What VWAP Tells You (Fast)
- Above VWAP: buyers in control; dips to VWAP are potential buys.
- Below VWAP: sellers in control; pops to VWAP are potential sells.
- Bands: distance from VWAP = “stretch.” The farther price travels, the higher the probability of mean reversion—unless it’s a true trend day.
How to Anchor VWAP
Stay consistent:
- NY Session VWAP: anchor at 09:30 ET open for RTH context.
- Globex VWAP: full session for overnight + cash blend.
- Event Anchors: FOMC, CPI, or day’s first swing after a big news spike. Pick one as your default and only switch when your playbook calls for it.
Core Setups
1) VWAP Reversion (“Back to Fair”)
Context: Balanced/rotational day, price stretches beyond bands (e.g., ±1.5–2.0).
Trigger: Exhaustion/absorption on the footprint, failed push, or reclaim back inside the band.
Stop: Just beyond the extreme (invalidate the reversal).
Targets: First VWAP, then opposite band if momentum follows.
Notes: Don’t fade strong trend days—look for failed reversion attempts to flip bias.
2) VWAP Trend/Band-Walk
Context: Initiative day; price holds one side of VWAP and “walks” the band.
Trigger: Pullback to VWAP or inner band that holds, then impulse continuation (e.g., reclaim + delta surge).
Stop: Just beyond VWAP/last pullback low (for longs).
Targets: Structure highs/lows, measured move, or trail behind the band for +2R or more.
3) VWAP Cross + Structure Retest
Context: Bias shift when price crosses VWAP with volume and confluence (POC, VAL/VAH, prior day H/L).
Trigger: Retest of VWAP/structure that holds.
Stop: Beyond invalidation level (not a round number).
Targets: Next volume node/IB high-low/2R.
Confluence That Matters
- Volume Profile: POC, VAL/VAH, single prints, low-volume voids.
- Session Levels: ONH/ONL, IB range, prior day H/L, weekly VWAP.
- Order Flow: Delta shift, absorption at bands/VWAP, iceberg prints.
- Momentum: Your chosen trigger (e.g., EMA reclaim/cross, higher low at VWAP).
Position Size (Futures-Friendly)
Risk 0.5–1% per trade.
Contracts = floor( AccountRisk $ ÷ (StopPoints × $2.00 per MNQ point) )
Example: $3,000 account, 1% risk ($30), 12-point stop → floor(30 ÷ 24) = 1 MNQ.
Execution Rules
- No adding to losers. Scale only after +1R.
- Daily max loss: 2–3R—stop trading when hit.
- Move stops with logic, not fear: trail under swing/inside band, not tick-by-tick.
- Journal R, MAE/MFE, and rule breaks. Patterns beat opinions.
30-Second VWAP Checklist
Bias vs VWAP (above/below, band-walk or rotational?)
Confluence (POC, VAL/VAH, ONH/ONL, IB)
Entry trigger (reclaim, retest, absorption, momentum)
Exact invalidation (stop) & ≥2R target
Size = formula; risk 0.5–1%
Daily max loss line set
Log the trade in R
Bottom line: VWAP is your intraday compass. Anchor consistently, trade the context (revert vs trend), and let risk rules do the heavy lifting.
Kimatix Trading — Trade the plan, not the hope.