9 EMA VWAP cross
The 9 EMA VWAP crossover is a common intraday setup: when a fast moving average crosses the day's volume-weighted average price, momentum is taken to have shifted. This version trades NIFTY futures on 5-minute bars and adds two filters, the 21 EMA must point the same way and VWAP itself must not be flat, then uses an ATR-based stop with a target at twice the risk.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
The result came almost entirely from trend days. Sessions that closed near their high or low made ₹1,37,406 over 43 trades with a 67% win rate, because a cross of VWAP early in a trending day keeps running to the 2R target. Quiet sessions with a range under 0.75% lost ₹66,209 over 48 trades and won only 19%: the 9 EMA drifts back and forth across a nearly flat VWAP and each cross runs into the 1.5-ATR stop. Down days made ₹75,097 over 76 trades, showing the short side did well. Calm evenings with VIX below 11.5 came before ₹34,842 over 33 trades.
About this strategy
- Build 5-minute bars of the near-month NIFTY future with a 9 EMA and 21 EMA, and track the session VWAP; the EMAs restart on each new contract.
- Long signal: the 9 EMA crosses above VWAP at a bar close, the 9 EMA is above the 21 EMA, and VWAP has moved at least 0.01% over the last 3 bars. A short signal is the mirror.
- Take signals from bars closing between 09:30 and 14:45, one trade at a time.
- Buy or sell one lot at the first tick after the signal bar.
- Stop 1.5 times the 14-bar ATR away; target twice that distance.
- Exit on the stop, the target or at 15:15; a new trade needs a fresh cross.
Why traders use it
VWAP is where the day's average participant stands, and the 9 EMA is a quick read of recent momentum, so a cross marks the moment short-term buying or selling overtakes the day's average. The 21 EMA filter keeps trades with the slightly bigger trend, and the slope filter skips the flat, directionless VWAP of quiet days. An ATR stop scales with volatility, and a 2-to-1 target means a win rate of about 34% is enough to break even before costs.
The year in plain words
On NIFTY from 1 Oct 2025 to 30 Sep 2026 the strategy took 137 trades, about 11 a month, and won 40%: 49 reached the 2R target, 79 hit the ATR stop and 9 were closed at 15:15. With wins almost twice the size of losses, net P&L was ₹66,481 before costs, a profit factor of 1.27, and ₹34,403 after ₹20 per order and slippage. March made ₹48,106 and October ₹24,609, while May lost ₹15,333. Costs took about half the profit, and the gains depended on trend days.
What the settings do
Risks
- Most of the profit came from trend days; a year with fewer of them could easily lose.
- The slope filter does not stop all quiet-day crosses, and those mostly hit the stop.
- Costs on each round trip took about half of the before-costs profit here.
- Losing runs of 8 trades in a row occurred, which tests discipline.
Who it suits
Intraday futures traders familiar with VWAP and EMAs who can monitor or automate 5-minute signals, have margin for a NIFTY lot, and accept a 40% win rate with larger winners.
Questions traders ask
What is the 9 EMA VWAP crossover strategy?
It buys when the 9-period EMA crosses above the session VWAP and sells when it crosses below. The cross is read as short-term momentum moving above or below the day's average price. This version adds a 21 EMA trend filter and a VWAP slope filter.
Is the 9 EMA VWAP strategy profitable on NIFTY?
In this backtest from 1 Oct 2025 to 30 Sep 2026 it made ₹66,481 before costs and ₹34,403 after ₹20 per order and bid-ask slippage, with a ₹46,358 drawdown before costs. Statutory charges are not included. Past results do not guarantee future ones.
Why check the VWAP slope?
On quiet days VWAP is nearly flat and the fast EMA crosses it repeatedly without any real move. Requiring VWAP to be sloping filters out some of those days. In this test quiet sessions were still the main source of losses.
Why is VWAP taken from futures and not the index?
VWAP needs traded volume, and the NIFTY index itself has none. The near-month future trades heavily and tracks the index closely, so its session VWAP is used.