SMB Fashionably Late Scalp (9EMA x VWAP)
SMB "Fashionably Late Scalp" (9 EMA × VWAP) — backtest & study tool
WHAT THIS IS
An open, fully tunable Pine v5 strategy implementation of the "Fashionably Late
Scalp," a 9-EMA-crosses-VWAP intraday setup published by SMB Capital. It is built
for honest backtesting and study of the setup's mechanics — not as a turnkey
profitable system (see "Honest notes on performance" below).
THE SETUP (long; short is the mirror)
1. Divergence — a sustained move separates the 9 EMA from the session VWAP.
2. The Turn — price puts in a distinct low of the day, then starts back up.
3. Convergence — the 9 EMA rises back and crosses VWAP. That cross is the trigger.
Entry: an up-sloping 9 EMA crossing a flat-to-downsloping VWAP (mirror for shorts).
Stop: 1/3 of the distance from VWAP to the low of day.
Target: a measured move — low-of-day to the cross, projected the same distance
beyond the cross.
TWO ENTRY MODES
• Anticipate cross (stop order) [default]: TradingView can normally only act on the
bar AFTER a cross. Because the EMA's next value is deterministic in price
(EMA_next = α·P + (1−α)·EMA_now), the script solves for the exact price P that
makes the 9 EMA meet VWAP and rests a stop order there — so it fills AT the cross,
intrabar. Non-repainting: the trigger is fixed on the closed bar and refreshed
each bar.
• React next bar open (market): conventional market entry on the confirmed cross
(fills one candle late). Kept for A/B comparison.
Note: the anticipatory trigger sits above VWAP by ~4× the EMA-to-VWAP gap (9-EMA
algebra), so the further the EMA lags VWAP at entry, the higher the fill and the
lower the realized reward:risk. A "Minimum reward:risk" input — measured from the
actual fill, not from VWAP — bounds this.
KEY INPUTS
• EMA length; separate EMA & VWAP slope lookbacks/thresholds (VWAP uses a longer
lookback so "flat-to-downsloping" reflects the day's posture, not a 1-bar wiggle)
• Stop fraction, stop-anchor mode, cross-price mode, minimum reward:risk
• "The turn" requirement, re-entry cooldown, long/short toggles
• Optional filters: ideal EST session windows (10:00–10:45 / 10:46–13:30), a
>15-minute EMA-flat veto, and a volume-confirmation filter
• A signal-funnel table (top-right) showing how many crosses survive each gate, so
you can see exactly what is or isn't triggering
REQUIREMENTS & BEHAVIOR
• Needs a volume-bearing instrument (stocks/futures). On symbols without real
volume the session VWAP is undefined and the script stops with a message.
• Session VWAP and the low/high of day share one daily anchor, so they reset
together across RTH/ETH/24h charts.
• Signals evaluate on closed bars; no lookahead. Set realistic commission and
slippage in the Strategy Properties before drawing any conclusions.
HONEST NOTES ON PERFORMANCE
The source cites roughly a 60% win rate at ~3:1 reward:risk. Those numbers come
from a discretionary playbook, and in my own testing this mechanical version does
NOT reproduce them — it is not reliably profitable out of the box. That is
expected: the original depends on trader judgment this code cannot encode
(selecting "in-play" names, reading the speed/quality of the turn, position sizing,
skipping messy tape), and scalping costs erode a thin edge quickly. Treat this as a
faithful study/backtest harness for the mechanics and a base to experiment on — not
a signal to trade live. Nothing here is financial advice; test and manage your own
risk.
CREDITS
Setup concept: SMB Capital ("The Fashionably Late Scalp," public cheat sheet).
Pine v5 implementation, the anticipatory-cross entry, and the diagnostics are mine.
WHAT THIS IS
An open, fully tunable Pine v5 strategy implementation of the "Fashionably Late
Scalp," a 9-EMA-crosses-VWAP intraday setup published by SMB Capital. It is built
for honest backtesting and study of the setup's mechanics — not as a turnkey
profitable system (see "Honest notes on performance" below).
