Simple MES VWAP Strategy (Backtest OK)

🧠 MES VWAP Breakout Strategy (Trend + Volatility + Risk Control)
This strategy is designed for futures traders (e.g., MES, MGC, ES) looking for high-probability breakout entries during liquid market hours using a combination of:

VWAP (volume-weighted average price)

EMA 200 (trend filter)

ATR-based stop loss + profit targets

Custom position sizing based on risk percentage

Drawdown protection to pause trading if equity falls

📈 Core Logic
The strategy only trades in the direction of the dominant trend using EMA200, and only when volatility is elevated (via ATR). Entry is confirmed when price breaks above or below VWAP with momentum.

Entries:

✅ Long: Price above EMA200, above VWAP, high ATR, RSI > 50

✅ Short: Price below EMA200, below VWAP, high ATR, RSI < 50

Exits:

📉 Stop loss: ATR × user-defined multiplier (default 0.8)

📈 Target profit: Reward-to-risk ratio (default 2.5× stop)

⚙️ Custom Features
🔁 Backtest range: Add a start date for testing specific windows (e.g., since Monday)

💡 Real-time alerts: Alerts for Long/Short signals

💰 Auto-position sizing: Based on % risk per trade

🛑 Max drawdown limit: Disables new trades if drawdown > $2,000

🕒 Trade session filter: Focuses on high-liquidity hours only (9:45 AM–3:30 PM ET)

🧪 Suggested Timeframes
✅ 15m or 30m for intraday trading

💹 Ideal for MES1!, MGC!, ES1!, or any futures instrument with volume

⚠️ Disclaimer
This strategy is for educational and research purposes only. Backtested performance does not guarantee future results. Always test on demo or paper accounts before using real capital.