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VWAP Reclaim

VWAP Reclaim

Intermediate ★ Very High NSE Fit Daily 9/10 Popularity

Uses the Volume Weighted Average Price as a dynamic support and resistance level. Extremely well-suited for NSE intraday trading — VWAP is the most widely watched institutional reference level on Indian markets.

Complexity
Intermediate
Easy to implement
NSE Suitability
Very High
9.2 / 10 score
Timeframe
Daily
Short to medium term
Best For
Swing & Positional Traders
Intraday moves
Indicators Used
1
VWAP
Win Rate (Backtest)
33.3%
Below 50% threshold
Avg Return / Trade
+0.04%
Per trade, after costs
Max Drawdown
-0.9%
Within typical range
Trades / Year
3
Small sample — interpret with caution
About the VWAP Reclaim Strategy
# VWAP Reclaim

The VWAP Reclaim strategy captures mean reversion opportunities when price temporarily breaks below the daily Volume Weighted Average Price and then reclaims it during the same trading session. This setup exploits the tendency of intraday moves to revert toward fair value after emotional selling or buying pressure.

The strategy is particularly relevant on NSE equities and futures because Indian markets experience distinct intraday volatility patterns, especially during market open and around key session times. VWAP acts as a dynamic anchor that adjusts for volume distribution throughout the day, making it more reliable than simple moving averages across NSE's varying liquidity conditions.

A typical setup occurs when price breaks below VWAP in the morning or midday session, then rebounds and closes back above it with notable volume. The reclaim itself, rather than the initial breakdown, signals renewed buying interest at fair value. Traders enter on confirmation of the reclaim and target either the session high or resistance formed earlier in the day. This approach works well within NSE's regular trading hours where volume is concentrated and VWAP calculations are most meaningful.
Who This Strategy Is For
This Intermediate strategy suits Swing & Positional Traders comfortable with a Daily timeframe and holding periods around Intraday. It's built for the Equity Intraday, Futures segment on NSE, so it fits traders who can check positions without needing intraday execution speed.
Equity Curve (Backtest) HIGH QUALITY
Tested on: LT  ·  2024-05-13 to 2026-06-30
Total Return
+0.1%
CAGR
0.1%
Sharpe Ratio
0.08
Sortino Ratio
0.12
Calmar Ratio
0.11
Win Rate
33.3%
NSE Market Fit
9 OUT OF 10
Very High Fit
This strategy is well-suited for current NSE market conditions.
Win rate quality Needs Caution
Risk-adjusted return Good
Drawdown control Excellent
Trade frequency (sample size) Needs Caution
Sharpe ratio Needs Caution
Monthly Returns Heatmap
20242025
Jan — —
Feb — —
Mar — —
Apr — —
May — —
Jun — —
Jul — —
Aug — -0.6%
Sep +1% —
Oct — —
Nov -0.3% —
Dec — —
Positive return Negative return
Performance vs Nifty 50
Nifty 50 comparison isn't available for this backtest period yet.
Trade Distribution
3 Total
Profitable 1 (33.3%)
Losing 2 (66.7%)
↑ Avg Win +968
↓ Avg Loss -429
★ Best Trade +968
▼ Worst Trade -572
Returns Distribution
Recent Backtest Results
Period Symbol Capital Total Return CAGR Max Drawdown Win Rate Trades Sharpe Ratio View
2 Years (2024–2026) LT ₹100,000 +0.1% 0.1% -0.9% 33.3% 3 0.08 View
💡 Tip: Backtest on more data to increase confidence. Our users get best results with 3+ years of backtesting. Run Extended Backtest
How It Works (Quick Overview)
1
Step 1
Mark the VWAP on the intraday chart — this resets at 9:15 AM every NSE session
2
Step 2
Wait for price to pull back to VWAP from above (bullish) or below (bearish) with a rejection candle
3
Step 3
Enter in the direction of the prevailing trend — stop just beyond VWAP, target the day high or previous resistance
View Detailed Rules & Setup →

Best Market Conditions

This strategy performs best in:

