The VWAP Extensions Trading Strategy

Intraday Strategy During a Flat VWAP

VWAP Extensions

In my last webinar, I covered the ‘VWAP extensions fade trade’.

A nice intraday play during a flat VWAP.

“Ah but how does that differ from the rules on Trading Plan Pro? They look different”

Well spotted…

So I think there are 2 ways to trade this type of setup.

#1 Use fixed ATR bands around the VWAP (As per Trading Plan Pro templated strategy).

#2 Create your own bands based on the price action.

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Here’s #1

And here’s #2

I actually tested the band-based strategy for almost a year, it had spells where it did exceptionally well and other times struggled.

But it’s a tough one to trade manually as you are getting signals all day long.

So I settled for a discretionary approach with these rules:

  • Wait until the VWAP is flat (crucial)
  • Measure the first extension away from the VWAP
  • Draw lines around the VWAP at that distance
  • Take mean reversion plays on line touches whilst the VWAP is flat
  • Stops are double the distance from the VWAP

It’s far from perfect, and I like to add an extra price action trigger to it, but it might be a play you want to explore.