VWAP Pine Script Strategy for Futures

Why VWAP suits prop firm trading

Most evaluation accounts carry a drawdown limit that punishes random, low-conviction entries and rewards a clearly defined edge. VWAP fits that requirement for three reasons:

1. High-probability reversion. Price that dips below VWAP during a bullish session tends to reclaim it within the same session — a bias-confirmed entry with a specific, measurable stop.
2. Clean risk definition. The stop sits below the reclaim candle's low, or below VWAP itself — a technical level, not an arbitrary tick count that ignores current volatility.
3. Institutional alignment. The entry sits where large participants are also transacting, which puts the trade in line with real order flow rather than against it.

The VWAP reclaim setup

1. Price opens above VWAP, establishing a bullish session bias
2. Price dips below VWAP in the first 30–60 minutes of RTH
3. Price closes back above VWAP on a confirmed bar
4. Long entry fires on the next bar's open
5. Stop sits below the reclaim candle's low
6. Target sits at roughly 1.5–2x the risk

In Pine Script, the entry condition combines three checks:

• close[1] < vwap[1] — the previous bar closed below VWAP
• close > vwap — the current bar closed back above it
• barstate.isconfirmed — the bar is fully closed, not repainting mid-candle

Complete VWAP reclaim strategy — Pine Script

Drop this into TradingView on a 1- or 3-minute MNQ or MES chart. Inputs default to a 50k Apex evaluation ($2,500 trail) — adjust dailyLossLimit to match a different firm's rules.

//@version=5
strategy("VWAP Reclaim — Prop Firm", overlay = true,
     default_qty_type = strategy.fixed, default_qty_value = 1)

// ── inputs ───────────────────────────────────────────────────────────
dailyLossLimit = input.float(800.0, "Daily Loss Limit ($)")
atrMult        = input.float(0.8,   "ATR Stop Multiplier")
rrRatio        = input.float(1.5,   "Reward:Risk Ratio")

// ── session filter: 9:30–11:00 ET ───────────────────────────────────
inSession = not na(time("1", "0930-1100:23456", "America/New_York"))

// ── daily P&L tracking ────────────────────────────────────────────────
isNewSession        = ta.change(time("D")) != 0
var float dayOpenEq = na
dayOpenEq          := isNewSession ? strategy.equity : dayOpenEq
dailyPnl            = strategy.equity - nz(dayOpenEq, strategy.equity)
tradingHalted        = dailyPnl <= -dailyLossLimit

// ── VWAP reclaim conditions ──────────────────────────────────────────
vwapVal = ta.vwap(hlc3)
atrVal  = ta.atr(14)
volOk   = volume > ta.sma(volume, 20)

longCond  = close[1] < vwapVal[1] and close > vwapVal and barstate.isconfirmed and volOk
shortCond = close[1] > vwapVal[1] and close < vwapVal and barstate.isconfirmed and volOk

if longCond and inSession and not tradingHalted and strategy.position_size == 0
    stopDist = atrMult * atrVal
    strategy.entry("L", strategy.long)
    strategy.exit("L-x", "L", profit = stopDist * rrRatio / syminfo.mintick,
                              loss   = stopDist / syminfo.mintick)

if shortCond and inSession and not tradingHalted and strategy.position_size == 0
    stopDist = atrMult * atrVal
    strategy.entry("S", strategy.short)
    strategy.exit("S-x", "S", profit = stopDist * rrRatio / syminfo.mintick,
                              loss   = stopDist / syminfo.mintick)

// ── EOD / Friday flatten ─────────────────────────────────────────────
eodWindow = not na(time("1", "1530-1600:23456", "America/New_York")) or
            (dayofweek == dayofweek.friday and
             not na(time("1", "1500-1601:6", "America/New_York")))
if eodWindow and strategy.position_size != 0
    strategy.close_all("EOD Flat")

Built-in VWAP vs. a custom anchor

TradingView's ta.vwap is session-anchored by default and resets at the RTH open — sufficient for most evaluation strategies. For more specific use cases, VWAP can be anchored elsewhere:

VWAP bands for stop and target sizing

Standard-deviation bands around VWAP — the same underlying math as Bollinger Bands, anchored to the session's cumulative mean instead — give a volatility-adjusted stop and target that scale with the current session rather than a fixed tick distance.

• 1st standard deviation: the normal noise zone — price here is simply consolidating near VWAP
• 2nd standard deviation: an extension zone — price this stretched relative to session flow makes a reversion trade a stronger technical bet

When a reclaim fires with price near the 2nd standard deviation below VWAP, the risk/reward improves meaningfully — a technically stronger entry with a larger realistic target (back to VWAP or the 1st band) relative to the stop.

Session anchoring: NQ vs. ES

NQ and ES behave differently around VWAP due to their composition:

• NQ reclaims tend to happen faster with less pullback, which argues for a slightly more aggressive entry
• ES setups are more orderly — the dip is often shallower and the reclaim more gradual
• NQ's strongest reclaim window is roughly 9:30–10:15 AM ET; after that, continuation setups tend to outperform reversion
• ES's VWAP setups stay valid through noon ET on most sessions

Adding a volume confirmation filter

The most common failure mode for a VWAP reclaim is entering on a thin, low-volume cross that doesn't hold. Requiring the reclaim bar's volume to exceed its 20-bar average (volume > ta.sma(volume, 20)) confirms real participation behind the move rather than noise.

Risk sizing on a prop firm account

Because a VWAP reclaim stop sits below a specific candle rather than a fixed distance, stop size varies day to day — 25 points on a volatile NQ session, 8 points on a quiet one. Using ATR keeps risk proportional:

• Calculate atrVal = ta.atr(14)
• Skip the trade if the entry-to-stop distance exceeds roughly 1.5x atrVal — the reclaim candle is unusually large relative to normal range

Short-side VWAP rejection

The inverse setup works the same way: price sits below VWAP, bounces up to touch it, then gets rejected back down. Short entry fires on the close below VWAP after the failed reclaim attempt — the bearish mirror of the long setup, and a strong performer on trend-down days.

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