VWAP Micro Pullback Entry

Entry Logic

Entry triggers on a 1-minute candle pullback to VWAP within an established 5-minute trend. Confirmation is a 1-minute candle closing above (for long) or below (for short) VWAP after the touch. Timeframe is 1-minute chart. Location context is a shallow pullback to VWAP. Market condition is strongly trending.

Exit Logic

Profit target is 1.8R. Scale out 50% at 1R. Trailing stop moves to 0.6R once 1R is hit. Signal failure is a 1-minute candle closing on the wrong side of VWAP after entry. Time expiration is 40 minutes if target not hit. Momentum loss is 3 consecutive 1-minute candles with decreasing volume in the trend direction.

Stop Loss Structure

Hard stop is 0.7R from entry price. Max dollar loss is $350 per trade. Max percent loss is 0.7% of account. Structural stop is 5 ticks beyond the low/high of the pullback candle.

Risk Management Framework

Risk per trade is 0.7% of account. Daily loss limit is 3% of account. Weekly loss limit is 7% of account. Max drawdown is 15%. R:R requirement is minimum 1.8:1.

Position Sizing Model

Sizing approach is fixed fractional. Volatility adjustment uses 1.4 ATR for stop placement. Conviction sizing is 1.4x standard size for A+ setups. Scaling in is not permitted.

Trade Filtering

Market conditions are strong, clear trends. Setups are micro pullbacks to VWAP. Instruments are liquid futures, high-beta stocks. Time restrictions are 9:30 AM to 11:30 AM EST and 1:30 PM to 3:00 PM EST. Avoid news, low-volume periods. Avoid chop.

Context Framework

Trend direction on 5-minute and 15-minute charts must be strong. VWAP relationship is price bouncing off VWAP. MA relationship is 9 EMA, 20 EMA, and 50 EMA all aligned. Range location is in the middle of a trend. Higher TF (15-minute) shows continuous movement away from VWAP.

Trade Management Rules

Move to breakeven when price moves 0.7R. Scale out 50% at 1R. Do not add size. Fast moves require quick execution and profit taking. Slow moves are not ideal for this strategy.

Time Rules

Optimal window is 9:30 AM to 11:30 AM EST and 1:30 PM to 3:00 PM EST. Avoid 12:00 PM to 1:00 PM EST. Session notes: Early market and afternoon session often have strong trends.

Setup Classification

A+ criteria: Strong 5-minute trend, shallow pullback to VWAP, strong bounce candle, high volume. A criteria: Good 5-minute trend, shallow pullback, good bounce, good volume. B criteria: Moderate trend, deeper pullback, moderate bounce, moderate volume. C criteria: Weak trend, pullback below VWAP, low volume.

Market Selection Criteria

Instruments are ES, NQ, TSLA, NVDA. Volume must be consistently high. Volatility must be high, > 1.5% of instrument value.

Statistical Edge Metrics

Win rate target is 52%. Average win is 1.8R. Average loss is 0.7R. Profit factor target is 1.9. Expectancy is 0.52 * 1.8 - 0.48 * 0.7 = 0.596.

Failure Conditions

Strategy fails if the pullback is too deep, breaking VWAP. Strategy fails if volume is low on the bounce. Strategy fails if the trend reverses after entry.

Psychological Rules

Stay focused. Execute quickly. Do not hesitate. Be disciplined with stops.

Advanced Components

Regime detection uses 20-period ADX > 30 for strong trend confirmation. Filters include no entry if previous 5-minute candle is a large reversal. Correlation with sector leadership. MTF alignment: 1-minute entry, 5-minute and 15-minute for trend strength.

Location

Strongest when the market is in a clear, sustained trend. Weakest when the market is consolidating or choppy.