Strategy library · Popular combos
EMA 9/21 cross with a VWAP filter backtest on NQ and ES futures
EMA 9 / 21 with a VWAP filter
Also called: EMA cross VWAP filter, 9 21 EMA and VWAP strategy, EMA crossover with VWAP, buy when the 9 EMA crosses above the 21 EMA while price is above VWAP, short when the 9 EMA crosses below the 21 EMA while price is below VWAP
What happens if you buy NQ every time the 9 EMA crosses above the 21 EMA while price is above VWAP?
What it is
This is the EMA 9/21 cross with a VWAP filter: longs only when price is above the session VWAP and shorts only when it is below. It exits on the opposite cross.
What it did
On NQ futures from 2024-10-08 to 2026-10-07, the EMA 9/21 cross with a VWAP filter strategy took 528 trades on the 15-minute chart, won 42.2% of them and finished 1,068.50 points ($21,370 on one NQ contract), before commission and slippage. From 2024-10-08 to 2026-10-07 on NQ, the 279 long trades on the 15-minute chart won 44.4% and made -150.50 points (-$3,010 on one NQ contract), before commission and slippage. On ES futures from 2024-08-28 to 2026-08-27, the EMA 9/21 cross with a VWAP filter strategy took 587 trades on the 15-minute chart, won 41.7% of them and finished 13.50 points ($675 on one ES contract), before commission and slippage. The 5-minute and 1-hour results for both markets are in the table on this page.
How it was tested
CE Market Solutions tested the EMA 9/21 cross with a VWAP filter strategy on NQ (2024-10-08 to 2026-10-07) and ES (2024-08-28 to 2026-08-27) futures, 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; the NQ trades are listed on this page and the ES trades under the ES tab.
See it tested with one change · $19
Tested by CE Market Solutions on 2026-10-26. The trades are listed below, one market at a time. Gross, no commission or slippage. Last 2 years.
Results
Rule as tested: MA04, but longs only above VWAP and shorts only below it. Exit: Opposite cross.
| Timeframe | NQ · 2024-10-08 to 2026-10-07 | ES · 2024-08-28 to 2026-08-27 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Trades | Win % | Avg pts | Profit factor | Net pts | Net $ (1 NQ) | Max DD pts | Trades | Win % | Avg pts | Profit factor | Net pts | Net $ (1 ES) | Max DD pts | |
| 5 minute | 1106 | 34.7% | 1.84 | 1.054 | 2,032.25 | $40,645 | 3,115.00 | 1130 | 37.5% | 0.71 | 1.105 | 806.25 | $40,313 | 402.50 |
| 5 minute · longs only | 588 | 36.6% | — | — | 1,589.75 | $31,795 | 2,329.50 | 600 | 39.0% | — | — | 698.00 | $34,900 | 290.75 |
| 5 minute · shorts only | 518 | 32.6% | — | — | 442.50 | $8,850 | 2,654.00 | 530 | 35.9% | — | — | 108.25 | $5,413 | 310.00 |
| 15 minute | 528 | 42.2% | 2.02 | 1.045 | 1,068.50 | $21,370 | 3,388.75 | 587 | 41.7% | 0.02 | 1.002 | 13.50 | $675 | 608.75 |
| 15 minute · longs only | 279 | 44.4% | — | — | −150.50 | −$3,010 | 2,504.75 | 294 | 42.2% | — | — | 61.00 | $3,050 | 466.50 |
| 15 minute · shorts only | 249 | 39.8% | — | — | 1,219.00 | $24,380 | 1,760.50 | 293 | 41.3% | — | — | −47.50 | −$2,375 | 308.00 |
| 1 hour | 197 | 44.7% | 12.52 | 1.261 | 2,467.25 | $49,345 | 1,645.00 | 207 | 49.3% | 1.89 | 1.186 | 391.75 | $19,588 | 474.25 |
| 1 hour · longs only | 93 | 50.5% | — | — | 1,232.75 | $24,655 | 747.00 | 95 | 51.6% | — | — | 273.50 | $13,675 | 212.50 |
| 1 hour · shorts only | 104 | 39.4% | — | — | 1,234.50 | $24,690 | 1,131.00 | 112 | 47.3% | — | — | 118.25 | $5,913 | 326.50 |
Free to use with credit to CE Market Solutions (CC BY 4.0).
