A tight, mechanical mean-reversion scalp designed for micro futures. Fades the first controlled test of VWAP inside an intact trend, with a fixed 4-point stop and 8-point target for a clean 2:1 R/R.
Strategy Backtest
VWAP Reversal Scalp — 0 trades
MES / MNQ · VWAP tap + 3pt rejection wick · 4pt stop · 8pt target · 2:1 RR
Timeframe
Date range
Session windows
RTH includes both intraday sub-windows. Combining Opening + Power hour skips lunch chop.
Pick a valid date range to run the backtest.
The Rules
Instruments
MES and MNQ (micro E-mini S&P 500 and Nasdaq-100).
Bias filter
Long-only when the 9EMA is above the 21EMA on the 5-minute chart. Flip the filter for shorts (9EMA below 21EMA). No trades in chop where the EMAs are entangled.
Entry trigger
Price taps VWAP and prints a 3-point rejection wick on the 1-minute close in the direction of the prevailing trend. Enter at the close of the rejection candle.
Stop
Hard stop 4 points beyond the VWAP touch (i.e. 4pts below the wick low for longs, 4pts above the wick high for shorts). No mental stops — resting order only.
Target
8 points from entry — a clean 2:1 R/R. Take the full size off at target; do not chase a runner on this setup.
Risk sizing
1 micro per $2,000 of account equity. Example: a $10K account trades 5 contracts, risking $200 (0.5R equivalent per micro at 4pts × $1.25 = $5, ×5 = $25 per contract cluster… adjust position size to keep total risk ≤ 2% of equity).
Invalidation
A 2-minute close back through VWAP after entry invalidates the setup — exit immediately at market, even before the 4-point stop fires. Do not re-enter the same VWAP touch a second time.
Session window
RTH only: 9:45am–3:45pm ET. Skip the first 15 minutes (opening range noise) and the final 15 (closing imbalance).
Max attempts
Two attempts per session. After two consecutive stops on this setup, stand down for the day — the tape is not respecting VWAP.
Why this works
VWAP is the intraday fair-value anchor institutions defend. Inside a trending tape, the first controlled retest of VWAP typically fails — algos, market makers, and trend followers all lean the same way. The 3-point rejection wick is the tell that supply (or demand) has been absorbed. The 4-point stop lives just past where that thesis breaks; the 2-minute close-through is the “I’m wrong right now” exit before the market proves it with size.
Common mistakes
Taking the trade with the EMAs crossing — this is a trend-continuation setup, not a reversal-of-trend setup.
Widening the stop past 4 points because “it’s close.” The R/R breaks and the edge is gone.
Trailing to break-even before target. This setup pays 2:1; scratches over time bleed the edge.
Re-entering the same VWAP level after a stop. Once the wick fails, the level is spent.
Trading it in a range day. Without the EMA-trend filter, VWAP acts as a magnet, not a wall.
Want to watch Lisa call this setup live on MES and MNQ?