VWAP Bounce/Rejection: Free TradingView Strategy (Pine Script)

Add It to Your TradingView Chart

1Copy the scriptPress Copy script above, or the copy button on the code below.
2Open the Pine EditorOpen a TradingView chart and choose Pine Editor at the bottom of the screen.
3Paste over the templateCreate a new strategy, select all of the template text and paste. Press Save and give it a name.
4Add it to the chartPress Add to chart. The trades and results appear in the Strategy Tester tab; adjust the settings with the gear icon.

Source Code

194 lines of Pine Script v6 from strategies/03_VWAP_Bounce_Rejection.pine, published under MIT. Keep the author's credit and licence lines when you reuse it.

03_VWAP_Bounce_Rejection.pine

// Strategy #3: VWAP Bounce/Rejection
// Win Rate: 80-88% | Profit Factor: 2.0-3.5 | R:R: ~1.7:1
// Instrument: NQ/ES/MNQ Futures | Timeframe: 5-min
//@version=6
strategy("VWAP Bounce/Rejection [v6]", overlay=true, calc_on_every_tick=false,
     process_orders_on_close=false, max_bars_back=5000,
     initial_capital=100000, commission_type=strategy.commission.cash_per_contract,
     commission_value=2.50, slippage=1)

// ─── INPUTS ───────────────────────────────────────────────────────────────────
// Entry Logic
i_vwapBandPct  = input.float(0.20, "VWAP Proximity % (entry zone)", minval=0.05, maxval=1.0, step=0.05, group="Entry Logic")
i_wickMult     = input.float(2.0,  "Min Wick:Body Ratio for Rejection", minval=1.0, maxval=5.0, step=0.5, group="Entry Logic")
i_volMult      = input.float(1.2,  "Volume Confirm Multiplier", minval=1.0, maxval=3.0, step=0.1, group="Entry Logic")
i_volLen       = input.int(20,     "Volume Avg Length",          minval=5,  maxval=50, group="Entry Logic")
i_atrLen       = input.int(14,     "ATR Length",                 minval=5,  maxval=50, group="Entry Logic")

// Exit / Risk Management
i_atrSL        = input.float(1.5, "Stop Loss (x ATR)",    minval=0.5, maxval=5.0, step=0.25, group="Exit/Risk Management")
i_atrTP        = input.float(2.5, "Take Profit (x ATR)",  minval=0.5, maxval=8.0, step=0.25, group="Exit/Risk Management")
i_eodHour      = input.int(15, "EOD Exit Hour (ET)",   minval=12, maxval=22, group="Exit/Risk Management")
i_eodMin       = input.int(45, "EOD Exit Minute (ET)", minval=0,  maxval=59, group="Exit/Risk Management")
i_maxDailyLoss = input.float(500.0, "Max Daily Loss ($)", minval=0, group="Exit/Risk Management")
i_maxTrades    = input.int(3, "Max Trades Per Day", minval=1, maxval=10, group="Exit/Risk Management")

// Session
i_rthStartHour = input.int(9,  "RTH Start Hour (ET)",  minval=0, maxval=23, group="Session")
i_rthStartMin  = input.int(30, "RTH Start Minute (ET)", minval=0, maxval=59, group="Session")
i_rthEndHour   = input.int(16, "RTH End Hour (ET)",    minval=0, maxval=23, group="Session")
i_rthEndMin    = input.int(0,  "RTH End Minute (ET)",  minval=0, maxval=59, group="Session")

// Visual Settings
i_showVWAP     = input.bool(true, "Show VWAP Line",       group="Visual Settings")
i_showBands    = input.bool(true, "Show VWAP Bands",      group="Visual Settings")
i_showDash     = input.bool(true, "Show Dashboard",       group="Visual Settings")
i_vwapColor    = input.color(color.new(color.blue, 0),   "VWAP Color",       group="Visual Settings")
i_bandColor    = input.color(color.new(color.blue, 70),  "VWAP Band Color",  group="Visual Settings")

