VWAP Intraday Pivot Confluence

Entry Logic

Entry triggers when price retests a daily pivot point (R1, S1, or Mid-Pivot) concurrently with VWAP. Confirmation is a 1-minute candle closing above VWAP and the pivot for long, or below for short. Timeframe is 1-minute chart. Location context is the first or second touch of the confluence. Market condition is trending or mean-reverting within a range.

Exit Logic

Profit target is 1.5R. Scale out 50% at 1R. Trailing stop moves to 0.5R once 1R is hit. Signal failure is a 1-minute candle close on the wrong side of both VWAP and the pivot. Time expiration is 45 minutes if target not hit. Momentum loss is 5 consecutive 1-minute candles with decreasing range.

Stop Loss Structure

Hard stop is 0.6R from entry price. Max dollar loss is $300 per trade. Max percent loss is 0.6% of account. Structural stop is 5 ticks beyond the pivot point on the opposite side.

Risk Management Framework

Risk per trade is 0.6% of account. Daily loss limit is 2.5% of account. Weekly loss limit is 6% of account. Max drawdown is 12%. R:R requirement is minimum 1.5:1.

Position Sizing Model

Sizing approach is fixed fractional. Volatility adjustment uses 1.2 ATR for stop placement. Conviction sizing is 1.3x standard size for A+ setups. Scaling in is not permitted.

Trade Filtering

Market conditions are clear intraday trends or defined ranges. Setups are pivot/VWAP confluence. Instruments are liquid futures (ES, NQ) or high-cap stocks. Time restrictions are 10:00 AM to 3:00 PM EST. Avoid major news, high impact economic releases. Avoid chop by checking 5-minute range for expansion.

Context Framework

Trend direction on 5-minute chart must align with trade. VWAP relationship is price bouncing off VWAP at the pivot. MA relationship is 9 EMA and 20 EMA above/below VWAP for trend confirmation. Range location is near a daily pivot. Higher TF (15-minute) shows support/resistance at the pivot.

Trade Management Rules

Move to breakeven when price moves 0.6R. Scale out 50% at 1R. Do not add size. Fast moves allow for quicker scaling. Slow moves require patient trailing.

Time Rules

Optimal window is 10:00 AM to 11:30 AM EST and 1:30 PM to 3:00 PM EST. Avoid 12:00 PM to 1:00 PM EST. Session notes: Mid-day often sees retests of pivots.

Setup Classification

A+ criteria: VWAP and pivot aligned, high volume, strong rejection candle. A criteria: VWAP and pivot close, good volume. B criteria: VWAP near pivot, moderate volume. C criteria: VWAP and pivot not perfectly aligned, low volume.

Market Selection Criteria

Instruments are ES, NQ, RTY, YM. Volume must be consistently above average. Volatility must be > 1.0% of instrument value.

Statistical Edge Metrics

Win rate target is 58%. Average win is 1.5R. Average loss is 0.6R. Profit factor target is 1.7. Expectancy is 0.58 * 1.5 - 0.42 * 0.6 = 0.618.

Failure Conditions

Strategy fails if price breaks pivot and VWAP with conviction. Strategy fails if volume is decreasing during the setup. Strategy fails if market becomes choppy with no clear direction.

Psychological Rules

Trust the setup. Avoid emotional decisions. Do not overtrade. Review trades objectively.

Advanced Components

Regime detection uses a volatility index (VIX) for market sentiment. Filters include no entry if previous 3 candles are indecisive. Correlation with sector ETFs. MTF alignment: 1-minute entry, 5-minute and 15-minute context.

Location

Strongest when pivots represent significant support/resistance. Weakest when pivots are in a wide, undefined range.