Price drops below VWAP then reclaims it with volume
Intraday recovery pattern — V-shape
Broad market supporting the move
Price holds above VWAP for 2+ candles after reclaim
Strong sector tailwind
How This Strategy Works
1
Mark the VWAP on the intraday chart — this resets at 9:15 AM every NSE session
2
Wait for price to pull back to VWAP from above (bullish) or below (bearish) with a rejection candle
3
Enter in the direction of the prevailing trend — stop just beyond VWAP, target the day high or previous resistance
Entry & Exit Rules
✓ Entry Conditions
Price drops below VWAP then reclaims it with volume
Intraday recovery pattern — V-shape
Broad market supporting the move
Price holds above VWAP for 2+ candles after reclaim
Strong sector tailwind
✕ Avoid When
Multiple failed reclaim attempts
Weak sector or negative news on the stock
Last hour of trading — insufficient follow through
Global risk-off environment
Stock below all major moving averages
Risk Management Rules
Risk Per Trade
0.8%
of total capital
Min Capital
₹50,000
Hold Period
Intraday
Segment
Equity Intraday, Futures
Common Mistakes to Avoid
⚠️ VWAP-based entries can look very different on low-liquidity stocks versus index majors — applying this strategy on illiquid names tends to produce misleading backtest results that don't hold up in live slippage conditions.
Full Backtest Report

Backtested on LT · 2024-05-13 to 2026-06-30 · Capital ₹100,000

Equity Curve

Live tracking coming soon

We're building forward-tested, paper-trade tracking for this strategy so you can see how it performs on live NSE data — not just historical backtests. Check back soon.

Sample Trade Walkthrough
SBIN 2024-03-12 · Long
WIN
Entry ₹
₹762.00
Stop Loss ₹
₹745.00
Target ₹
₹792.00
Exit ₹
₹789.00
SBI dropped below VWAP in the first hour, testing ₹745 support. After 40 minutes below VWAP, it reclaimed with a strong green candle and above-average volume. Two candles above VWAP confirmed the reclaim. Entered at ₹762, target hit at ₹789 by 1:45 PM — a clean intraday reclaim trade.
Strategy Parameters
ParameterDefaultMinMaxTypeDescription
lookback_bars 3 1 10 integer Bars below VWAP before reclaim
volume_mult 1.3 1.0 2.5 decimal Volume spike on reclaim candle
atr_mult 1.5 0.5 3.0 decimal Stop below reclaim candle low
rr 2.0 1.0 4.0 decimal Target RR
Frequently Asked Questions
VWAP Reclaim occurs when price that has been trading below VWAP for a sustained period (30+ minutes) successfully crosses back above VWAP and holds above it on a retest, confirming that buying interest has overwhelmed the prior selling pressure. The sustained time below VWAP followed by the clean reclaim provides stronger conviction than a simple VWAP crossover.
Genuine VWAP Reclaim: price closes above VWAP and holds above it on an immediate pullback retest (VWAP acting as support rather than resistance), volume on the reclaim move exceeds the recent average, and price makes a higher high above a recent swing high after reclaiming VWAP. False recovery: price touches VWAP, immediately falls back below it without consolidation above.
Stop loss goes just below VWAP (a close below VWAP invalidates the reclaim thesis). Target can be set using the session's developing Value Area High or the morning session high as initial targets. Because VWAP Reclaim provides a natural, technically meaningful stop (the VWAP level itself), position sizing can be calculated precisely based on the distance from entry to VWAP.
When VWAP Reclaim occurs on Nifty simultaneously with improving breadth (Advance-Decline ratio turning positive, percentage of Nifty 50 stocks crossing above their own VWAP) it indicates the reclaim reflects genuine broad market reversal rather than a narrow, large-cap driven move that may not sustain.
Related Strategies

Looking for alternatives? Anchored VWAP is a similar Intermediate strategy in the same VWAP category, with Very High NSE suitability.

Anchored VWAP
Intermediate · Daily
VWAP Bounce
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VWAP Crossover
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VWAP Deviation Strategy
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VWAP Mean Reversion
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SEBI Compliance Disclaimer

MomentumIQ is an educational platform for strategy research and backtesting. We do not provide investment advice, recommendations, or tips. All backtest results are hypothetical, based on historical data, and for educational purposes only. Past performance is not indicative of future results. Backtested results may not account for brokerage, slippage, taxes, or other real-world costs. Please consult a SEBI-registered investment advisor before making any investment decisions.