Market Maker Reveals His “Golden Ticket” VWAP Strategy (93.6% Chance of Funding) - Matteo Conti
Loses money
No edge after realistic trading costs
- trades tested
- 5,667
- per trade after costs
- -1.06bp
- winners
- 58%
- years of data
- 14.5
Intraday 'Drift VWAP pullback' on NQ 5m: after the first hour (from 10:30 ET), when price is on one side of the session VWAP (anchored 09:30 ET), the VWAP has been sloping that way for 15 minutes, and price has drifted at least 0.1% over the past hour, enter on the FIRST counter-colored pullback candle - market at the next candle open. Stop 80 points, target 40 points, flat by session end.
The exact rules we tested
- 01Instrument: NQ | Signal timeframe: 5m | Direction: both
- 02Session: 10:30-15:30 (exchange tz), flat at session end
- 03No new entries after 15:30
- 04LONG sequence: 1. [(close > vwap) AND (vwap rising over 3 bars) AND (roc1h > 0.1)] just became true this bar THEN 2. close < open (no time limit)
- 05SHORT sequence: 1. [(close < vwap) AND (vwap falling over 3 bars) AND (roc1h < -0.1)] just became true this bar THEN 2. close > open (no time limit)
- 06Long filter: (close > vwap) AND (vwap rising over 3 bars) AND (roc1h > 0.1)
- 07Short filter: (close < vwap) AND (vwap falling over 3 bars) AND (roc1h < -0.1)
- 08Entry: market at next bar open
- 09Stop: 80 points
- 10Target: 40 points