Strategy library · Comparison
VWAP cross vs VWAP fade on NQ and ES futures: 2-year backtest side by side
VWAP cross vs VWAP fade on NQ and ES futures, side by side. The table below holds VWAP cross and VWAP 2 standard-deviation fade at the timeframes they have in common, one row per strategy, ordered by market and then timeframe. No row is ordered by a result, and nothing on this page names one strategy over another: the figures are the figures.
Tested by CE Market Solutions on 2026-10-26. Gross, no commission or slippage. Last 2 years.
VWAP cross and VWAP 2 standard deviation fade
VWAP cross and VWAP 2 standard deviation fade, NQ 2024-10-08 to 2026-10-07 and ES 2024-08-28 to 2026-08-27, one contract, before commission and slippage.
| Market | Timeframe | Strategy | Trades | Win % | Net pts | Net $ (1 contract) | Max DD pts | Long trades | Long net pts | Short trades | Short net pts |
|---|---|---|---|---|---|---|---|---|---|---|---|
| NQ | 5 minute | VWAP cross | 2,235 | 21.7% | −926.50 | −$18,530 | 3,950.75 | 1,120 | −594.50 | 1,115 | −332.00 |
| NQ | 5 minute | VWAP 2 standard-deviation fade | 472 | 64.0% | −651.75 | −$13,035 | 2,478.50 | 249 | 410.25 | 223 | −1,062.00 |
| NQ | 15 minute | VWAP cross | 1,331 | 28.4% | −4,845.25 | −$96,905 | 5,617.25 | 668 | −3,111.25 | 663 | −1,734.00 |
| NQ | 15 minute | VWAP 2 standard-deviation fade | 358 | 65.1% | 2,325.50 | $46,510 | 1,305.75 | 183 | 674.25 | 175 | 1,651.25 |
| NQ | 1 hour | VWAP cross | 634 | 40.5% | −1,402.25 | −$28,045 | 4,706.50 | 318 | −2,509.50 | 316 | 1,107.25 |
| NQ | 1 hour | VWAP 2 standard-deviation fade | 209 | 62.7% | 3,218.75 | $64,375 | 813.00 | 99 | 1,585.00 | 110 | 1,633.75 |
| ES | 5 minute | VWAP cross | 2,557 | 19.9% | −21.25 | −$1,062 | 791.75 | 1,274 | 462.75 | 1,283 | −484.00 |
| ES | 5 minute | VWAP 2 standard-deviation fade | 493 | 63.1% | −69.00 | −$3,450 | 531.00 | 255 | −45.50 | 238 | −23.50 |
| ES | 15 minute | VWAP cross | 1,431 | 28.8% | −138.25 | −$6,912 | 1,059.75 | 712 | 333.50 | 719 | −471.75 |
| ES | 15 minute | VWAP 2 standard-deviation fade | 402 | 61.4% | 358.00 | $17,900 | 310.75 | 201 | 107.00 | 201 | 251.00 |
| ES | 1 hour | VWAP cross | 743 | 37.6% | −425.00 | −$21,250 | 979.75 | 360 | −362.75 | 383 | −62.25 |
| ES | 1 hour | VWAP 2 standard-deviation fade | 239 | 62.3% | 303.25 | $15,163 | 314.75 | 115 | 186.75 | 124 | 116.50 |
The figures in words
VWAP cross: buys when price closes above session VWAP, sells short when price closes below session VWAP. Exit: Opposite cross.
VWAP 2 standard-deviation fade: buys when price closes below VWAP minus 2 standard deviations, sells short when price closes above VWAP plus 2 standard deviations. Exit: Touch of VWAP.
