Strategy library · Moving averages
VWAP cross backtest on NQ and ES futures
VWAP cross
Also called: price crossing VWAP, VWAP crossover strategy, close above VWAP, buy when price closes above session VWAP, short when price closes below session VWAP
What happens if you buy NQ every time price closes above session VWAP?
What it is
The volume-weighted average price (VWAP) is the session's average price weighted by volume. This strategy goes long when the close crosses above the session VWAP, short when it crosses below, and exits on the opposite cross.
What it did
On NQ futures from 2024-10-08 to 2026-10-07, the VWAP cross strategy took 1,331 trades on the 15-minute chart, won 28.4% of them and finished -4,845.25 points (-$96,905 on one NQ contract), before commission and slippage. From 2024-10-08 to 2026-10-07 on NQ, the 668 long trades on the 15-minute chart won 30.4% and made -3,111.25 points (-$62,225 on one NQ contract), before commission and slippage. On ES futures from 2024-08-28 to 2026-08-27, the VWAP cross strategy took 1,431 trades on the 15-minute chart, won 28.8% of them and finished -138.25 points (-$6,912 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 VWAP cross 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: Long when the close crosses above session VWAP; short below. 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 | 2235 | 21.7% | −0.41 | 0.982 | −926.50 | −$18,530 | 3,950.75 | 2557 | 19.9% | −0.01 | 0.998 | −21.25 | −$1,062 | 791.75 |
| 5 minute · longs only | 1120 | 23.1% | — | — | −594.50 | −$11,890 | 2,849.75 | 1274 | 21.1% | — | — | 462.75 | $23,138 | 357.25 |
| 5 minute · shorts only | 1115 | 20.3% | — | — | −332.00 | −$6,640 | 2,344.25 | 1283 | 18.6% | — | — | −484.00 | −$24,200 | 779.50 |
| 15 minute | 1331 | 28.4% | −3.64 | 0.890 | −4,845.25 | −$96,905 | 5,617.25 | 1431 | 28.8% | −0.10 | 0.986 | −138.25 | −$6,912 | 1,059.75 |
| 15 minute · longs only | 668 | 30.4% | — | — | −3,111.25 | −$62,225 | 3,640.25 | 712 | 29.8% | — | — | 333.50 | $16,675 | 406.25 |
| 15 minute · shorts only | 663 | 26.4% | — | — | −1,734.00 | −$34,680 | 3,394.75 | 719 | 27.8% | — | — | −471.75 | −$23,587 | 805.50 |
| 1 hour | 634 | 40.5% | −2.21 | 0.952 | −1,402.25 | −$28,045 | 4,706.50 | 743 | 37.6% | −0.57 | 0.940 | −425.00 | −$21,250 | 979.75 |
| 1 hour · longs only | 318 | 40.6% | — | — | −2,509.50 | −$50,190 | 3,360.50 | 360 | 37.2% | — | — | −362.75 | −$18,137 | 760.75 |
| 1 hour · shorts only | 316 | 40.5% | — | — | 1,107.25 | $22,145 | 2,624.25 | 383 | 37.9% | — | — | −62.25 | −$3,112 | 663.25 |
Free to use with credit to CE Market Solutions (CC BY 4.0).
ES 5 minute: the equity line
Long and short
| Side | Trades | Net pts |
|---|---|---|
| Long | 1274 | 462.75 |
| Short | 1283 | −484.00 |
By month
| Month | Trades | Net pts |
|---|---|---|
| 2024-08 | 5 | 49.50 |
| 2024-09 | 119 | 39.75 |
| 2024-10 | 120 | −135.25 |
| 2024-11 | 87 | −36.75 |
| 2024-12 | 99 | −32.50 |
| 2025-01 | 115 | −188.00 |
| 2025-02 | 106 | 73.75 |
| 2025-03 | 80 | 228.25 |
| 2025-04 | 99 | 534.25 |
| 2025-05 | 125 | −273.25 |
| 2025-06 | 96 | 60.25 |
| 2025-07 | 105 | 39.50 |
| 2025-08 | 120 | −52.25 |
| 2025-09 | 132 | −148.50 |
| 2025-10 | 100 | 229.25 |
| 2025-11 | 95 | 191.50 |
| 2025-12 | 129 | −177.50 |
| 2026-01 | 117 | −118.00 |
| 2026-02 | 97 | −123.50 |
| 2026-03 | 114 | 81.50 |
| 2026-04 | 90 | 132.50 |
| 2026-05 | 97 | 4.50 |
| 2026-06 | 97 | −372.75 |
| 2026-07 | 92 | 119.25 |
| 2026-08 | 121 | −146.75 |
Every trade, ES 5 minute2557 trades
Pick any of the 2557 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 (2557), 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 |