NQ 15 minute: the equity line
Long and short
| Side | Trades | Net pts |
|---|---|---|
| Long | 279 | −150.50 |
| Short | 249 | 1,219.00 |
By month
| Month | Trades | Net pts |
|---|---|---|
| 2024-10 | 18 | 296.50 |
| 2024-11 | 19 | −211.00 |
| 2024-12 | 14 | 171.25 |
| 2025-01 | 23 | −123.50 |
| 2025-02 | 19 | 1,071.25 |
| 2025-03 | 20 | 264.00 |
| 2025-04 | 20 | 2,538.00 |
| 2025-05 | 28 | −1,392.50 |
| 2025-06 | 21 | 84.00 |
| 2025-07 | 27 | −470.50 |
| 2025-08 | 17 | 89.00 |
| 2025-09 | 27 | −226.00 |
| 2025-10 | 17 | 938.50 |
| 2025-11 | 20 | 630.00 |
| 2025-12 | 32 | −87.50 |
| 2026-01 | 21 | −8.75 |
| 2026-02 | 25 | −338.00 |
| 2026-03 | 17 | −345.75 |
| 2026-04 | 25 | −373.00 |
| 2026-05 | 21 | −271.25 |
| 2026-06 | 24 | 510.75 |
| 2026-07 | 18 | −826.50 |
| 2026-08 | 28 | −525.00 |
| 2026-09 | 22 | −508.50 |
| 2026-10 | 5 | 183.00 |
Every trade, NQ 15 minute528 trades
Pick any of the 528 charted trades with Previous, Next or a date, or click a row in the trades table below, to see it drawn on the real 1-minute bars. Drag the chart sideways to move through the sessions around it.
Chart unavailable. The trades are in the table below.
All trades (528), newest first
Times are New York time; points are gross. Click a row to draw that trade in the chart above.
| Session date | Side | Entry (ET) | Entry price | Exit (ET) | Exit price | Exit reason | Points |
|---|---|---|---|---|---|---|---|
| 2026-10-07 | long | 12:00 | 31338.25 | 15:59 | 31396.00 | end of day 15:59 | 57.75 |
| 2026-10-06 | short | 15:45 | 31506.50 | 15:59 | 31480.75 | end of day 15:59 | 25.75 |
| 2026-10-05 | long | 09:45 | 31204.00 | 15:59 | 31338.25 | end of day 15:59 | 134.25 |
| 2026-10-02 | short | 13:15 | 31057.25 | 15:59 | 31070.00 | end of day 15:59 | −12.75 |
| 2026-10-01 | long | 14:00 | 30794.75 | 15:59 | 30772.75 | end of day 15:59 | −22.00 |
| 2026-09-29 | long | 15:00 | 30647.00 | 15:59 | 30617.50 | end of day 15:59 | −29.50 |
| 2026-09-29 | short | 11:45 | 30578.00 | 15:00 | 30647.00 | opposite cross | −69.00 |
| 2026-09-28 | long | 13:15 | 30691.00 | 15:59 | 30567.50 | end of day 15:59 | −123.50 |
| 2026-09-28 | short | 10:15 | 30521.50 | 13:15 | 30691.00 | opposite cross | −169.50 |
| 2026-09-25 | long | 12:45 | 30904.75 | 15:59 | 30891.50 | end of day 15:59 | −13.25 |
| 2026-09-24 | long | 09:45 | 30583.50 | 15:59 | 30756.75 | end of day 15:59 | 173.25 |
| 2026-09-22 | long | 09:45 | 30903.25 | 15:59 | 31029.25 | end of day 15:59 | 126.00 |
| 2026-09-18 | long | 14:45 | 29791.25 | 15:59 | 29916.50 | end of day 15:59 | 125.25 |
| 2026-09-16 | short | 15:00 | 29231.00 | 15:59 | 29254.00 | end of day 15:59 | −23.00 |
| 2026-09-15 | short | 10:45 | 29287.75 | 15:59 | 29252.50 | end of day 15:59 | 35.25 |
| 2026-09-14 | long | 10:00 | 29003.50 | 15:59 | 29151.25 | end of day 15:59 | 147.75 |
| 2026-09-09 | short | 15:00 | 29448.00 | 15:59 | 29454.50 | end of day 15:59 | −6.50 |
| 2026-09-09 | short | 11:30 | 29390.25 | 14:45 | 29466.25 | opposite cross | −76.00 |
