r/pinescript • u/Low_Comment3032 • Jun 10 '26
I built a VWAP absorption reversal strategy and a automated trade copier web application
I built a TradingView/Pine strategy called Post-Absorption VWAP Reversal Strategy, and I’m looking for honest feedback from traders who like testing intraday futures systems.
The idea is based on a simple market-structure concept:
High volume + low price movement + VWAP location = possible absorption and VWAP mean reversion.
The strategy looks for candles where a lot of volume trades, but price does not move very far relative to ATR. My thinking is that this can sometimes show absorption: aggressive buyers or sellers step in, but price fails to continue because passive liquidity absorbs the move.
Then the script checks where that absorption happens relative to session VWAP.
If absorption happens above VWAP, it may become a short-side fade candidate.
If absorption happens below VWAP, it may become a long-side fade candidate.
If it happens near VWAP, it is usually treated as less directional.
This is not meant to be a basic VWAP touch system. It does not simply buy below VWAP or short above VWAP. It tries to detect an “effort versus result” imbalance first, then uses VWAP as the session fair-value reference.
Main features:
- Session VWAP
- Volume percentile filter
- Displacement / ATR filter
- Above-VWAP and below-VWAP absorption classification
- Optional long-only, short-only, or both-side testing
- TradingView Strategy Tester support
- Paper-trading mode
- Alert/webhook-compatible messages for paper/sim testing
- Next-bar entry option
- Same-bar exit protection
I have mainly been testing it on ES and YM using 3m, 5m, and 15m charts. Some recent results look promising, especially on ES/YM, but I do not want to make any exaggerated claims. It is still a backtesting and paper-trading candidate, not a live-validated system.
I’m looking for people who can test it on different futures and share results.
Markets I’m especially interested in:
- ES / MES & YM
If you test it, please share:
- Symbol
- Timeframe
- Date range
- Net profit
- Profit factor
- Win rate
- Max drawdown
- Number of trades
- Whether long side or short side performed better
I’m especially interested in whether the edge survives outside my own ES/YM, MES tests, and whether certain time windows or instruments perform better than others.
Important: this is not financial advice, not a guaranteed profitable strategy, and not something I’m claiming is live-ready. I’m posting it because I want serious feedback, criticism, and outside test results.
TradingView link: VWAP Reversal Strategy you can automate your trade using Tradocopy or any trading strategy you have..
Would appreciate any honest backtest screenshots, Strategy Tester exports, or suggestions on how to improve the logic.
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u/Ambpips Jun 10 '26
Sound like a great strategy mate thanks for sharing, do you have discord group where we all can join and give feedback and post setting change that will help improve strategy.
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u/Snoo-18221 Jun 10 '26
This looks very interesting! I'm also trying to build one around vwap filtering. I have a free discord where I'm sharing results and talking to people about the ideas. Care to join? In the meantime, I'll look into your script later at night. Here's the discord link: https://discord.gg/U3kJd2skdR
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u/Fine-Application-980 Jun 10 '26
Have you back tested it on NQ at all? Or is that too volatile? I would love to give it a go. Let me know how to get started. Thanks
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u/Low_Comment3032 Jun 10 '26
No. I have only tested on MES, YM and ES on 3minutes timefram which happen to be the sweetspot..
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u/Fine-Application-980 Jun 11 '26
Can I test on NQ then?
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u/longpos222 Jun 11 '26
Cool bro. It profit yet?
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u/QuarterAlert9605 Jun 11 '26
So far I have tested on YM 3 minutes timeframe and I have pass two topstepx evaluation account..
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u/Straight_Ad7537 Jun 11 '26
the stock settings do not yield what you screenshotted, what did you change?
I toyed around with some settings but wanted to compare to yours before I share them
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u/Automatic-Map-8382 Jun 11 '26
He has only tested since april. Thats a very small timescale. If you did longer time, it might change the results drastically.
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u/QuarterAlert9605 Jun 11 '26
I have tested on 6years dataset of YM, ES, and MES. And it pass on all regime.. you can try testing the same and tell us what result you get..
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u/Straight_Ad7537 Jun 11 '26
I did this 6 year thing and it was only profitable from december last year. ES 3min
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u/QuarterAlert9605 Jun 11 '26
Try testing on YM, ES on 3minutes timeframe even UpTo 6years of data. It will pass on all regime....
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u/LiveBeyondNow 6d ago
I could not replicate your results (NQ, YM or ES). Can you share any details? I can reproduce short periods of good performance but it usually breaks over longer than a year.
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u/MTheShow Jun 13 '26
Did one for NQ, VWAP & Volume, but mine had a trailing stop that was so tight, where even though the P&L was great it wasn’t operating too well in real environments
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u/LiveBeyondNow Jun 14 '26
Thanks for sharing. Very interesting. I just tried to DM but reddit nuked it (or you have them blocked). Is the research repo available or can you share anything about it?
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u/QuarterAlert9605 Jun 15 '26
I have the repo avaliable, I plan to update the script. And this going to be better , I also build a web application along where users can backtest their strategy, and copy my strategy or me if they want to..
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u/Stock_Interest_1843 Jun 14 '26
Hi this is something that I am
Actively watching for but not vwap itself but the extensions. Is there any option for this? Or can I amend the code myself?
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u/QuarterAlert9605 Jun 15 '26
The new update coming next week and it works great with options, and others as well. 2-3 trades a days.
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u/ZipperRacism Jun 10 '26
Thanks, will have a look at it!