14), close open trades at the session end.
Comparison window, chop and table
- Window (everything loaded, or the last N trades of one setup), N (100), choppy sessions (top 25 %), table position and size.
Prop challenge
- Risk per trade (1 %), profit target (10 %), daily loss limit (5 %), total loss limit (10 %).
Visual
- Colours, labels, trades kept on the chart.
🔶 ALERTS
Four alertcondition hooks, one per setup. With JSON alerts on, every entry of the drawn setup also fires an alert() once per bar close with a JSON body (action, setup, ticker, timeframe, entry, stop, target).
🔶 LIMITATIONS
- The VWAP needs volume. On forex and CFD symbols TradingView provides tick volume (the number of price changes), which is what the script uses there; on a symbol without volume the table says so and no setup trades.
- Results depend on the market, the timeframe and the settings; the table shows them on your own chart, losses included.
- Results in the table are the script's own rules applied to closed candles: no spread, no commission, no slippage, and the stop is counted before the target on a candle that touches both.
- The prop challenge counter uses closed trades only; a real challenge also counts open losses.
- This is an analysis tool, not financial advice, and past performance does not guarantee future results. Test on your own market and timeframe before relying on any signal.
🔶 OVERVIEW
VWAP Strategy Lab trades the four VWAP setups traders use most, side by side on the same chart, and logs every trade of each one: the first-touch bounce, the break and retest, the band reversion and the anchored VWAP. One table compares them over the same days, splits every result into calm and choppy sessions, and runs a prop firm style challenge on the setup you draw, so you can see on your own chart which setup actually holds up.
🔶 HOW IT WORKS
1. The VWAP. The session VWAP of hlc3 (TradingView's default anchor: a new line every trading day) with bands at +/- 2 standard deviations. A new session starts a new line.
2. The anchored VWAPs. Two more lines anchored at the bar of the previous session's high (orange) and the previous session's low (blue).
3. A. First-touch bounce. Price has closed on one side of the VWAP for at least 12 candles of the session (one hour on a 5-minute chart). The first candle that touches the VWAP and closes back on that side is the entry. Stop beyond that candle (0.1 ATR past it, at least 0.25 ATR), target 2R. Only the first touch counts; a close through the line starts the count again.
4. B. Break and retest. After at least 12 closes on one side, price closes through the VWAP: the break. Within 12 candles a candle touches the VWAP from the new side and closes away from it: the retest and the entry. A close back through the line before the retest cancels the break. Stop beyond the retest candle, target 2R.
5. C. Band reversion. A close outside a band, then the first close back inside it: a trade against the stretch. Target = the VWAP at entry, stop beyond the furthest point of the stretch.
6. D. Anchored VWAP. Price has closed above the low-anchored line for 12 candles; the first touch that closes back above it is a buy. The mirror at the high-anchored line is a sell. Stop and target as in A.
Every trade is checked on closed candles: the stop counts first when one candle touches both the stop and the target, a gap through the stop exits at the open, and a trade still open when the session ends closes at the next session's first price. Results are in R (move / risk). One trade per setup at a time.
🔶 THE TABLE
For each setup: trades, wins, total R, average R, the worst losing run, and the total R split into calm and choppy sessions. Choppy sessions are the top 25 % of the chart's sessions by how many times the close crossed the VWAP (the threshold is measured on your chart and printed under the table). The comparison window is everything the chart has loaded by default, the same days for all four setups; it can also be set to the days of one setup's last N trades.
Note on the chop split: a session is known to be choppy only after it ends, so the split shows where a setup made or lost its R, not a filter you could apply in real time.
🔶 PROP CHALLENGE COUNTER
Every trade of the drawn setup inside the window is used once as a starting point. From there each trade is worth its result times the risk per trade (1 % of the starting balance by default). Passed = the profit target (+10 %) is reached first; failed = the daily loss limit (closed trades of one UTC day, -5 %) or the total loss limit (-10 %) is reached first; unfinished = neither yet. The table prints passed, failed and unfinished out of all starts. All four limits are inputs.
NON-REPAINTING: every entry, exit and result is evaluated on barstate.isconfirmed; there is no request.security and no lookahead.
🔶 SETTINGS
Show
- Which setup is drawn (all four are always logged).
VWAP
- Band width in standard deviations (2), show the bands, show the anchored VWAPs.
Setup rules
- Bars on one side before a setup counts (12), bars allowed for the retest (12).
Stop and target
- Target for A, B and D (2R), stop beyond the candle (0.1 ATR), minimum stop (0.25 ATR), ATR length (14), close open trades at the session end.
Comparison window, chop and table
- Window (everything loaded, or the last N trades of one setup), N (100), choppy sessions (top 25 %), table position and size.
Prop challenge
- Risk per trade (1 %), profit target (10 %), daily loss limit (5 %), total loss limit (10 %).
Visual
- Colours, labels, trades kept on the chart.
🔶 ALERTS
Four alertcondition hooks, one per setup. With JSON alerts on, every entry of the drawn setup also fires an alert() once per bar close with a JSON body (action, setup, ticker, timeframe, entry, stop, target).
🔶 LIMITATIONS
- The VWAP needs volume. On forex and CFD symbols TradingView provides tick volume (the number of price changes), which is what the script uses there; on a symbol without volume the table says so and no setup trades.
- Results depend on the market, the timeframe and the settings; the table shows them on your own chart, losses included.
- Results in the table are the script's own rules applied to closed candles: no spread, no commission, no slippage, and the stop is counted before the target on a candle that touches both.
- The prop challenge counter uses closed trades only; a real challenge also counts open losses.
- This is an analysis tool, not financial advice, and past performance does not guarantee future results. Test on your own market and timeframe before relying on any signal.
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All scripts & content provided by KestutisDigital are for informational & educational purposes only.
🔵Join our free telegram for updates: t.me/algotradingedge
All scripts & content provided by KestutisDigital are for informational & educational purposes only.
Exención de responsabilidad
La información y las publicaciones no constituyen, ni deben considerarse como, asesoramiento o recomendaciones financieras, de inversión, de trading u otro tipo, proporcionadas o respaldadas por TradingView. Obtenga más información en Condiciones de uso.
🔵Gain access to our powerful tools: kestutisbalciunas.com/tradingview/
🔵Join our free telegram for updates: t.me/algotradingedge
All scripts & content provided by KestutisDigital are for informational & educational purposes only.
🔵Join our free telegram for updates: t.me/algotradingedge
All scripts & content provided by KestutisDigital are for informational & educational purposes only.
Exención de responsabilidad
La información y las publicaciones no constituyen, ni deben considerarse como, asesoramiento o recomendaciones financieras, de inversión, de trading u otro tipo, proporcionadas o respaldadas por TradingView. Obtenga más información en Condiciones de uso.