_mr_beach Liquidity Sweep + VWAP Reversal

Liquidity Sweep + VWAP Reversal (Trend Filter, Session, 1 Trade per Day)

Overview
This strategy models a common institutional market behavior: liquidity is taken above the previous day’s high or below the previous day’s low, followed by a return toward fair value (VWAP) and a reversal in the direction of the prevailing trend.
Designed as a TradingView strategy for structured backtesting in the Strategy Tester.

Core Components

Liquidity Levels: Previous Day High / Previous Day Low

Fair Value Reference: VWAP

Trend Filter: EMA (default: 200)

Volatility-Based Risk: ATR

Trading Rules

Trend Filter

Long only when price closes above EMA

Short only when price closes below EMA

Liquidity Sweep

Bullish sweep: Low < Previous Day Low

Bearish sweep: High > Previous Day High

Entry Confirmation

Long: After a sweep below the Previous Day Low, price closes back above the level and above VWAP

Short: After a sweep above the Previous Day High, price closes back below the level and below VWAP

Risk Management

Stop Loss: ATR-based (slATR)

Take Profit: ATR-based (tpATR)

Automatically adapts to changing market volatility

Session & Trade Frequency

Optional session filter (default: 09:30–16:00 exchange time)

Optional one trade per day limit to reduce overtrading

Chart Elements

EMA (trend direction)

VWAP (fair value)

Previous Day High / Low (liquidity zones)

Alerts

Long setup: Liquidity sweep + VWAP reversal

Short setup: Liquidity sweep + VWAP reversal

Recommended Usage

Markets: Indices, liquid stocks, Forex majors, crypto

Timeframes: 5m, 15m

Note: Parameters such as ATR multipliers and session settings should be optimized per market

Disclaimer

This is a backtesting strategy, not financial advice.

Results depend on market conditions, timeframe, fees, and slippage.

Tags: Liquidity, VWAP, EMA, Reversal, Sweep, Smart Money, ICT, ATR, Strategy