NQ Scalping VWAP Mean Reversion (RSI + ATR Exits) [v5]

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This strategy is designed for NQ scalping using a VWAP mean reversion approach. It enters long positions when price extends below VWAP with oversold RSI conditions and confirms with a bullish reversal candle. It enters short positions when price stretches above VWAP with overbought RSI conditions and confirms with a bearish reversal candle.

Risk management is handled using ATR-based stop losses and profit targets, with an optional time-based exit to prevent overexposure during consolidation. The strategy is optimized for lower timeframes such as 1–5 minute charts and is intended for intraday trading during regular session hours.

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Pine Script Source

//@version=5
strategy("NQ Scalping VWAP Mean Reversion (RSI + ATR Exits) [v5]",
     overlay=true,
     initial_capital=10000,
     commission_type=strategy.commission.cash_per_contract,
     commission_value=0.0,
     slippage=0,
     calc_on_every_tick=true,
     process_orders_on_close=true)

//====================
// Inputs
//====================
useSession   = input.bool(true, "Use Session Filter")
sessionInput = input.session("0930-1600", "Session (Exchange Time)")

rsiLen       = input.int(14, "RSI Length", minval=1)
rsiOS        = input.int(30, "RSI Oversold", minval=1, maxval=50)
rsiOB        = input.int(70, "RSI Overbought", minval=50, maxval=99)

minVwapDist  = input.float(6.0, "Min Distance From VWAP (points)", step=0.25, minval=0.0)

atrLen       = input.int(14, "ATR Length", minval=1)
stopATR      = input.float(1.0, "Stop = ATR *", step=0.1, minval=0.1)
targetATR    = input.float(1.1, "Target = ATR *", step=0.1, minval=0.1)

useTimeExit  = input.bool(true, "Time Exit (bars)")
timeBars     = input.int(20, "Exit After Bars", minval=1)

useOneTradeAtATime = input.bool(true, "One Position at a Time")

//====================
// Filters / Calcs
//====================
inSession = not useSession or not na(time(timeframe.period, sessionInput))

vwap = ta.vwap(hlc3)
rsi  = ta.rsi(close, rsiLen)
atr  = ta.atr(atrLen)

dist = close - vwap

// A small "reversal confirmation":
// Long confirm = current candle closes up AND previous candle was down
// Short confirm = current candle closes down AND previous candle was up
bullReversal = close > open and close[1] < open[1]
bearReversal = close < open and close[1] > open[1]

//====================
// Entry Logic (Mean Reversion)
//====================
canEnter = not useOneTradeAtATime or strategy.position_size == 0

longSignal =
     inSession and canEnter and
     (dist <= -minVwapDist) and
     (rsi <= rsiOS) and
     bullReversal

shortSignal =
     inSession and canEnter and
     (dist >= minVwapDist) and
     (rsi >= rsiOB) and
     bearReversal

if longSignal
    strategy.entry("Long", strategy.long)

if shortSignal
    strategy.entry("Short", strategy.short)

//====================
// Exits (ATR Brackets + Optional Time Exit)
//====================
longStop  = strategy.position_avg_price - atr * stopATR
longLimit = strategy.position_avg_price + atr * targetATR

shortStop  = strategy.position_avg_price + atr * stopATR
shortLimit = strategy.position_avg_price - atr * targetATR

if strategy.position_size > 0
    strategy.exit("Long Exit", from_entry="Long", stop=longStop, limit=longLimit)

if strategy.position_size < 0
    strategy.exit("Short Exit", from_entry="Short", stop=shortStop, limit=shortLimit)

// Optional time-based exit (prevents holding too long in chop)
var int barsInTrade = 0
if strategy.position_size != 0
    barsInTrade += 1
else
    barsInTrade := 0

if useTimeExit and strategy.position_size > 0 and barsInTrade >= timeBars
    strategy.close("Long", comment="Time Exit Long")

if useTimeExit and strategy.position_size < 0 and barsInTrade >= timeBars
    strategy.close("Short", comment="Time Exit Short")

//====================
// Visuals
//====================
plot(vwap, "VWAP", linewidth=2)
plotshape(longSignal, title="Long Signal", style=shape.circle, location=location.belowbar, size=size.tiny, text="MR L")
plotshape(shortSignal, title="Short Signal", style=shape.circle, location=location.abovebar, size=size.tiny, text="MR S")