// ─── HELPERS ─────────────────────────────────────────────────────────────────
int   etHour   = hour(time, "America/New_York")
int   etMin    = minute(time, "America/New_York")
bool  isNewDay = ta.change(time("D")) != 0

bool  inRTH = (etHour > i_rthStartHour or (etHour == i_rthStartHour and etMin >= i_rthStartMin)) and
     (etHour < i_rthEndHour or (etHour == i_rthEndHour and etMin < i_rthEndMin))
bool  isEOD = etHour == i_eodHour and etMin >= i_eodMin

float atrVal = ta.atr(i_atrLen)
float volAvg = ta.sma(volume, i_volLen)

// ─── SESSION VWAP (manual, resets on new day) ─────────────────────────────────
var float cumTPV  = 0.0    // cumulative (typical_price * volume)
var float cumVol  = 0.0    // cumulative volume
var float cumTPV2 = 0.0    // cumulative (typical_price^2 * volume) for stdev

if isNewDay
    cumTPV  := 0.0
    cumVol  := 0.0
    cumTPV2 := 0.0

float typicalPrice = (high + low + close) / 3.0

if inRTH or (etHour == i_rthStartHour and etMin >= i_rthStartMin)
    cumTPV  := cumTPV  + typicalPrice * volume
    cumVol  := cumVol  + volume
    cumTPV2 := cumTPV2 + typicalPrice * typicalPrice * volume

float vwap      = cumVol > 0.0 ? cumTPV / cumVol : na
float vwapStdev = (cumVol > 0.0 and not na(vwap)) ? math.sqrt(math.max(cumTPV2 / cumVol - vwap * vwap, 0.0)) : na

float vwapUpper = not na(vwap) and not na(atrVal) ? vwap + atrVal : na
float vwapLower = not na(vwap) and not na(atrVal) ? vwap - atrVal : na

// ─── OPEN BIAS (above/below VWAP at RTH open) ─────────────────────────────────
var bool openAboveVWAP = false

bool isSessionOpen = etHour == i_rthStartHour and etMin == i_rthStartMin
if isSessionOpen and not na(vwap)
    openAboveVWAP := close > vwap

// ─── TRADE STATE ─────────────────────────────────────────────────────────────
var int   dayTrades = 0
var float dayPnL    = 0.0
var bool  rejLong   = false
var bool  rejShort  = false

if isNewDay
    dayTrades     := 0
    dayPnL        := 0.0
    rejLong       := false
    rejShort      := false
    openAboveVWAP := false
    cumTPV        := 0.0
    cumVol        := 0.0
    cumTPV2       := 0.0

// ─── EOD EXIT ────────────────────────────────────────────────────────────────
if isEOD and strategy.position_size != 0
    strategy.close_all(comment="EOD Exit")

// ─── REJECTION CANDLE DETECTION ──────────────────────────────────────────────
float bodySize  = math.abs(close - open)
float upperWick = high - math.max(close, open)
float lowerWick = math.min(close, open) - low
bool  bullishRej = close > open and bodySize > 0.0 and lowerWick >= i_wickMult * bodySize
bool  bearishRej = close < open and bodySize > 0.0 and upperWick >= i_wickMult * bodySize

// ─── PROXIMITY TO VWAP ───────────────────────────────────────────────────────
bool nearVWAP = not na(vwap) and vwap > 0.0 and
     math.abs(close - vwap) / vwap * 100.0 <= i_vwapBandPct

// ─── ENTRY CONDITIONS ────────────────────────────────────────────────────────
bool volOk     = volume > i_volMult * volAvg
bool tradeable = inRTH and not isEOD and dayTrades < i_maxTrades and dayPnL > -i_maxDailyLoss

// LONG: was above VWAP at open, pulled back to VWAP, bullish rejection candle
bool longCond  = tradeable and openAboveVWAP and nearVWAP and bullishRej and volOk and
     strategy.position_size == 0

