← ALL STRATEGIES · vwap_pullback

ORB-break VWAP pullback

COURSE STRATEGY
RUNNING

Enters an opening-range continuation after a VWAP retest and reclaim.

DEFAULT MARKETNQ=F
BAR INTERVAL1m
GROSS EXPOSURE1.0x
PAPER CASH$99,885.75
REALIZED P&L$-114.25
PROMOTION AUDIT

No AI qualification submitted

This strategy keeps its course or research provenance. A normal backtest snapshot cannot award the AI-generated label.

NOT TESTEDLocked evidenceRequires 100+ trades over 180+ untouched calendar days.
NOT TESTEDCost survivalMust beat exposure-matched Buy & Hold at 4 and 8 bps.
NOT TESTEDIntraday flatnessEvery position must close within its trading session.
NOT TESTEDImmutable provenanceExact algorithm, dataset, and trade-ledger SHA-256 fingerprints are mandatory.

How the strategy works

Instead of chasing the first opening-range break, this setup waits for price to return to VWAP and then resume in the breakout direction. The pullback supplies a defined stop while a confirmed pivot supplies the objective.

Concrete example

After breaking above the morning range, NQ pulls down to VWAP and the next bar closes back above it. The long enters on that reclaim, stops below the pullback structure and targets the last confirmed upside pivot or bracket objective.

Exact algorithm

Required data: ohlcv

Where it may work—and where it can fail

EXPECTED BEST CONDITIONS

Orderly trend days with a clean breakout, controlled pullback and decisive VWAP reclaim.

IMPORTANT CONTEXT

The free 1-minute sample is only seven days and pivot confirmation is path-dependent.

Main risks

“Best conditions” is an interpretation of the strategy's mechanism, not an additional course entry rule and not a performance guarantee.

Forward paper transactions

LEDGER START2026-08-16T22:55:38.331990+00:00
PAPER VERSIONv2 · c565e4af7935
STATUSrunning
STATUS DETAILNo issue
EntrySideEntry priceExitExit priceCapital basisGross notionalOutcomeP&L
2026-09-29 18:20:00+00:00SHORT30,594.252026-09-29 18:22:00+00:0030,600.00$10,000.00$10,000.00MISS$-5.88
2026-09-28 17:07:00+00:00SHORT30,570.002026-09-28 17:07:00+00:0030,585.75$10,000.00$10,000.00MISS$-9.15
2026-09-25 19:36:00+00:00LONG30,854.502026-09-25 19:36:00+00:0030,845.00$10,000.00$10,000.00MISS$-7.08
2026-09-24 14:56:00+00:00LONG30,551.002026-09-24 14:57:00+00:0030,544.00$10,000.00$10,000.00MISS$-6.29
2026-09-18 18:25:00+00:00SHORT29,774.502026-09-18 18:27:00+00:0029,779.50$10,000.00$10,000.00MISS$-5.68
2026-09-16 17:46:00+00:00LONG29,440.252026-09-16 17:58:00+00:0029,475.25$10,000.00$10,000.00HIT$+7.89
2026-09-11 19:52:00+00:00LONG29,399.002026-09-11 19:53:00+00:0029,405.00$10,000.00$10,000.00MISS$-1.96
2026-09-10 14:25:00+00:00LONG29,239.002026-09-10 16:10:00+00:0029,177.75$10,000.00$10,000.00MISS$-24.95
2026-09-09 14:20:00+00:00LONG29,494.002026-09-09 14:20:00+00:0029,505.00$10,000.00$10,000.00MISS$-0.27
2026-09-08 14:57:00+00:00SHORT29,543.752026-09-08 14:59:00+00:0029,562.00$10,000.00$10,000.00MISS$-10.18
2026-09-04 16:56:00+00:00SHORT29,580.252026-09-04 16:56:00+00:0029,588.00$10,000.00$10,000.00MISS$-6.62
2026-09-01 14:31:00+00:00LONG29,199.752026-09-01 15:41:00+00:0029,274.75$10,000.00$10,000.00HIT$+21.69
2026-08-31 14:43:00+00:00SHORT29,427.252026-08-31 14:47:00+00:0029,412.25$10,000.00$10,000.00HIT$+1.10
2026-08-28 14:20:00+00:00SHORT29,617.502026-08-28 14:20:00+00:0029,636.75$10,000.00$10,000.00MISS$-10.50
2026-08-27 14:48:00+00:00LONG29,575.252026-08-27 15:44:00+00:0029,532.00$10,000.00$10,000.00MISS$-18.62
2026-08-26 14:41:00+00:00SHORT29,227.502026-08-26 14:48:00+00:0029,238.50$10,000.00$10,000.00MISS$-7.76
2026-08-25 15:34:00+00:00SHORT29,268.002026-08-25 20:00:00+00:0029,269.50$10,000.00$10,000.00MISS$-4.51
2026-08-21 18:08:00+00:00LONG29,381.502026-08-21 18:14:00+00:0029,373.50$10,000.00$10,000.00MISS$-6.72
2026-08-20 16:48:00+00:00SHORT29,366.002026-08-20 17:16:00+00:0029,320.00$10,000.00$10,000.00HIT$+11.66
2026-08-19 14:41:00+00:00SHORT29,550.252026-08-19 14:53:00+00:0029,575.00$10,000.00$10,000.00MISS$-12.38
2026-08-18 16:49:00+00:00SHORT29,664.502026-08-18 16:54:00+00:0029,669.25$10,000.00$10,000.00MISS$-5.60
2026-08-17 15:51:00+00:00LONG30,240.252026-08-17 16:05:00+00:0030,214.75$10,000.00$10,000.00MISS$-12.43

