VWAP cross with prior-day bias
This intraday NIFTY futures strategy combines two VWAPs. Today's VWAP gives the trigger: a 15-minute candle crossing it. Yesterday's closing VWAP gives the bias: a long counts only if the candle also closes above it, and a short only if it closes below. Entry comes on a break of the signal candle, with tight fixed stop and target, and only one trade a day.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
The size of the day's range mattered most. Quiet sessions lost ₹27,127 over 84 trades, because a 0.15% target needs a move that quiet days rarely give, while the 0.10% stop is within normal noise. Trend days made ₹11,722 over 41 trades and choppy, wide-range days made ₹8,889 over 51, as both offered enough movement after a VWAP cross. After a VIX close above 14.5 trades made ₹8,105; after VIX below 11.5 they lost ₹7,172. Gap-down opens lost ₹17,102 over 31 trades, when yesterday's VWAP sat far above the day's price.
About this strategy
- Track the session VWAP of the near-month NIFTY future, reset each morning, and note yesterday's VWAP at its last tick.
- Build 15-minute candles from 09:15.
- Long signal: a candle closes above today's VWAP after the previous candle closed at or below it, and also closes above yesterday's VWAP. A short signal is the mirror image.
- Buy one lot on the first tick above the signal candle's high within the next two candles (sell below its low for a short), no later than 14:45.
- Set a stop 0.10% and a target 0.15% away from the entry price.
- Exit on the stop, the target or at 15:15; one trade per day. The session after a futures expiry is skipped.
Why traders use it
VWAP is the average price paid by everyone that day, so a cross above it is read as buyers taking control, and many intraday traders watch the same line. Requiring price to be on the same side of yesterday's VWAP adds a simple higher-timeframe filter, so trades lean with the prevailing direction. Entering only on a break of the signal candle asks the market to confirm the move first. The rules are short, objective and easy to code.
The year in plain words
On NIFTY from 1 Oct 2025 to 30 Sep 2026 the strategy took 178 trades. With a target 1.5 times the stop it needed to win about 40% to break even, and it won 38%: 108 trades hit the stop, 67 the target and 3 ran to 15:15. Net P&L was a ₹9,766 loss before costs and ₹30,311 after ₹20 per order and slippage. March made ₹15,334 and October ₹11,557, but May lost ₹19,214 and August ₹12,721. A near-breakeven result before costs became a clear loss once costs were counted.
What the settings do
Risks
- The stop is only about 25 points, so ordinary intraday noise stops out many trades.
- The edge per trade is small against costs; brokerage and spread tripled the loss here.
- Only the first signal of the day is traded, so a stopped first trade ends the day's chances.
- Fixed percentage stops and targets do not adapt to how volatile a given day is.
Who it suits
Intraday futures traders who use VWAP and want a strict, one-trade-a-day routine with small, defined risk per trade, and who can monitor or automate entries on candle breaks.
Questions traders ask
What is a VWAP crossover strategy?
It buys when price crosses above the day's volume-weighted average price and sells when it crosses below. VWAP resets each morning and reflects the average price paid that day, so a cross is read as a shift in who is in control.
Why use the previous day's VWAP?
It acts as a bias filter. Yesterday's closing VWAP is where most of yesterday's volume traded on average. Taking longs only when price is above it, and shorts only below it, keeps trades in line with the bigger picture rather than every intraday flicker.
Is the VWAP crossover strategy profitable on NIFTY?
In this backtest from 1 Oct 2025 to 30 Sep 2026 it lost ₹9,766 before costs and ₹30,311 after ₹20 per order and bid-ask slippage, winning 38% of 178 trades. Statutory charges are not included. Past results do not guarantee future ones.
Why are stop and target set in percent rather than points?
Fixed point values become too tight or too wide as the index level changes over the years. Percentages keep them in proportion: 0.10% and 0.15% are about 25 and 37 NIFTY points at current levels.