Post-Absorption VWAP Reversal Engine V1.6

22. Mai

Post-Absorption VWAP Reversal Strategy

This strategy is a TradingView/Pine backtesting and paper-trading model built around a specific intraday market-structure idea:

High volume + low price movement + VWAP location = possible absorption and VWAP mean reversion.

The goal is to detect candles where a lot of volume trades, but price does not move very far. This can suggest that aggressive buyers or sellers were absorbed by passive liquidity.

When this happens away from session VWAP, the strategy looks for a possible fade back toward VWAP.

This is not a simple VWAP touch strategy. It does not buy or sell only because price is above or below VWAP. It first looks for an “effort versus result” imbalance.

High effort = unusually high volume.

Low result = small candle displacement compared with ATR.

VWAP location = where the absorption happened relative to session fair value.

Core Logic

The strategy looks for absorption bars using two main conditions:

1. Volume percentile is high.

Example: volume is in the top 90% or 95% of recent bars.

2. Candle displacement is low.

Example: candle body size divided by ATR is below a configured threshold such as 0.30.

When both conditions happen together, the script marks the candle as a possible absorption event.

VWAP Location Logic

If absorption happens above VWAP:

Buyers may be getting absorbed.
This may create a short-side fade candidate back toward VWAP.

If absorption happens below VWAP:

Sellers may be getting absorbed.
This may create a long-side fade candidate back toward VWAP.

If absorption happens near VWAP:

The signal is usually less directional and may be treated as ambiguous.

Plain-English Example

If price is above VWAP and a high-volume candle fails to push much higher, the strategy asks:

“Did buyers try to push price up but get absorbed?”

If yes, the model may look for a short-side fade back toward VWAP.

If price is below VWAP and a high-volume candle fails to push much lower, the strategy asks:

“Did sellers try to push price down but get absorbed?”

If yes, the model may look for a long-side fade back toward VWAP.

Main Features

- Session VWAP calculation
- Volume percentile filter
- Displacement / ATR filter
- Above-VWAP and below-VWAP absorption classification
- Optional long-only, short-only, or both-side mode
- Optional paper strategy entries
- Multiple exit modes
- Next-bar entry option
- Same-bar exit protection
- Cleaner chart display
- TradingView Strategy Tester support
- Webhook-compatible alert messages for paper/sim testing

Why This Is Different From Basic Indicators

Many indicators use RSI, MACD, raw volume spikes, or simple VWAP crosses.

This strategy is different because it combines:

- volume context,
- candle displacement,
- ATR normalization,
- VWAP location,
- session structure,
- and paper-trading execution logic.

The strategy is trying to model a specific market behavior:

A large amount of trading happened, but price failed to move. That failure may signal absorption, and price may later revert toward VWAP.

Best Use Case

This script is designed for intraday futures testing, especially liquid markets such as ES, YM, MES, and MYM.

It can be tested on short intraday timeframes such as 3-minute, 5-minute, and 15-minute charts. It work considerably on 3minutes.

The strategy should be evaluated using:

- Net profit
- Profit factor
- Win rate
- Maximum drawdown
- Long-side performance
- Short-side performance
- Timeframe behavior
- Session behavior
- Forward paper-trading results

Important Status

This is a backtesting and paper-trading strategy candidate.

It is not a guaranteed profitable system.

It is not financial advice.

It is not fully live-validated.

Recent ES and YM testing has shown promising behavior in some windows and timeframes, but performance can change by symbol, timeframe, session, risk settings, and market regime.

Known Risks

Backtest fills can differ from live fills.

TradingView Strategy Tester assumptions may not match real broker execution.

Some settings may perform well over short periods but fail over longer periods.

A strategy can show good profit factor and still have drawdown that is too high for prop-firm rules.

Webhook execution requires separate safeguards, broker symbol mapping, duplicate-alert protection, and account-level risk controls.

This strategy should be paper-tested before any real-money use.

Suggested Testing Process

1. Start with paper trading only.
2. Test one symbol at a time.
3. Compare 3-minute, 5-minute, and 15-minute charts. 3minutes well considerably well on YM/ES
4. Track profit factor, drawdown, win rate, and number of trades.
5. Separate long-side and short-side performance.
6. Do not rely on one short backtest window.
7. Forward-test before considering any live execution.

Final Note

The purpose of this script is to provide a structured way to test VWAP-based absorption reversal behavior.

It is a research-backed paper-trading framework, not a promise of future performance.