On the NQ 5-minute chart from 2024-10-08 to 2026-10-07, VWAP cross took 2,235 trades, won 21.7% of them and made -926.50 points (-$18,530 on one NQ contract), before commission and slippage. On the NQ 5-minute chart from 2024-10-08 to 2026-10-07, VWAP 2 standard-deviation fade took 472 trades, won 64.0% of them and made -651.75 points (-$13,035 on one NQ contract), before commission and slippage. On the NQ 15-minute chart from 2024-10-08 to 2026-10-07, VWAP cross took 1,331 trades, won 28.4% of them and made -4,845.25 points (-$96,905 on one NQ contract), before commission and slippage. On the NQ 15-minute chart from 2024-10-08 to 2026-10-07, VWAP 2 standard-deviation fade took 358 trades, won 65.1% of them and made 2,325.50 points ($46,510 on one NQ contract), before commission and slippage. On the NQ 1-hour chart from 2024-10-08 to 2026-10-07, VWAP cross took 634 trades, won 40.5% of them and made -1,402.25 points (-$28,045 on one NQ contract), before commission and slippage. On the NQ 1-hour chart from 2024-10-08 to 2026-10-07, VWAP 2 standard-deviation fade took 209 trades, won 62.7% of them and made 3,218.75 points ($64,375 on one NQ contract), before commission and slippage.
On the ES 5-minute chart from 2024-08-28 to 2026-08-27, VWAP cross took 2,557 trades, won 19.9% of them and made -21.25 points (-$1,062 on one ES contract), before commission and slippage. On the ES 5-minute chart from 2024-08-28 to 2026-08-27, VWAP 2 standard-deviation fade took 493 trades, won 63.1% of them and made -69.00 points (-$3,450 on one ES contract), before commission and slippage. On the ES 15-minute chart from 2024-08-28 to 2026-08-27, VWAP cross took 1,431 trades, won 28.8% of them and made -138.25 points (-$6,912 on one ES contract), before commission and slippage. On the ES 15-minute chart from 2024-08-28 to 2026-08-27, VWAP 2 standard-deviation fade took 402 trades, won 61.4% of them and made 358.00 points ($17,900 on one ES contract), before commission and slippage. On the ES 1-hour chart from 2024-08-28 to 2026-08-27, VWAP cross took 743 trades, won 37.6% of them and made -425.00 points (-$21,250 on one ES contract), before commission and slippage. On the ES 1-hour chart from 2024-08-28 to 2026-08-27, VWAP 2 standard-deviation fade took 239 trades, won 62.3% of them and made 303.25 points ($15,163 on one ES contract), before commission and slippage.
How to read the columns: Trades is the number of closed trades; Win % is the share of them that finished above zero points; Net pts is the sum of every trade's points; Net $ is net points times the contract's dollars per point, on one contract; Max DD pts is the largest fall of the running total of points from a peak. The longs-only and shorts-only columns are sums over that side's own trades, and the two sides add up to the strategy's combined result.
CE Market Solutions tested every strategy on the last 2 years of NQ and ES futures (NQ 2024-10-08 to 2026-10-07 and ES 2024-08-28 to 2026-08-27), before commission and slippage, with each signal filled at the next bar's open, intraday positions flat at 15:59 ET and textbook default indicator settings. Nothing is tuned.
Questions and answers
How do VWAP cross and VWAP 2 standard-deviation fade compare on Nasdaq-100 futures (NQ)?
On the NQ 15-minute chart from 2024-10-08 to 2026-10-07, VWAP cross took 1,331 trades, won 28.4% of them and made -4,845.25 points (-$96,905 on one NQ contract), before commission and slippage. On the NQ 15-minute chart from 2024-10-08 to 2026-10-07, VWAP 2 standard-deviation fade took 358 trades, won 65.1% of them and made 2,325.50 points ($46,510 on one NQ contract), before commission and slippage. The other timeframes they share on NQ are in the table above.
How do VWAP cross and VWAP 2 standard-deviation fade compare on S&P 500 futures (ES)?
On the ES 15-minute chart from 2024-08-28 to 2026-08-27, VWAP cross took 1,431 trades, won 28.8% of them and made -138.25 points (-$6,912 on one ES contract), before commission and slippage. On the ES 15-minute chart from 2024-08-28 to 2026-08-27, VWAP 2 standard-deviation fade took 402 trades, won 61.4% of them and made 358.00 points ($17,900 on one ES contract), before commission and slippage. The other timeframes they share on ES are in the table above.
How these were run
- Gross: no commission and no slippage.
- The last 2 years of each market, from the first to the last session of its window.
- A signal on a closed bar fills at the next bar’s open.
- A stop and a target touched in the same minute count as the stop.
- Intraday positions are flat at 15:59 ET.
- Textbook TradingView default settings for every indicator; nothing is tuned.
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