// SHORT: was below VWAP at open, rallied to VWAP, bearish rejection candle
bool shortCond = tradeable and not openAboveVWAP and nearVWAP and bearishRej and volOk and
     strategy.position_size == 0

if longCond and not na(atrVal)
    float sl = close - i_atrSL * atrVal
    float tp = close + i_atrTP * atrVal
    strategy.entry("VWAP Long", strategy.long, comment="VWAP Bounce Long")
    strategy.exit("VWAP Long Exit", "VWAP Long", stop=sl, limit=tp)
    rejLong   := true
    dayTrades += 1

if shortCond and not na(atrVal)
    float sl = close + i_atrSL * atrVal
    float tp = close - i_atrTP * atrVal
    strategy.entry("VWAP Short", strategy.short, comment="VWAP Rejection Short")
    strategy.exit("VWAP Short Exit", "VWAP Short", stop=sl, limit=tp)
    rejShort  := true
    dayTrades += 1

dayPnL := strategy.netprofit - nz(strategy.netprofit[1], strategy.netprofit)

// ─── PLOTS ───────────────────────────────────────────────────────────────────
plot(i_showVWAP ? vwap : na,        "VWAP",        color=i_vwapColor, linewidth=2)
plot(i_showBands ? vwapUpper : na,  "VWAP Upper",  color=i_bandColor, linewidth=1, style=plot.style_linebr)
plot(i_showBands ? vwapLower : na,  "VWAP Lower",  color=i_bandColor, linewidth=1, style=plot.style_linebr)

// Highlight rejection candles
bgcolor(longCond  ? color.new(color.green, 90) : na, title="Long Signal BG")
bgcolor(shortCond ? color.new(color.red,   90) : na, title="Short Signal BG")

// Entry / exit labels
if longCond
    label.new(bar_index, low, "▲ VWAP", color=color.green, style=label.style_label_up,
         textcolor=color.white, size=size.small)
if shortCond
    label.new(bar_index, high, "▼ VWAP", color=color.red, style=label.style_label_down,
         textcolor=color.white, size=size.small)

// ─── DASHBOARD ───────────────────────────────────────────────────────────────
var table dash = table.new(position.top_right, 2, 10,
     border_color=color.gray, border_width=1,
     bgcolor=color.new(color.black, 85))

if i_showDash and barstate.islast
    table.cell(dash, 0, 0, "VWAP BOUNCE/REJECTION", text_color=color.white, text_size=size.small, bgcolor=color.new(color.blue, 60))
    table.cell(dash, 1, 0, "", bgcolor=color.new(color.blue, 60))
    table.cell(dash, 0, 1, "VWAP",          text_color=color.silver, text_size=size.small)
    table.cell(dash, 1, 1, na(vwap) ? "—" : str.tostring(vwap, "#.##"), text_color=color.white, text_size=size.small)
    table.cell(dash, 0, 2, "Dist from VWAP", text_color=color.silver, text_size=size.small)
    float distPct = not na(vwap) and vwap > 0.0 ? math.abs(close - vwap) / vwap * 100.0 : na
    table.cell(dash, 1, 2, na(distPct) ? "—" : str.tostring(distPct, "#.##") + "%", text_color=color.white, text_size=size.small)
    table.cell(dash, 0, 3, "Open Bias",      text_color=color.silver, text_size=size.small)
    table.cell(dash, 1, 3, openAboveVWAP ? "Above ↑" : "Below ↓",
         text_color=openAboveVWAP ? color.green : color.red, text_size=size.small)
    table.cell(dash, 0, 4, "Near VWAP",      text_color=color.silver, text_size=size.small)
    table.cell(dash, 1, 4, nearVWAP ? "YES" : "No", text_color=nearVWAP ? color.green : color.gray, text_size=size.small)
    table.cell(dash, 0, 5, "Rejection",      text_color=color.silver, text_size=size.small)
    string rejStr = bullishRej ? "Bullish" : bearishRej ? "Bearish" : "None"
    color  rejClr = bullishRej ? color.green : bearishRej ? color.red : color.gray
    table.cell(dash, 1, 5, rejStr, text_color=rejClr, text_size=size.small)
    table.cell(dash, 0, 6, "ATR",            text_color=color.silver, text_size=size.small)
    table.cell(dash, 1, 6, na(atrVal) ? "—" : str.tostring(atrVal, "#.##"), text_color=color.white, text_size=size.small)
    table.cell(dash, 0, 7, "Day Trades",     text_color=color.silver, text_size=size.small)
    table.cell(dash, 1, 7, str.tostring(dayTrades), text_color=color.white, text_size=size.small)
    table.cell(dash, 0, 8, "Day P&L",        text_color=color.silver, text_size=size.small)
    color pnlColor = dayPnL >= 0 ? color.green : color.red
    table.cell(dash, 1, 8, str.tostring(math.round(dayPnL, 2), "#.##"), text_color=pnlColor, text_size=size.small)
    table.cell(dash, 0, 9, "In RTH",         text_color=color.silver, text_size=size.small)
    table.cell(dash, 1, 9, inRTH ? "YES" : "No", text_color=inRTH ? color.green : color.gray, text_size=size.small)

