VWAP Trend Strategy (Intraday) [KedarArc Quant]

Description:

An intraday strategy that anchors to VWAP and only trades when a local EMA trend gate and a volume participation gate are both open. It offers two entry templates—Cross and Cross-and-Retest—with an optional Momentum Exception for impulsive moves. Exits combine a TrendBreak (structure flips) with an ATR emergency stop (risk cap).
Updates will be published under this script.

Why this merits a new script

This is not a simple “VWAP + EMA + ATR” overlay. The components are sequenced as gates and branches that *change the trade set* in ways a visual mashup cannot:

1. Trend Gate first (EMA fast vs. slow on the entry timeframe)
Counter-trend VWAP crosses are suppressed. Many VWAP scripts fire on every cross; here, no entry logic even evaluates unless the trend gate is open.

2. Participation Gate second (Volume SMA × multiplier)
This gate filters thin liquidity moves around VWAP. Without it, the same visuals would produce materially more false triggers.

3. Branching entries with structure awareness
* Cross: Immediate VWAP cross in the trend direction.
* Cross-and-Retest: Requires a revisit to VWAP vicinity within a lookback window (recent low near VWAP for longs; recent high for shorts). This explicitly removes first-touch fakeouts that a plain cross takes.
* Momentum Exception (optional): A quantified body% + volume condition can bypass the retest when flow is impulsive—intentional risk-timing, not “just another indicator.”

4. Dual exits that reference both anchor and structure
* TrendBreak: Close only when price loses VWAP and EMA alignment flips.
* ATR stop: Placed at entry to cap tail risk.
These exits complement the entry structure rather than being generic stop/target add-ons.

What it does

* Trades the session’s fair value anchor (VWAP), but only with local-trend agreement (EMA fast vs. slow) and sufficient participation (volume filter).

* Lets you pick Cross or Cross-and-Retest entries; optionally allow a fast Momentum Exception when candles expand with volume.

* Manages positions with a structure exit (TrendBreak) and an emergency ATR stop from entry.

How it works (concepts & calculations)

* VWAP (session anchor):
Standard VWAP of the active session; entries reference the cross and the retest proximity to VWAP.

* Trend gate:
Long context only if `EMA(fast) > EMA(slow)`; short only if `EMA(fast) < EMA(slow)`.
A *gate*, not a trigger—entries aren’t considered unless this is true.

* Participation (volume) gate:
Require `volume > SMA(volume, volLen) × volMult`.
Screens out low-participation wiggles around VWAP.

Entries:
* Cross: Price crosses VWAP in the trend direction while volume gate is open.
* Cross-and-Retest: After crossing, price revisits VWAP vicinity within `lookback` (recent *low near VWAP* for longs; recent *high near VWAP* for shorts).
* Momentum Exception (optional): If body% (|close−open| / range) and volume exceed thresholds, enter without waiting for the retest.

Exits:
* TrendBreak (structure):
* Longs close when `price < VWAP` and `EMA(fast) < EMA(slow)` (mirror for shorts).
* ATR stop (risk):
* From entry: `stop = entry ± ATR(atrLen) × atrMult`.

How to use it ?

1. Select market & timeframe: Intraday on liquid symbols (equities, futures, crypto).
2. Pick entry mode:
* Start with Cross-and-Retest for fewer, more selective signals.
* Enable Momentum Exception if strong moves leave without retesting.
3. Tune guards:
* Raise `volMult` to ignore thin periods; lower it for more activity.
* Adjust `lookback` if retests come late/early on your symbol.
4. Risk:
* `atrLen` and `atrMult` set the emergency stop distance.
5. Read results per session: Optional panel (if enabled) summarizes Net-R, Win%, and PF for today’s session to evaluate
behavior regime by regime.


⚠️ Disclaimer
This script is provided for educational purposes only.
Past performance does not guarantee future results.
Trading involves risk, and users should exercise caution and use proper risk management when applying this strategy.