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Strategy Playbooks
Momentum · Intermediate

VWAP Reclaim

When price wins back the day’s average, the sellers are out of ammunition.

Backtest this playbook
Origin: The institutional execution benchmark, traded as an intraday momentum signal
Session
09:45–15:00 ET
Timeframes
1m–5m
Markets
ES / MES, NQ / MNQ, Liquid stocks
Reward
2R
IllustrationSession VWAP
97.5100.0102.5105.009:3010:0011:0012:00Stop 98.5Target 2R 105.1ReclaimSwing 98.6
After twelve closes below VWAP, the 10:55 bar closes at 100.7 — above VWAP (100.35) with a full body. Long at the next open (100.7), stop under the 98.6 swing low, 2R target 105.1, tagged at 12:20.

Why it works

VWAP is the session’s volume-weighted average price — the benchmark many institutions execute against. Holding below it signals sellers in control. A strong close back above it, after a sustained stretch below, shows that control has shifted.

The rules

01Setup

  • VWAP anchored at the 09:30 ET open and reset daily.
  • At least three consecutive closes below VWAP.

02Entry

  • Long at the next open when a bar closes back above VWAP with a body of at least 0.3× ATR.
  • Up to two trades per day.

03Stop

  • Below the lowest low of the last six bars, with a small ATR buffer.

04Target

  • 2R. Flat by 15:55 ET.

05Management

  • Avoid entries in the final hour, when liquidity and VWAP’s pull change into the close.

06Invalidation

  • A close back below VWAP soon after entry signals a failed reclaim.

Common mistakes

  • Taking weak, small-bodied reclaims
  • Fading a trend day where VWAP slopes hard lower
  • Forgetting that VWAP resets each day

Educational material, not financial advice. The illustration is a sketch of the rules, not a historical trade. Results in the backtester are hypothetical and do not guarantee future performance.