// ─── ALERTS ──────────────────────────────────────────────────────────────────
alertcondition(longCond,  "VWAP Bounce Long",     "VWAP Bounce LONG — bullish rejection candle at VWAP")
alertcondition(shortCond, "VWAP Rejection Short",  "VWAP Rejection SHORT — bearish rejection candle at VWAP")
alertcondition(isEOD and strategy.position_size != 0, "EOD Exit", "VWAP strategy EOD exit")

Overview

VWAP Bounce/Rejection marks a percentage band around session VWAP and enters when a rejection candle meets a minimum wick-to-body ratio and volume exceeds a multiple of its average. Stops and targets are ATR multiples. It also exits at a set Eastern Time, limits trades per day, and caps daily loss. A dashboard and optional VWAP lines can be shown. The file comments recommend a five-minute chart for Nasdaq and S&P futures.

VWAP proximity entry zone
Wick-to-body rejection filter
Volume confirmation multiplier
ATR stop loss and take profit
RTH session filter and end-of-day exit

Details

Published by

Prat617 on GitHub

Type

Strategy, Pine Script v6

Draws

On the price chart

Markets

Indices

Timeframes

M1-M5

Risk Notes

No repainting, lookahead or stacked entries were found in its code or README. That says nothing about how well it works: test it first.

File

strategies/03_VWAP_Bounce_Rejection.pine

Repository

github.com/Prat617/strategic. See its other scripts in the library

Settings

The inputs you can change from the gear icon on the chart. Defaults are the author's.

Setting	Type	Default	Variable
VWAP Proximity % (entry zone)	`float`	`0.20`	`i_vwapBandPct`
Min Wick:Body Ratio for Rejection	`float`	`2.0`	`i_wickMult`
Volume Confirm Multiplier	`float`	`1.2`	`i_volMult`
Volume Avg Length	`int`	`20`	`i_volLen`
ATR Length	`int`	`14`	`i_atrLen`
Stop Loss (x ATR)	`float`	`1.5`	`i_atrSL`
Take Profit (x ATR)	`float`	`2.5`	`i_atrTP`
EOD Exit Hour (ET)	`int`	`15`	`i_eodHour`
EOD Exit Minute (ET)	`int`	`45`	`i_eodMin`
Max Daily Loss ($)	`float`	`500.0`	`i_maxDailyLoss`
Max Trades Per Day	`int`	`3`	`i_maxTrades`
RTH Start Hour (ET)	`int`	`9`	`i_rthStartHour`

Show all 20 settings

Setting	Type	Default	Variable
RTH Start Minute (ET)	`int`	`30`	`i_rthStartMin`
RTH End Hour (ET)	`int`	`16`	`i_rthEndHour`
RTH End Minute (ET)	`int`	`0`	`i_rthEndMin`
Show VWAP Line	`bool`	`true`	`i_showVWAP`
Show VWAP Bands	`bool`	`true`	`i_showBands`
Show Dashboard	`bool`	`true`	`i_showDash`
VWAP Color	`color`	`color.new(color.blue, 0)`	`i_vwapColor`
VWAP Band Color	`color`	`color.new(color.blue, 70)`	`i_bandColor`

Third-party code. ForexR did not write, test or endorse this script, and the summary above was generated automatically from its code and README. Indicators describe the past, and a strategy's backtest can look better than live trading, especially when a script repaints. Check it in the Strategy Tester and on a demo account before you rely on it.

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