Capital basis is allocated paper equity. Gross notional uses the exposure stored with that exact fill; legacy fills with no recorded exposure are shown as unknown. A new semantic paper generation archives the prior run and restarts the forward clock.

Archived paper versions

Read-only prior runs preserve their executable manifest, balances, and fills. They never contribute to the active clock, cash, or qualification.

VersionMarketExposureAllocationCostCode hashStartedArchivedFillsStarting cashEnding cashRealized P&LFinal status
legacy-v1unknown · unknownunknownunknownunknownlegacy2026-08-16T16:54:09.212635+00:002026-08-16T22:55:38.331990+00:000$100,000.00$100,000.00$+0.00running
TRADES5
AVERAGE TRADE-4.21 bps
STRATEGY 1.0x / BUY & HOLD 1x-0.21% / -0.65%
VS 1x REFERENCE+0.44% · BEATS B&H
DRAWDOWN: STRATEGY / B&H+0.28% / +2.31%
HITS / MISSES1 / 4
HIT RATE+20.00%
AVG HIT / MISS+0.07% / -0.07%
LONGEST MISS STREAK4

Rolling 70/30 diagnostic

This moving 70/30 split is a dashboard diagnostic, not frozen qualification evidence. It cannot award AI-qualified status.

FINAL 30% TRADES2
STRATEGY / B&H 1x+0.01% / +0.77%
FINAL 30% VS B&H-0.76%
FINAL 30% HIT RATE+50.00%
FINAL 30% DRAWDOWN+0.06%
INDEPENDENT EVIDENCE?No

