5. VWAP Trend Day Ride

Entry Logic

Entry triggers on a retest of VWAP after a strong breakout from the open. Confirmation is a 5-minute candle closing above/below VWAP after the retest. Use 5-minute timeframe. Entry location is near VWAP. Market condition is strong trending.

Exit Logic

Profit target is 2.5R. Scale out 25% at 1R, 25% at 1.5R, 25% at 2R. Trail stop below prior 15-minute candle low/high. Exit if price closes below/above VWAP. Exit if 30-minute candle closes opposite direction. Exit after 120 minutes if momentum fades.

Stop Loss Structure

Hard stop is 0.8R. Max dollar loss is $400. Max percent loss is 0.8% of account. Structural stop is the low/high of the breakout candle.

Risk Management Framework

Risk 1.2% of capital per trade. Daily loss limit is 3.5%. Weekly loss limit is 8%. Max drawdown is 12%. R:R requirement is 2.5:1 minimum.

Position Sizing Model

Size based on 1.2% risk. Volatility adjustment using 20-period ATR. Conviction sizing allows 25% increase for A+ setups. Scale in 70% at retest, 30% on further confirmation.

Trade Filtering

Trade only instruments with high relative volume. Avoid stocks with low daily volume. Avoid earnings and major news. Trade between 9:45 AM and 3:00 PM EST. Avoid choppy markets.

Context Framework

VWAP must be steeply trending. Price must be consistently above/below VWAP. Higher timeframe (15-minute, 60-minute) must show strong trend. Price should be in the upper/lower 30% of the daily range.

Trade Management Rules

Move to breakeven at 0.8R. Scale out 25% at 1R, 25% at 1.5R, 25% at 2R. Do not add to losing trades. Add to winning trades on subsequent VWAP retests. Fast moves require holding for full targets. Slow moves require trailing more tightly.

Time Rules

Optimal window is 9:45 AM to 2:00 PM EST. Avoid market close. Avoid lunch if momentum fades.

Setup Classification

A+ setup: Strong breakout, consistent retests, steep VWAP, high volume. A setup: Moderate breakout, consistent retests, moderate VWAP slope. B setup: Weak breakout, inconsistent retests. C setup: Avoid.

Market Selection Criteria

Focus on sector leaders. Look for stocks with clear institutional buying/selling. Select instruments with high liquidity.

Statistical Edge Metrics

Win rate 40%. Average win $300. Average loss $100. Profit factor 1.33. Expectancy $50 per trade.

Failure Conditions

Strategy fails when trend breaks. Fails in range-bound markets. Fails when VWAP flattens or reverses.

Psychological Rules

Be patient for retests. Hold strong trades. Do not overtrade.

Advanced Components

Confirm with 20-period EMA alignment. Use 30-minute VWAP for higher timeframe trend. Monitor order flow.

Location

Strongest during clear trend days. Weakest during choppy or range-bound days.