|---|---|---|---|---|---|---|---|
| 2026-04-20 | long | 12:45 | 7137.25 | 13:05 | 7134.50 | opposite cross | −2.75 |
| 2026-04-20 | short | 12:40 | 7135.75 | 12:45 | 7137.25 | opposite cross | −1.50 |
| 2026-04-20 | long | 12:25 | 7136.25 | 12:40 | 7135.75 | opposite cross | −0.50 |
| 2026-04-20 | short | 12:20 | 7135.25 | 12:25 | 7136.25 | opposite cross | −1.00 |
| 2026-04-20 | long | 12:15 | 7136.00 | 12:20 | 7135.25 | opposite cross | −0.75 |
| 2026-04-20 | short | 12:05 | 7131.50 | 12:15 | 7136.00 | opposite cross | −4.50 |
| 2026-04-20 | long | 12:00 | 7136.25 | 12:05 | 7131.50 | opposite cross | −4.75 |
| 2026-04-20 | short | 11:45 | 7135.75 | 12:00 | 7136.25 | opposite cross | −0.50 |
| 2026-04-20 | long | 11:40 | 7136.25 | 11:45 | 7135.75 | opposite cross | −0.50 |
| 2026-04-20 | short | 11:35 | 7135.75 | 11:40 | 7136.25 | opposite cross | −0.50 |
| 2026-04-20 | long | 11:25 | 7136.25 | 11:35 | 7135.75 | opposite cross | −0.50 |
| 2026-04-20 | short | 11:00 | 7131.75 | 11:25 | 7136.25 | opposite cross | −4.50 |
| 2026-04-16 | long | 14:40 | 7068.00 | 15:59 | 7076.75 | end of day 15:59 | 8.75 |
| 2026-04-16 | short | 14:10 | 7063.50 | 14:40 | 7068.00 | opposite cross | −4.50 |
| 2026-04-16 | long | 14:05 | 7068.50 | 14:10 | 7063.50 | opposite cross | −5.00 |
| 2026-04-16 | short | 14:00 | 7067.50 | 14:05 | 7068.50 | opposite cross | −1.00 |
| 2026-04-16 | long | 13:25 | 7068.75 | 14:00 | 7067.50 | opposite cross | −1.25 |
| 2026-04-16 | short | 13:05 | 7067.25 | 13:25 | 7068.75 | opposite cross | −1.50 |
| 2026-04-16 | long | 11:05 | 7066.75 | 13:05 | 7067.25 | opposite cross | 0.50 |
| 2026-04-16 | short | 09:40 | 7067.50 | 11:05 | 7066.75 | opposite cross | 0.75 |
| 2026-04-15 | long | 09:50 | 7011.50 | 15:59 | 7060.00 | end of day 15:59 | 48.50 |
| 2026-04-15 | short | 09:45 | 7005.50 | 09:50 | 7011.50 | opposite cross | −6.00 |
| 2026-04-10 | short | 11:40 | 6866.75 | 15:59 | 6855.50 | end of day 15:59 | 11.25 |
| 2026-04-09 | long | 10:50 | 6811.00 | 15:59 | 6861.75 | end of day 15:59 | 50.75 |
| 2026-04-09 | short | 10:20 | 6808.25 | 10:50 | 6811.00 | opposite cross | −2.75 |
| 2026-04-08 | long | 15:40 | 6812.25 | 15:59 | 6823.50 | end of day 15:59 | 11.25 |
| 2026-04-08 | short | 14:40 | 6810.50 | 15:40 | 6812.25 | opposite cross | −1.75 |
| 2026-04-08 | long | 11:50 | 6813.00 | 14:40 | 6810.50 | opposite cross | −2.50 |
| 2026-04-08 | short | 10:30 | 6806.50 | 11:50 | 6813.00 | opposite cross | −6.50 |
| 2026-04-08 | long | 10:25 | 6812.75 | 10:30 | 6806.50 | opposite cross | −6.25 |
| 2026-04-08 | short | 10:20 | 6811.50 | 10:25 | 6812.75 | opposite cross | −1.25 |
| 2026-04-08 | long | 10:05 | 6816.25 | 10:20 | 6811.50 | opposite cross | −4.75 |
| 2026-04-08 | short | 09:55 | 6806.50 | 10:05 | 6816.25 | opposite cross | −9.75 |
| 2026-04-07 | long | 15:20 | 6634.50 | 15:59 | 6655.50 | end of day 15:59 | 21.00 |
| 2026-04-07 | short | 14:50 | 6613.00 | 15:20 | 6634.50 | opposite cross | −21.50 |
| 2026-04-07 | long | 12:15 | 6614.50 | 14:50 | 6613.00 | opposite cross | −1.50 |
| 2026-04-07 | short | 12:10 | 6610.00 | 12:15 | 6614.50 | opposite cross | −4.50 |
| 2026-04-07 | long | 12:05 | 6616.75 | 12:10 | 6610.00 | opposite cross | −6.75 |
| 2026-04-06 | long | 14:15 | 6637.50 | 15:59 | 6653.00 | end of day 15:59 | 15.50 |
| 2026-04-06 | short | 13:50 | 6632.00 | 14:15 | 6637.50 | opposite cross | −5.50 |
| 2026-04-06 | long | 13:25 | 6636.00 | 13:50 | 6632.00 | opposite cross | −4.00 |
| 2026-04-06 | short | 13:15 | 6624.25 | 13:25 | 6636.00 | opposite cross | −11.75 |
| 2026-04-02 | long | 09:55 | 6549.75 | 15:59 | 6623.25 | end of day 15:59 | 73.50 |
