Day trade futures - ES VWAP Pullback v2.0 [Signals]ES VWAP Institutional Pullback v2.0
—— STRATEGY VERSION ——
A futures day-trading system built specifically for /ES (S&P 500 E-mini) on the 5-minute timeframe. Designed around the premise that institutional algorithms benchmark entries against VWAP and that the highest-probability trades come from entering trend continuations after pullbacks — not from predicting reversals.
This is not a typical MACD crossover strategy. Every component is filtered and confirmed before a signal fires.
█ HOW IT WORKS
The system requires four conditions to align before entering a trade:
1. Higher-Timeframe Trend Confirmation
Uses a 50 EMA pulled from the 15-minute chart via request.security(). Price must be above this EMA for longs, below for shorts. This replaces the common approach of plotting a 200 EMA on the entry timeframe, which on a 5-minute chart represents ~17 hours of data and reacts too slowly to intraday regime changes.
2. VWAP Institutional Bias
Price must be above the session VWAP for longs, below for shorts. VWAP is the benchmark institutional algorithms use to evaluate execution quality. Trading in the direction of VWAP bias aligns your entries with the dominant order flow.
3. MACD Histogram Reversal (Not Raw Crossover)
Rather than entering on a standard MACD line crossover (which lags significantly on short timeframes), the system detects when the MACD histogram flips from negative to positive territory after being negative for at least two consecutive bars. This catches the exact moment selling pressure exhausts and buying momentum resumes — typically 1–3 bars earlier than a traditional crossover.
4. Volume Spike Confirmation
The entry bar must have volume ≥ 1.2× its 20-bar simple moving average. A MACD histogram flip on thin volume is noise. Requiring a volume spike confirms that institutional participation is actually present at the reversal point.
█ SESSION FILTER
Futures trade nearly 24 hours, but VWAP-based strategies degrade outside Regular Trading Hours when volume thins and price action becomes erratic. The system enforces a hard session window of 9:30 AM – 3:30 PM Eastern by default. All positions are automatically closed at session end if the EOD close option is enabled.
█ RISK MANAGEMENT
Dynamic ATR-Based Stops
Stop loss is calculated as 1.5× the 14-period ATR at the moment of entry. During volatile opens, your stop widens to give the trade room. During quiet midday action, it tightens to protect capital. This replaces fixed-point stops that get hunted during volatility expansion.
Partial Profit at 1R
When price reaches 1× your initial risk (the 1R level), 50% of the position is closed automatically. This locks in profit and reduces psychological pressure on the remaining runner.
Trailing Stop
After reaching the 1R trigger, a trailing stop activates at 0.75× ATR behind the current price. It only moves in your favor — never backward. This lets winners run in trending sessions while protecting gains.
Full Take Profit at 2R
The remaining position targets 2× the initial risk. Combined with the partial at 1R, the effective average exit on a full winner is approximately 1.5R.
█ BACKTEST REALISM
The strategy models:
• $2.50 per contract commission (round-trip ~$5.00, typical for /ES)
• 2-tick slippage ($25 per contract)
• No fills on close — orders process on the next bar
This matters. Many published strategies show inflated results because they assume zero friction. The performance you see in the Strategy Tester should be closer to what you would actually experience.
█ DASHBOARD
A real-time info table displays:
• Current HTF trend direction
• VWAP bias (above/below)
• Current ATR value
• Volume ratio vs. SMA (with color coding for spike detection)
• Session status (active/closed)
• Position status
• MACD histogram value
█ SETTINGS GUIDE
Inputs are grouped logically. Key tuning parameters:
Volume Multiple (default 1.2×) — Lower to 1.0× if you're getting too few signals in quieter sessions. Raise to 1.5× for stricter filtering.
HTF Timeframe (default 15m) — The 15-minute 50 EMA represents ~12.5 hours of trend data. You can try 30m for a slower, more conservative filter.
Trail Trigger (default 1.0R) — Set to 0.75R for more aggressive trailing. Set to 1.5R if you want the trail to activate later and give more room.
Trail Offset (default 0.75 ATR) — Lower values trail tighter (more likely to get stopped but lock more profit). Higher values give more room but risk giving back gains.
All filters (HTF, VWAP, Volume, Session) can be individually toggled off for testing which components add value in your specific market conditions.
█ WHAT THIS IS NOT
• This is not a scalping system. It targets 2R moves, not 2-tick scratches.
• This is not a reversal catcher. It trades pullbacks within established trends.
• This will not protect you from news events. Avoid FOMC, CPI, NFP, and other high-impact macro releases — no algorithm can predict those.
• This is not financial advice. Futures are leveraged instruments. Backtest results do not guarantee future performance.
█ RECOMMENDED USAGE
• Chart: /ES 5-minute
• Session: RTH only (9:30 AM – 3:30 PM ET)
• Avoid: 15 minutes before/after high-impact economic data
• Combine with: Level 2 / DOM for discretionary confirmation if available
—— INDICATOR VERSION ——
Same logic as the strategy but packaged as an indicator() for live discretionary trading:
• No backtest engine overhead — lighter on your chart
• Entry labels display exact SL, TP, and risk in points at signal time
• 1R level plotted in cyan for visual partial-profit reference
• Signal levels auto-expire after 50 bars or when SL/TP is hit
• Alert conditions registered for both long and short signals — configure through TradingView's alert dialog
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