The VWAP bounce is the institutional-flavored pullback trade: in a trending session, price retraces to the volume-weighted average price — the session’s running "fair price", and the benchmark execution desks are graded against — touches the line, and resumes. Longs buy the first touch from above; shorts sell the first touch from below. It is one of the most-searched intraday setups, and almost every article about it skips the one detail that changes everything: where the VWAP starts counting.
This page is deliberately different from our results pages. Our research engine does not yet have a VWAP-touch primitive — VWAP the indicator already exists in Secuora’s replay terminal, but the mechanical entry trigger is queued — and the content rule of this series is simple: we do not publish numbers we have not generated. So below you get the exact rule set we will pin when the run ships, the anchor problem you must solve before trusting anyone’s VWAP statistics, and a way to start building your own sample by hand today.
The exact rules we’ll test
- Session VWAP anchored at a declared open — for 24/7 crypto that means publishing the anchor (00:00 UTC, or 09:30 New York for the equities-hours regime) as part of the strategy, not as a footnote.
- Bias filter: only longs while price holds above VWAP; only shorts while it holds below.
- Entry: the first pullback that touches VWAP and closes back on the bias side (15-minute close).
- Stop 1×ATR(14) beyond the touch extreme; target 2R; flat at session end.
- Risk 1% of equity per trade; 0.05% commission per side; 10× max notional leverage — the same assumptions as every published run in this series.
- Status: queued — the AI backtester has no VWAP-touch primitive yet, and we do not publish results we have not generated. When the primitive ships, this exact rule set runs on the standard 12-month BTC/ETH dataset.
Backtest data: in the queue
We publish only numbers our own deterministic engine produced on real data — no borrowed or estimated stats. This setup needs a detection primitive the engine doesn’t ship yet, so its 12-month results will appear here the moment that lands. The strategies with completed research are on the strategies hub, and you can already practice this setup bar-by-bar in the free replay demo.
The anchor problem: "session VWAP" is not one line
VWAP is the only popular indicator whose value depends on when you start counting. On equities the anchor is structural — the 9:30 open — but BTC and ETH never close, so "session VWAP" on crypto is a choice: midnight UTC, the New York equities open, the weekly open, an exchange’s daily settlement. Each anchor draws a materially different line, with different touches, different slopes and different "bounces". Two traders can both swear by the VWAP bounce and never once trade the same level.
That is why the anchor sits first in the rule list above, and why any quoted VWAP-bounce win rate that does not state its anchor is uninterpretable — not wrong, just meaningless. It is also why the eventual mechanical run will publish its anchor in the assumptions, the way every run in this series does. Until then, the variance is easy to see for yourself: load VWAP in the replay terminal and watch how differently price treats the line in the hour after the US equities open versus the quiet Asian session.
How to backtest the VWAP bounce on Secuora
Until the VWAP-touch primitive ships, this is a replay-terminal strategy — which is also the best way to learn what the line actually does.
- Open /backtest/demo — it runs in the browser with no sign-up — and load BTC or ETH on 5- or 15-minute candles.
- Add VWAP and ATR(14) from the built-in indicators, and pick your anchor convention before you count a single trade.
- Replay the session bar by bar; when price tags VWAP and closes back on the trend side, place the simulated entry with a 1×ATR stop and a 2R target using SL/TP orders.
- Use session skips to jump from one session to the next and collect 30+ samples across different regimes — trending days, balance days, weekend liquidity.
- Journal every sample (rules, confluences, screenshots) — and when the VWAP-touch primitive ships at /backtest/ai, re-run the identical rule set mechanically; the RSI threshold, breakout and displacement primitives there already cover the rest of this series.
Frequently asked questions
What is the VWAP bounce strategy?
An intraday pullback setup: in a session trending above VWAP (volume-weighted average price), wait for price to pull back and touch the line, then enter long as it resumes — mirrored for shorts below VWAP. Stops go beyond the touch extreme; targets are usually a fixed R multiple or the session extreme.
What win rate does the VWAP bounce strategy have?
We will not quote one yet. Our engine does not have a VWAP-touch primitive, so we have not run the 12-month mechanical test — and this series does not publish numbers it has not generated. Be equally skeptical elsewhere: a VWAP-bounce win rate means nothing unless the source states the anchor, the touch definition, the stop and the costs.
Why does price react at VWAP?
The standard thesis: VWAP is the benchmark institutional executions are graded against, so desks working large orders lean on it — buying below it, selling above it — which creates real flow around the line. It is a plausible mechanism, not a law of nature, and it is strongest where the anchor is structural, like an exchange session open. On 24/7 crypto the anchor is a convention, which is exactly why the definition matters so much.
Can I backtest VWAP strategies on Secuora?
Manually, today: the replay terminal at /backtest/demo includes VWAP among its built-in indicators, so you can replay any session bar by bar and trade the bounces with simulated SL/TP orders — free, no card. Mechanically: not yet — the VWAP-touch primitive is queued, while RSI threshold, N-bar breakout, displacement, EMA cross, FVG and liquidity-sweep primitives are already live at /backtest/ai.