Intraday Trading Strategy using VWAP And Moving Averages by Himanshu Arora | With Scanner
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Why 3.0/5? (stars grade the EDGE — per-trade expectancy, consistency, drawdown — not the headline return)
- ✓ A real but modest per-trade edge: +0.08R across 18,989 trades
- ✓ Convex payoff 3.6 — winners far bigger than losers
- ✕ Only 26% of trades win — the rare big winners must keep showing up
- ✕ 4 of 9 tested years were negative (2018, 2019, 2025, 2026) — the edge is regime-dependent
- ✕ Max drawdown -55% on the ₹2L portfolio — the compounded return came with deep pain along the way
Verdict
Auto-backtested. AI-decoded: Intraday trend-following using VWAP as dynamic support + 20-period EMA with MACD histogram filter; buy when price closes above both VWAP and EMA with bullish MACD, exit on close below both or on 1% pr Ran on 159 large/mid-caps, real costs. 18,989 trades, win 26%, payoff 3.60, expectancy +0.08R/trade (avg +0.25%/trade).
This is a marginal edge. The payoff is convex (winners run well past the average loser). Reasonably consistent (56% of years positive).
Mechanically decoded from the transcript and scored from the metrics. Flagged for human review; a hand-vetted verdict can override it.
🔴 Live forward test (no hindsight — only trades the rules fired AFTER we published this verdict)
Tracking since 2026-07-06 — no qualifying signals have fired yet. The engine re-checks every night on fresh data; results appear here the day the rules trigger.
Is it profitable? (green above the line = made money, red below = lost it)
₹2,00,000 portfolio (max 5 positions, across the stock universe — real delivery costs)
| 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 | 2026 |
|---|---|---|---|---|---|---|---|---|
| -11% | -30% | +103% | +48% | -16% | +15% | +9% | -15% | -10% |
Simulated on the 159 large/mid-cap universe. Capital-constrained, daily mark-to-market.
Year by year (every trade the rules fired, across the tested stocks)
| Year | Trades | Win % | Expectancy | Avg return / trade |
|---|---|---|---|---|
| 2018 | 1139 | 24% | -0.07R | -0.68% |
| 2019 | 2447 | 24% | -0.02R | -0.37% |
| 2020 | 2210 | 33% | +0.31R | +2.12% |
| 2021 | 2370 | 28% | +0.16R | +0.74% |
| 2022 | 2406 | 25% | +0.01R | -0.14% |
| 2023 | 2297 | 30% | +0.35R | +1.32% |
| 2024 | 2439 | 25% | +0.00R | -0.18% |
| 2025 | 2655 | 23% | -0.06R | -0.58% |
| 2026 | 1026 | 22% | -0.11R | -0.68% |
Where this strategy made & lost money (the full stock-by-stock breakdown — 158 stocks, incl. 2026)
| # | Stock | Trades | Win% | Avg/trade | Best | Total | 2026 |
|---|---|---|---|---|---|---|---|
| 1 | ████████ | 109 | 27% | +5.9% | +182% | +642% | +60% |
| 2 | ████████ | 130 | 26% | +0.1% | +46% | +12% | +41% |
| 3 | ████████ | 108 | 31% | +4.5% | +154% | +487% | +35% |
| 4 | ████████ | 101 | 34% | +3.9% | +133% | +395% | +34% |
| 5 | ████████ | 125 | 23% | +2.6% | +97% | +320% | +33% |
| 6 | ████████ | 111 | 30% | +4.1% | +110% | +460% | +30% |
| 7 | ████████ | 126 | 23% | +0.4% | +106% | +55% | +27% |
| 8 | POLYCAB free peek | 87 | 38% | +2.7% | +58% | +233% | +26% |
| 9 | ████████ | 120 | 28% | +1.3% | +83% | +160% | +25% |
| 10 | ████████ | 117 | 29% | +1.2% | +61% | +137% | +25% |
| 11 | ████████ | 36 | 19% | -1.5% | +15% | -54% | +24% |
| 12 | ████████ | 117 | 23% | +0.3% | +22% | +31% | +15% |
| 13 | ████████ | 120 | 28% | +0.6% | +40% | +70% | +14% |
| 14 | ████████ | 117 | 26% | -0.0% | +55% | -5% | +14% |
| 15 | ████████ | 119 | 25% | +0.7% | +50% | +83% | +13% |
| 16 | ████████ | 101 | 33% | +1.7% | +50% | +176% | +12% |
| 17 | ████████ | 122 | 29% | +0.8% | +34% | +101% | +12% |
| 18 | ████████ | 110 | 24% | +0.2% | +34% | +21% | +12% |
| 19 | ████████ | 121 | 26% | +0.3% | +110% | +33% | +11% |
| 20 | ████████ | 77 | 14% | +0.4% | +65% | +29% | +11% |
| 21 | ████████ | 64 | 23% | -0.1% | +60% | -4% | -39% |
| 22 | ████████ | 135 | 22% | -0.3% | +36% | -45% | -31% |
| 23 | ████████ | 36 | 28% | +0.7% | +36% | +25% | -28% |
| 24 | ████████ | 114 | 26% | +0.0% | +46% | +1% | -27% |
| 25 | ████████ | 131 | 24% | +0.9% | +121% | +114% | -27% |
| 26 | ████████ | 131 | 24% | -0.4% | +25% | -57% | -26% |
| 27 | ████████ | 140 | 22% | -0.5% | +30% | -75% | -24% |
| 28 | ████████ | 140 | 21% | -0.7% | +12% | -93% | -23% |
| 29 | ████████ | 135 | 24% | -0.7% | +17% | -91% | -23% |
| 30 | ████████ | 128 | 20% | -0.0% | +55% | -2% | -22% |
Educational backtest output only — not investment advice or a recommendation to buy/sell any security. AI-generated from stored historical data; not 100% accurate. Past performance is not indicative of future results.
On the index (same rules applied to NIFTY & BANKNIFTY)
| Index | Trades | Win% | Expectancy (R/trade) | Avg return/trade |
|---|---|---|---|---|
| NIFTY | 150 | 26% | +0.09R | -0.05% |
| BANKNIFTY | 149 | 29% | +0.12R | +0.16% |
Full transcript (2817 words)
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