Candles and execution signals

▲ BUY▼ SELLHover a candle or marker for exact values
30871.0030843.3830815.7530788.1230760.502026-09-30T16:31:00+00:00 O 30836.25 H 30839.75 L 30830.25 C 30833.002026-09-30T16:32:00+00:00 O 30833.00 H 30837.25 L 30825.75 C 30829.252026-09-30T16:33:00+00:00 O 30829.50 H 30833.75 L 30825.25 C 30833.002026-09-30T16:34:00+00:00 O 30832.75 H 30835.75 L 30826.25 C 30834.252026-09-30T16:35:00+00:00 O 30833.75 H 30838.00 L 30828.00 C 30831.252026-09-30T16:36:00+00:00 O 30831.75 H 30834.50 L 30819.75 C 30822.002026-09-30T16:37:00+00:00 O 30822.00 H 30834.00 L 30821.00 C 30828.752026-09-30T16:38:00+00:00 O 30829.25 H 30843.50 L 30826.75 C 30841.502026-09-30T16:39:00+00:00 O 30841.75 H 30842.25 L 30833.50 C 30836.252026-09-30T16:40:00+00:00 O 30836.25 H 30841.25 L 30832.75 C 30840.002026-09-30T16:41:00+00:00 O 30840.25 H 30859.00 L 30840.00 C 30851.752026-09-30T16:42:00+00:00 O 30852.25 H 30854.50 L 30843.25 C 30848.252026-09-30T16:43:00+00:00 O 30848.50 H 30864.25 L 30847.50 C 30860.002026-09-30T16:44:00+00:00 O 30860.00 H 30866.50 L 30859.00 C 30861.502026-09-30T16:45:00+00:00 O 30861.25 H 30861.25 L 30847.25 C 30850.002026-09-30T16:46:00+00:00 O 30850.00 H 30854.00 L 30845.25 C 30850.752026-09-30T16:47:00+00:00 O 30851.00 H 30860.50 L 30851.00 C 30853.252026-09-30T16:48:00+00:00 O 30852.75 H 30852.75 L 30836.00 C 30838.252026-09-30T16:49:00+00:00 O 30838.00 H 30840.00 L 30834.00 C 30839.502026-09-30T16:50:00+00:00 O 30839.75 H 30847.00 L 30837.75 C 30847.002026-09-30T16:51:00+00:00 O 30847.25 H 30851.00 L 30842.00 C 30843.502026-09-30T16:52:00+00:00 O 30843.25 H 30851.75 L 30840.75 C 30843.502026-09-30T16:53:00+00:00 O 30843.00 H 30848.50 L 30841.50 C 30844.252026-09-30T16:54:00+00:00 O 30844.25 H 30846.50 L 30841.25 C 30843.252026-09-30T16:55:00+00:00 O 30843.75 H 30849.50 L 30838.75 C 30842.002026-09-30T16:56:00+00:00 O 30841.50 H 30845.25 L 30837.75 C 30843.752026-09-30T16:57:00+00:00 O 30844.25 H 30856.50 L 30844.00 C 30851.252026-09-30T16:58:00+00:00 O 30851.50 H 30861.00 L 30851.00 C 30857.502026-09-30T16:59:00+00:00 O 30857.00 H 30863.00 L 30855.50 C 30861.252026-09-30T17:00:00+00:00 O 30860.75 H 30868.25 L 30857.25 C 30862.252026-09-30T17:01:00+00:00 O 30862.00 H 30871.00 L 30859.25 C 30868.252026-09-30T17:02:00+00:00 O 30869.00 H 30870.25 L 30861.75 C 30863.252026-09-30T17:03:00+00:00 O 30863.75 H 30866.50 L 30858.25 C 30865.002026-09-30T17:04:00+00:00 O 30865.50 H 30867.75 L 30860.00 C 30860.252026-09-30T17:05:00+00:00 O 30859.75 H 30868.00 L 30857.50 C 30862.502026-09-30T17:06:00+00:00 O 30862.50 H 30869.50 L 30860.75 C 30865.752026-09-30T17:07:00+00:00 O 30865.75 H 30870.25 L 30862.25 C 30865.502026-09-30T17:08:00+00:00 O 30864.50 H 30870.00 L 30863.25 C 30868.002026-09-30T17:09:00+00:00 O 30867.50 H 30869.25 L 30861.25 C 30861.752026-09-30T17:10:00+00:00 O 30862.50 H 30864.75 L 30856.00 C 30859.002026-09-30T17:11:00+00:00 O 30859.25 H 30863.25 L 30854.25 C 30856.252026-09-30T17:12:00+00:00 O 30856.50 H 30858.75 L 30849.25 C 30849.252026-09-30T17:13:00+00:00 O 30849.50 H 30850.25 L 30831.50 C 30833.252026-09-30T17:14:00+00:00 O 30833.50 H 30840.50 L 30832.00 C 30835.502026-09-30T17:15:00+00:00 O 30835.00 H 30835.50 L 30809.50 C 30810.002026-09-30T17:16:00+00:00 O 30809.50 H 30810.00 L 30797.75 C 30808.752026-09-30T17:17:00+00:00 O 30809.00 H 30817.50 L 30804.50 C 30813.252026-09-30T17:18:00+00:00 O 30813.25 H 30813.75 L 30802.50 C 30805.502026-09-30T17:19:00+00:00 O 30805.75 H 30810.50 L 30790.50 C 30791.002026-09-30T17:20:00+00:00 O 30791.00 H 30795.50 L 30783.50 C 30791.252026-09-30T17:21:00+00:00 O 30791.50 H 30808.50 L 30791.50 C 30806.002026-09-30T17:22:00+00:00 O 30805.50 H 30809.75 L 30794.00 C 30799.252026-09-30T17:23:00+00:00 O 30798.75 H 30801.25 L 30790.75 C 30797.502026-09-30T17:24:00+00:00 O 30797.25 H 30801.00 L 30796.25 C 30800.252026-09-30T17:25:00+00:00 O 30799.75 H 30800.25 L 30785.25 C 30789.252026-09-30T17:26:00+00:00 O 30789.25 H 30792.50 L 30760.50 C 30766.252026-09-30T17:27:00+00:00 O 30766.75 H 30781.00 L 30763.50 C 30778.002026-09-30T17:28:00+00:00 O 30778.25 H 30785.75 L 30776.00 C 30783.252026-09-30T17:29:00+00:00 O 30783.25 H 30795.50 L 30783.00 C 30788.752026-09-30T17:30:00+00:00 O 30789.00 H 30797.75 L 30788.25 C 