Ex-Hedge Fund Manager Reveals His $150M Scalping Strategy (Live On Chart)
Loses money
No edge after realistic trading costs
- trades tested
- 12,386
- per trade after costs
- -2.76bp
- winners
- 46%
- years of data
- 15.9
A ultra-short-term VWAP scalping strategy on S&P 500 futures (ES). Entries are taken when price pulls back to test the daily VWAP (short when price rallies to touch VWAP from below, long when price drops to touch VWAP from above), exiting at a fixed 11-tick profit target or 10-tick stop loss.
The exact rules we tested
- 01Instrument: SPX | Signal timeframe: 1m | Direction: both
- 02Session: 09:30-16:00 (exchange tz), flat at session end
- 03No new entries after 15:30
- 04LONG sequence: 1. [close > vwap] just became true this bar THEN 2. low <= vwap (within 20 bars)
- 05SHORT sequence: 1. [close < vwap] just became true this bar THEN 2. high >= vwap (within 20 bars)
- 06Entry: market at next bar open
- 07Stop: 2.5 points
- 08Target: 2.75 points