| 2026-09-09 | long | 10:15 | 29561.25 | 11:30 | 29390.25 | opposite cross | −171.00 |
| 2026-09-08 | short | 15:30 | 29564.50 | 15:59 | 29543.50 | end of day 15:59 | 21.00 |
| 2026-09-08 | long | 11:45 | 29641.50 | 15:30 | 29564.50 | opposite cross | −77.00 |
| 2026-09-08 | short | 09:45 | 29474.25 | 11:45 | 29641.50 | opposite cross | −167.25 |
| 2026-09-07 | long | 12:45 | 29607.25 | 12:59 | 29603.50 | early close | −3.75 |
| 2026-09-07 | short | 11:30 | 29578.25 | 12:45 | 29607.25 | opposite cross | −29.00 |
| 2026-09-07 | long | 10:00 | 29618.50 | 11:30 | 29578.25 | opposite cross | −40.25 |
| 2026-09-01 | short | 12:45 | 29137.75 | 15:59 | 29126.75 | end of day 15:59 | 11.00 |
| 2026-09-01 | long | 11:45 | 29287.25 | 12:45 | 29137.75 | opposite cross | −149.50 |
| 2026-08-31 | long | 15:30 | 29447.75 | 15:59 | 29506.50 | end of day 15:59 | 58.75 |
| 2026-08-31 | short | 15:00 | 29404.50 | 15:30 | 29447.75 | opposite cross | −43.25 |
| 2026-08-31 | long | 14:00 | 29442.00 | 15:00 | 29404.50 | opposite cross | −37.50 |
| 2026-08-28 | short | 12:15 | 29558.25 | 15:59 | 29496.50 | end of day 15:59 | 61.75 |
| 2026-08-28 | long | 10:30 | 29653.50 | 12:15 | 29558.25 | opposite cross | −95.25 |
| 2026-08-28 | short | 10:15 | 29536.25 | 10:30 | 29653.50 | opposite cross | −117.25 |
| 2026-08-27 | long | 15:45 | 29632.75 | 15:59 | 29691.75 | end of day 15:59 | 59.00 |
| 2026-08-27 | long | 11:00 | 29601.75 | 15:00 | 29571.50 | opposite cross | −30.25 |
| 2026-08-26 | long | 13:30 | 29268.00 | 15:59 | 29296.75 | end of day 15:59 | 28.75 |
| 2026-08-26 | short | 12:30 | 29207.25 | 13:30 | 29268.00 | opposite cross | −60.75 |
| 2026-08-26 | long | 10:00 | 29331.50 | 12:30 | 29207.25 | opposite cross | −124.25 |
| 2026-08-25 | short | 10:15 | 29245.00 | 15:59 | 29270.25 | end of day 15:59 | −25.25 |
| 2026-08-24 | long | 14:15 | 29187.25 | 15:59 | 29099.50 | end of day 15:59 | −87.75 |
| 2026-08-24 | short | 14:00 | 29123.75 | 14:15 | 29187.25 | opposite cross | −63.50 |
| 2026-08-24 | long | 12:45 | 29185.00 | 14:00 | 29123.75 | opposite cross | −61.25 |
| 2026-08-21 | short | 09:45 | 29320.25 | 15:59 | 29395.75 | end of day 15:59 | −75.50 |
| 2026-08-19 | short | 13:30 | 29540.00 | 15:59 | 29522.00 | end of day 15:59 | 18.00 |
| 2026-08-19 | long | 11:15 | 29616.25 | 13:30 | 29540.00 | opposite cross | −76.25 |
| 2026-08-19 | short | 10:15 | 29382.25 | 11:15 | 29616.25 | opposite cross | −234.00 |
| 2026-08-14 | short | 10:30 | 30159.75 | 15:59 | 30144.50 | end of day 15:59 | 15.25 |
| 2026-08-12 | short | 15:45 | 29849.25 | 15:59 | 29853.00 | end of day 15:59 | −3.75 |
| 2026-08-11 | short | 10:00 | 29732.50 | 15:59 | 29636.00 | end of day 15:59 | 96.50 |
| 2026-08-07 | long | 15:15 | 29800.25 | 15:59 | 29833.25 | end of day 15:59 | 33.00 |
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Questions and answers
What happens if you buy NQ every time the 9 EMA crosses above the 21 EMA while price is above VWAP?