30796.002026-09-30T17:31:00+00:00 O 30796.25 H 30805.00 L 30788.75 C 30803.502026-09-30T17:32:00+00:00 O 30803.50 H 30813.50 L 30802.75 C 30813.502026-09-30T17:33:00+00:00 O 30812.25 H 30813.00 L 30804.00 C 30804.252026-09-30T17:34:00+00:00 O 30804.25 H 30808.25 L 30797.75 C 30801.752026-09-30T17:35:00+00:00 O 30802.25 H 30816.25 L 30802.25 C 30809.752026-09-30T17:36:00+00:00 O 30810.50 H 30818.00 L 30807.00 C 30808.002026-09-30T17:37:00+00:00 O 30807.75 H 30809.50 L 30799.00 C 30799.252026-09-30T17:38:00+00:00 O 30800.00 H 30812.00 L 30798.00 C 30811.002026-09-30T17:39:00+00:00 O 30811.25 H 30824.50 L 30809.50 C 30823.502026-09-30T17:40:00+00:00 O 30824.00 H 30828.25 L 30820.75 C 30821.752026-09-30T17:41:00+00:00 O 30822.25 H 30832.50 L 30818.75 C 30829.502026-09-30T17:42:00+00:00 O 30829.50 H 30836.00 L 30822.50 C 30834.002026-09-30T17:43:00+00:00 O 30834.75 H 30837.50 L 30825.50 C 30825.502026-09-30T17:44:00+00:00 O 30826.00 H 30826.50 L 30817.50 C 30826.252026-09-30T17:45:00+00:00 O 30826.50 H 30827.50 L 30816.00 C 30822.002026-09-30T17:46:00+00:00 O 30822.50 H 30826.50 L 30820.00 C 30825.502026-09-30T17:47:00+00:00 O 30825.25 H 30852.00 L 30820.75 C 30835.002026-09-30T17:48:00+00:00 O 30835.50 H 30853.25 L 30832.00 C 30850.502026-09-30T17:49:00+00:00 O 30851.00 H 30857.00 L 30850.00 C 30856.752026-09-30T17:50:00+00:00 O 30856.50 H 30862.25 L 30853.50 C 30854.752026-09-30T17:51:00+00:00 O 30854.25 H 30860.00 L 30853.25 C 30858.002026-09-30T17:52:00+00:00 O 30857.75 H 30863.75 L 30848.25 C 30849.752026-09-30T17:53:00+00:00 O 30850.50 H 30852.75 L 30847.25 C 30852.252026-09-30T17:54:00+00:00 O 30852.00 H 30855.75 L 30847.00 C 30855.752026-09-30T17:55:00+00:00 O 30855.00 H 30856.50 L 30847.00 C 30852.252026-09-30T17:56:00+00:00 O 30852.50 H 30859.00 L 30851.50 C 30858.002026-09-30T17:57:00+00:00 O 30857.75 H 30860.25 L 30851.25 C 30854.502026-09-30T17:58:00+00:00 O 30854.25 H 30857.50 L 30853.00 C 30855.252026-09-30T17:59:00+00:00 O 30855.00 H 30860.00 L 30853.75 C 30856.502026-09-30T18:00:00+00:00 O 30856.50 H 30856.75 L 30840.50 C 30841.002026-09-30T18:01:00+00:00 O 30841.25 H 30845.75 L 30828.75 C 30837.752026-09-30T18:02:00+00:00 O 30837.25 H 30841.00 L 30835.50 C 30838.252026-09-30T18:03:00+00:00 O 30839.50 H 30843.50 L 30836.75 C 30839.752026-09-30T18:04:00+00:00 O 30839.00 H 30846.25 L 30836.50 C 30843.002026-09-30T18:05:00+00:00 O 30842.75 H 30847.00 L 30835.75 C 30836.002026-09-30T18:06:00+00:00 O 30835.50 H 30835.75 L 30819.25 C 30822.752026-09-30T18:07:00+00:00 O 30822.75 H 30830.75 L 30821.50 C 30829.252026-09-30T18:08:00+00:00 O 30829.50 H 30835.50 L 30820.00 C 30835.002026-09-30T18:09:00+00:00 O 30835.25 H 30844.00 L 30828.75 C 30843.502026-09-30T18:10:00+00:00 O 30843.50 H 30845.75 L 30838.50 C 30845.252026-09-30T18:11:00+00:00 O 30845.00 H 30853.75 L 30843.25 C 30851.752026-09-30T18:12:00+00:00 O 30851.00 H 30864.75 L 30850.25 C 30859.752026-09-30T18:13:00+00:00 O 30860.00 H 30861.25 L 30847.75 C 30853.002026-09-30T18:14:00+00:00 O 30853.50 H 30860.50 L 30851.75 C 30857.002026-09-30T18:15:00+00:00 O 30857.00 H 30859.25 L 30851.00 C 30855.252026-09-30T18:16:00+00:00 O 30855.25 H 30858.00 L 30847.25 C 30847.752026-09-30T18:17:00+00:00 O 30848.25 H 30848.75 L 30837.25 C 30837.252026-09-30T18:18:00+00:00 O 30838.00 H 30843.25 L 30831.25 C 30842.502026-09-30T18:19:00+00:00 O 30842.25 H 30843.50 L 30830.50 C 30833.752026-09-30T18:20:00+00:00 O 30834.75 H 30839.25 L 30826.75 C 30831.002026-09-30T18:21:00+00:00 O 30830.00 H 30830.50 L 30816.75 C 30823.752026-09-30T18:22:00+00:00 O 30824.00 H 30827.25 L 30820.50 C 30822.752026-09-30T18:23:00+00:00 O 30822.75 H 30825.00 L 30816.00 C 30823.502026-09-30T18:24:00+00:00 O 30824.00 H 30825.50 L 30818.25 C 30818.752026-09-30T18:25:00+00:00 O 30819.00 H 30823.75 L 30810.75 C 30812.002026-09-30T18:26:00+00:00 O 30811.25 H 30829.00 L 30807.75 C 30826.502026-09-30T18:27:00+00:00 O 30826.75 H 30830.25 L 30821.00 C 30823.252026-09-30T18:28:00+00:00 O 30822.75 H 30833.50 L 30822.75 C 30831.502026-09-30T18:29:00+00:00 O 30831.75 H 30836.75 L 30827.50 C 30832.502026-09-30T18:30:00+00:00 O 30832.00 H 30837.50 L 30825.25 C 30831.00ENTRY BUY · 2026-09-30 17:27:00+00:00 · 30778.00BUYEXIT SELL · 2026-09-30 17:32:00+00:00 · 30813.00SELL2026-09-302026-09-30