Use risk management and test carefully.

23. Mai

Versionshinweise

Post-Absorption VWAP Reversal Strategy

This strategy is a TradingView/Pine backtesting and paper-trading model built around a specific intraday market-structure idea:

High volume + low price movement + VWAP location = possible absorption and VWAP mean reversion.

The goal is to detect candles where a lot of volume trades, but price does not move very far. This can suggest that aggressive buyers or sellers were absorbed by passive liquidity.

When this happens away from session VWAP, the strategy looks for a possible fade back toward VWAP.

This is not a simple VWAP touch strategy. It does not buy or sell only because price is above or below VWAP. It first looks for an “effort versus result” imbalance.

High effort = unusually high volume.

Low result = small candle displacement compared with ATR.

VWAP location = where the absorption happened relative to session fair value.

Core Logic

The strategy looks for absorption bars using two main conditions:

1. Volume percentile is high.

Example: volume is in the top 90% or 95% of recent bars.

2. Candle displacement is low.

Example: candle body size divided by ATR is below a configured threshold such as 0.30.

When both conditions happen together, the script marks the candle as a possible absorption event.

VWAP Location Logic

If absorption happens above VWAP:

Buyers may be getting absorbed.
This may create a short-side fade candidate back toward VWAP.

If absorption happens below VWAP:

Sellers may be getting absorbed.
This may create a long-side fade candidate back toward VWAP.

If absorption happens near VWAP:

The signal is usually less directional and may be treated as ambiguous.

Plain-English Example

If price is above VWAP and a high-volume candle fails to push much higher, the strategy asks:

“Did buyers try to push price up but get absorbed?”

If yes, the model may look for a short-side fade back toward VWAP.

If price is below VWAP and a high-volume candle fails to push much lower, the strategy asks:

“Did sellers try to push price down but get absorbed?”

If yes, the model may look for a long-side fade back toward VWAP.

Main Features

- Session VWAP calculation
- Volume percentile filter
- Displacement / ATR filter
- Above-VWAP and below-VWAP absorption classification
- Optional long-only, short-only, or both-side mode
- Optional paper strategy entries
- Multiple exit modes
- Next-bar entry option
- Same-bar exit protection
- Cleaner chart display
- TradingView Strategy Tester support
- Webhook-compatible alert messages for paper/sim testing

Why This Is Different From Basic Indicators

Many indicators use RSI, MACD, raw volume spikes, or simple VWAP crosses.

This strategy is different because it combines:

- volume context,
- candle displacement,
- ATR normalization,
- VWAP location,
- session structure,
- and paper-trading execution logic.

The strategy is trying to model a specific market behavior:

A large amount of trading happened, but price failed to move. That failure may signal absorption, and price may later revert toward VWAP.

Best Use Case

This script is designed for intraday futures testing, especially liquid markets such as ES, YM, MES, and MYM.

It can be tested on short intraday timeframes such as 3-minute, 5-minute, and 15-minute charts. It work considerably on 3minutes.

The strategy should be evaluated using:

- Net profit
- Profit factor
- Win rate
- Maximum drawdown
- Long-side performance
- Short-side performance
- Timeframe behavior
- Session behavior
- Forward paper-trading results

Important Status

This is a backtesting and paper-trading strategy candidate.

It is not a guaranteed profitable system.

It is not financial advice.

It is not fully live-validated.

Recent ES and YM testing has shown promising behavior in some windows and timeframes, but performance can change by symbol, timeframe, session, risk settings, and market regime.

Known Risks

Backtest fills can differ from live fills.

TradingView Strategy Tester assumptions may not match real broker execution.

Some settings may perform well over short periods but fail over longer periods.

A strategy can show good profit factor and still have drawdown that is too high for prop-firm rules.

Webhook execution requires separate safeguards, broker symbol mapping, duplicate-alert protection, and account-level risk controls.

This strategy should be paper-tested before any real-money use.

Suggested Testing Process

1. Start with paper trading only.
2. Test one symbol at a time.
3. Compare 3-minute, 5-minute, and 15-minute charts. 3minutes well considerably well on YM/ES
4. Track profit factor, drawdown, win rate, and number of trades.
5. Separate long-side and short-side performance.
6. Do not rely on one short backtest window.
7. Forward-test before considering any live execution.

Final Note

The purpose of this script is to provide a structured way to test VWAP-based absorption reversal behavior.

It is a research-backed paper-trading framework, not a promise of future performance.

Use risk management and test carefully.