| 2026-04-01 | long | 15:20 | 6623.25 | 15:59 | 6619.50 | end of day 15:59 | −3.75 |
| 2026-04-01 | short | 14:20 | 6617.50 | 15:20 | 6623.25 | opposite cross | −5.75 |
| 2026-04-01 | long | 09:55 | 6607.50 | 14:20 | 6617.50 | opposite cross | 10.00 |
| 2026-04-01 | short | 09:50 | 6600.25 | 09:55 | 6607.50 | opposite cross | −7.25 |
| 2026-03-31 | long | 11:05 | 6467.00 | 15:59 | 6569.00 | end of day 15:59 | 102.00 |
| 2026-03-31 | short | 10:55 | 6453.50 | 11:05 | 6467.00 | opposite cross | −13.50 |
| 2026-03-30 | short | 12:20 | 6428.75 | 15:59 | 6387.75 | end of day 15:59 | 41.00 |
Questions and answers
What happens if you buy NQ every time price closes above session VWAP?
From 2024-10-08 to 2026-10-07 on the NQ 15-minute chart, the VWAP cross strategy took 668 long trades, won 30.4% of them and made -3,111.25 points (-$62,225 on one NQ contract), before commission and slippage. From 2024-10-08 to 2026-10-07 on NQ, its long trades also made -594.50 points on 1,120 trades on the 5-minute chart and -2,509.50 points on 318 trades on the 1-hour chart, before commission and slippage.
What happens if you short ES every time price closes below session VWAP?
From 2024-08-28 to 2026-08-27 on the ES 15-minute chart, the VWAP cross strategy took 719 short trades, won 27.8% of them and made -471.75 points (-$23,587 on one ES contract), before commission and slippage. From 2024-08-28 to 2026-08-27 on ES, its short trades also made -484.00 points on 1,283 trades on the 5-minute chart and -62.25 points on 383 trades on the 1-hour chart, before commission and slippage.
Does the VWAP cross strategy work on Nasdaq futures?
On NQ futures from 2024-10-08 to 2026-10-07, the VWAP cross strategy on the 15-minute chart took 1,331 trades, won 28.4% of them and finished -4,845.25 points (-$96,905 on one NQ contract), before commission and slippage.
What is the win rate of VWAP cross on ES futures?
The VWAP cross strategy won 28.8% of its 1,431 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 19.9% of 2,557 trades on the 5-minute chart and 37.6% of 743 trades on the 1-hour chart, before commission and slippage.
Is the VWAP cross 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 VWAP cross strategy made -926.50 points on 2,235 trades on the 5-minute chart, -4,845.25 points on 1,331 trades on the 15-minute chart and -1,402.25 points on 634 trades on the 1-hour chart, before commission and slippage.
Is it better to only buy or only sell VWAP cross signals on NQ?
On the NQ 15-minute chart from 2024-10-08 to 2026-10-07, the long trades made -3,111.25 points on 668 trades (30.4% won) and the short trades made -1,734.00 points on 663 trades (26.4% won), before commission and slippage.
How many trades does the VWAP cross strategy take on NQ in two years?
The VWAP cross strategy took 1,331 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 2,235 on the 5-minute chart and 634 on the 1-hour chart, before commission and slippage.
What is the max drawdown of the VWAP cross strategy on NQ?
The VWAP cross strategy had a max drawdown of 5,617.25 points ($112,345 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 3,950.75 points on the 5-minute chart and 4,706.50 points on the 1-hour chart, before commission and slippage.
How does the VWAP cross strategy do on ES compared with NQ?
On the ES 15-minute chart from 2024-08-28 to 2026-08-27, the VWAP cross strategy 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 NQ 15-minute chart from 2024-10-08 to 2026-10-07, the VWAP cross strategy 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.
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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