Shows the latest 120 available bars. BUY/SELL marks strategy entries and exits whose timestamps fall in this visible window.

Historical equity curve

Compounds each encoded net trade sequentially, including the strategy's declared exposure and modeled costs. The forward ledger starts only after deployment.

Backtest specification

STATUS / REPLICATIONcompleted · exact_course_rules
DATAYahoo Finance (delayed/unofficial)
MARKETNQ=F · 1m
HISTORY2026-09-23T04:09:00+00:00
2026-09-30T18:30:00+00:00
WIN RATE+20.00%
PROFIT FACTOR0.26

The free 1-minute sample is only seven days and pivot confirmation is path-dependent.

Historical transactions

Download JSONDownload all transactions as CSV

HIT = profitable after the 4 bps cost assumption; MISS = loss after costs; FLAT = break-even. Showing the most recent 100 of 5 transactions.

EntrySideEntry priceExitExit priceOutcomeNet return
2026-09-30 17:27:00+00:00LONG30,778.002026-09-30 17:32:00+00:0030,813.00HIT+0.074%
2026-09-29 18:20:00+00:00SHORT30,594.252026-09-29 18:22:00+00:0030,600.00MISS-0.059%
2026-09-28 17:07:00+00:00SHORT30,570.002026-09-28 17:07:00+00:0030,585.75MISS-0.092%
2026-09-25 19:36:00+00:00LONG30,854.502026-09-25 19:36:00+00:0030,845.00MISS-0.071%
2026-09-24 14:56:00+00:00LONG30,551.002026-09-24 14:57:00+00:0030,544.00MISS-0.063%