From 2024-10-08 to 2026-10-07 on the NQ 15-minute chart, the EMA 9/21 cross with a VWAP filter strategy took 279 long trades, won 44.4% of them and made -150.50 points (-$3,010 on one NQ contract), before commission and slippage. From 2024-10-08 to 2026-10-07 on NQ, its long trades also made 1,589.75 points on 588 trades on the 5-minute chart and 1,232.75 points on 93 trades on the 1-hour chart, before commission and slippage.
What happens if you short ES every time the 9 EMA crosses below the 21 EMA while price is below VWAP?
From 2024-08-28 to 2026-08-27 on the ES 15-minute chart, the EMA 9/21 cross with a VWAP filter strategy took 293 short trades, won 41.3% of them and made -47.50 points (-$2,375 on one ES contract), before commission and slippage. From 2024-08-28 to 2026-08-27 on ES, its short trades also made 108.25 points on 530 trades on the 5-minute chart and 118.25 points on 112 trades on the 1-hour chart, before commission and slippage.
Does the EMA 9/21 cross with a VWAP filter strategy work on Nasdaq futures?
On NQ futures from 2024-10-08 to 2026-10-07, the EMA 9/21 cross with a VWAP filter strategy on the 15-minute chart took 528 trades, won 42.2% of them and finished 1,068.50 points ($21,370 on one NQ contract), before commission and slippage.
What is the win rate of EMA 9 / 21 with a VWAP filter on ES futures?
The EMA 9/21 cross with a VWAP filter strategy won 41.7% of its 587 trades on the ES 15-minute chart from 2024-08-28 to 2026-08-27, before commission and slippage. On ES from 2024-08-28 to 2026-08-27 it also won 37.5% of 1,130 trades on the 5-minute chart and 49.3% of 207 trades on the 1-hour chart, before commission and slippage.
Is the EMA 9/21 cross with a VWAP filter strategy better on the 5-minute, 15-minute or 1-hour chart for NQ?
On NQ from 2024-10-08 to 2026-10-07, the EMA 9/21 cross with a VWAP filter strategy made 2,032.25 points on 1,106 trades on the 5-minute chart, 1,068.50 points on 528 trades on the 15-minute chart and 2,467.25 points on 197 trades on the 1-hour chart, before commission and slippage.
Is it better to only buy or only sell EMA 9/21 cross with a VWAP filter signals on NQ?
On the NQ 15-minute chart from 2024-10-08 to 2026-10-07, the long trades made -150.50 points on 279 trades (44.4% won) and the short trades made 1,219.00 points on 249 trades (39.8% won), before commission and slippage.
How many trades does the EMA 9/21 cross with a VWAP filter strategy take on NQ in two years?
The EMA 9/21 cross with a VWAP filter strategy took 528 trades on the NQ 15-minute chart from 2024-10-08 to 2026-10-07, before commission and slippage. On NQ from 2024-10-08 to 2026-10-07 it also took 1,106 on the 5-minute chart and 197 on the 1-hour chart, before commission and slippage.
What is the max drawdown of the EMA 9/21 cross with a VWAP filter strategy on NQ?
The EMA 9/21 cross with a VWAP filter strategy had a max drawdown of 3,388.75 points ($67,775 on one NQ contract) on the NQ 15-minute chart from 2024-10-08 to 2026-10-07, before commission and slippage. On NQ from 2024-10-08 to 2026-10-07 its max drawdown was also 3,115.00 points on the 5-minute chart and 1,645.00 points on the 1-hour chart, before commission and slippage.
How does the EMA 9/21 cross with a VWAP filter strategy do on ES compared with NQ?
On the ES 15-minute chart from 2024-08-28 to 2026-08-27, the EMA 9/21 cross with a VWAP filter strategy took 587 trades, won 41.7% of them and made 13.50 points ($675 on one ES contract), before commission and slippage. On the NQ 15-minute chart from 2024-10-08 to 2026-10-07, the EMA 9/21 cross with a VWAP filter strategy took 528 trades, won 42.2% of them and made 1,068.50 points ($21,370 on one NQ contract), before commission and slippage.
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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