VWAP Pre-Market Level Extension

Entry Logic

Entry triggers on a retest of a pre-market high or low that aligns with VWAP. Confirmation is a 1-minute candle close above (for long) or below (for short) the VWAP. Timeframe is 1-minute chart. Location context is the first touch of the pre-market level after market open. Market condition is trending or opening range expansion.

Exit Logic

Profit target is 1.5R. Scale out 50% at 1R. Trailing stop moves to 0.5R once 1R is hit. Signal failure is a 1-minute candle close on the wrong side of VWAP after entry. Time expiration is 30 minutes if target not hit. Momentum loss is 3 consecutive 1-minute candles with decreasing volume in the direction of the trade.

Stop Loss Structure

Hard stop is 0.5R from entry price. Max dollar loss is $250 per trade. Max percent loss is 0.5% of account. Structural stop is 5 ticks beyond the VWAP on the opposite side of the trade.

Risk Management Framework

Risk per trade is 0.5% of account. Daily loss limit is 2% of account. Weekly loss limit is 5% of account. Max drawdown is 10%. R:R requirement is minimum 1.5:1.

Position Sizing Model

Sizing approach is fixed fractional. Volatility adjustment uses 1 ATR for stop placement. Conviction sizing is 1.5x standard size for A+ setups. Scaling in is not permitted.

Trade Filtering

Market conditions are trending markets, clear direction. Setups are pre-market high/low breaks. Instruments are high-volume ETFs, large-cap stocks. Time restrictions are 9:30 AM to 10:30 AM EST. Avoid news events. Avoid chop by looking for 15-minute ATR > $0.50.

Context Framework

Trend direction is aligned with pre-market break. VWAP relationship is price retesting VWAP at the pre-market level. MA relationship is price above 9 EMA for long, below for short. Range location is outside the opening range. Higher TF (5-minute) shows clear direction.

Trade Management Rules

Move to breakeven when price moves 0.5R. Scale out 50% at 1R. Do not add size. Fast moves allow for quicker scale out. Slow moves require stricter trailing stop.

Time Rules

Optimal window is 9:30 AM to 10:30 AM EST. Avoid 12:00 PM to 1:00 PM EST. Session notes: First hour volatility is key.

Setup Classification

A+ criteria: VWAP aligned with pre-market level, high volume, strong 5-minute candle. A criteria: VWAP near pre-market level, good volume. B criteria: VWAP close to level, moderate volume. C criteria: VWAP not perfectly aligned, low volume.

Market Selection Criteria

Instruments are SPY, QQQ, AAPL, MSFT. Volume must be > 500,000 shares in first 15 minutes. Volatility must be > $0.50 15-minute ATR.

Statistical Edge Metrics

Win rate target is 55%. Average win is 1.5R. Average loss is 0.5R. Profit factor target is 1.65. Expectancy is 0.55 * 1.5 - 0.45 * 0.5 = 0.5.

Failure Conditions

Strategy fails if price chops around VWAP for more than 10 minutes. Strategy fails if volume is consistently low. Strategy fails if a major news event occurs.

Psychological Rules

Maintain discipline. Stick to the plan. Do not chase trades. Accept losses.

Advanced Components

Regime detection uses 20-period ADX > 25 for trend confirmation. Filters include no entry if 5-minute candle is a doji. Correlation with S&P 500 futures for overall market direction. MTF alignment: 1-minute entry, 5-minute context.

Location

Strongest when pre-market level is a significant swing high/low. Weakest when pre-market level is a minor consolidation.