THE SETUP (long; short is the mirror)
1. Divergence — a sustained move separates the 9 EMA from the session VWAP.
2. The Turn — price puts in a distinct low of the day, then starts back up.
3. Convergence — the 9 EMA rises back and crosses VWAP. That cross is the trigger.
Entry: an up-sloping 9 EMA crossing a flat-to-downsloping VWAP (mirror for shorts).
Stop: 1/3 of the distance from VWAP to the low of day.
Target: a measured move — low-of-day to the cross, projected the same distance
beyond the cross.
TWO ENTRY MODES
• Anticipate cross (stop order) [default]: TradingView can normally only act on the
bar AFTER a cross. Because the EMA's next value is deterministic in price
(EMA_next = α·P + (1−α)·EMA_now), the script solves for the exact price P that
makes the 9 EMA meet VWAP and rests a stop order there — so it fills AT the cross,
intrabar. Non-repainting: the trigger is fixed on the closed bar and refreshed
each bar.
• React next bar open (market): conventional market entry on the confirmed cross
(fills one candle late). Kept for A/B comparison.
Note: the anticipatory trigger sits above VWAP by ~4× the EMA-to-VWAP gap (9-EMA
algebra), so the further the EMA lags VWAP at entry, the higher the fill and the
lower the realized reward:risk. A "Minimum reward:risk" input — measured from the
actual fill, not from VWAP — bounds this.
KEY INPUTS
• EMA length; separate EMA & VWAP slope lookbacks/thresholds (VWAP uses a longer
lookback so "flat-to-downsloping" reflects the day's posture, not a 1-bar wiggle)
• Stop fraction, stop-anchor mode, cross-price mode, minimum reward:risk
• "The turn" requirement, re-entry cooldown, long/short toggles
• Optional filters: ideal EST session windows (10:00–10:45 / 10:46–13:30), a
>15-minute EMA-flat veto, and a volume-confirmation filter
• A signal-funnel table (top-right) showing how many crosses survive each gate, so
you can see exactly what is or isn't triggering
REQUIREMENTS & BEHAVIOR
• Needs a volume-bearing instrument (stocks/futures). On symbols without real
volume the session VWAP is undefined and the script stops with a message.
• Session VWAP and the low/high of day share one daily anchor, so they reset
together across RTH/ETH/24h charts.
• Signals evaluate on closed bars; no lookahead. Set realistic commission and
slippage in the Strategy Properties before drawing any conclusions.
HONEST NOTES ON PERFORMANCE
The source cites roughly a 60% win rate at ~3:1 reward:risk. Those numbers come
from a discretionary playbook, and in my own testing this mechanical version does
NOT reproduce them — it is not reliably profitable out of the box. That is
expected: the original depends on trader judgment this code cannot encode
(selecting "in-play" names, reading the speed/quality of the turn, position sizing,
skipping messy tape), and scalping costs erode a thin edge quickly. Treat this as a
faithful study/backtest harness for the mechanics and a base to experiment on — not
a signal to trade live. Nothing here is financial advice; test and manage your own
risk.
CREDITS
Setup concept: SMB Capital ("The Fashionably Late Scalp," public cheat sheet).
Pine v5 implementation, the anticipatory-cross entry, and the diagnostics are mine.
Thông báo miễn trừ trách nhiệm
Thông tin và các ấn phẩm này không nhằm mục đích, và không cấu thành, lời khuyên hoặc khuyến nghị về tài chính, đầu tư, giao dịch hay các loại khác do TradingView cung cấp hoặc xác nhận. Đọc thêm tại Điều khoản Sử dụng.
Thông báo miễn trừ trách nhiệm
Thông tin và các ấn phẩm này không nhằm mục đích, và không cấu thành, lời khuyên hoặc khuyến nghị về tài chính, đầu tư, giao dịch hay các loại khác do TradingView cung cấp hoặc xác nhận. Đọc thêm tại Điều khoản Sử dụng.