VWAP Reversal Strategy V1

🔹 VWAP Reversal Strategy V1

by COT-Trader.com

The VWAP Reversal Strategy V1 is a selective intraday framework designed to capture structured pullbacks to VWAP after a confirmed breakout.
It focuses on quality over frequency and integrates volatility, confirmation and optional higher timeframe bias filtering.

This strategy is part of the systematic trading research published at
👉 cot-trader.com

📌 Core Concept

Markets frequently break above or below VWAP (fair value), only to retest it before continuation.

This strategy trades that sequence:

Long Setup

Price breaks above VWAP

A retest of VWAP occurs within a defined number of bars

A bullish confirmation candle forms

Optional filters align

Entry at confirmation

Short Setup
Mirrored logic below VWAP (can be disabled).

📊 Built-In Filters

To increase selectivity, the following filters can be enabled:

• Rejection wick confirmation
• Volume spike confirmation
• Minimum ATR-based distance from VWAP
• Optional H1 VWAP directional bias

All filters are configurable.

⚙ Risk Management

The strategy uses:

• ATR-based Stop Loss
• ATR-based Take Profit
• Maximum trades per day limit
• Optional session filter

The goal is consistency and controlled exposure rather than high trade frequency.

🧠 Intended Use

Designed for intraday timeframes (typically 15–30 minutes).
Works best in structured, liquid markets.

Extensive debug markers can be enabled for research purposes.

⚠ Disclaimer

This script is published for educational and research purposes only.
It does not constitute financial advice.
Always test strategies in simulation before using real capital.