Strategy library · Volume
VWMA 20 cross backtest on NQ and ES futures
VWMA 20 cross
Also called: volume weighted moving average strategy, VWMA crossover, VWMA 20 strategy, buy when price closes above the 20-bar volume-weighted moving average, short when price closes below the 20-bar volume-weighted moving average
What happens if you buy NQ every time price closes above the 20-bar volume-weighted moving average?
What it is
The volume-weighted moving average (VWMA, 20 periods) weights each close by its volume. This strategy goes long on a close above the VWMA, short on a close below it, and exits on the opposite cross.
What it did
On NQ futures from 2024-10-08 to 2026-10-07, the VWMA 20 cross strategy took 2,056 trades on the 15-minute chart, won 31.2% of them and finished 111.75 points ($2,235 on one NQ contract), before commission and slippage. From 2024-10-08 to 2026-10-07 on NQ, the 1,047 long trades on the 15-minute chart won 33.8% and made 1,866.75 points ($37,335 on one NQ contract), before commission and slippage. On ES futures from 2024-08-28 to 2026-08-27, the VWMA 20 cross strategy took 2,100 trades on the 15-minute chart, won 31.1% of them and finished 56.00 points ($2,800 on one ES contract), before commission and slippage. The 5-minute, 1-hour and daily results for both markets are in the table on this page.
How it was tested
CE Market Solutions tested the VWMA 20 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 on a close above the 20-bar volume-weighted MA; 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 | 5354 | 26.5% | −0.23 | 0.988 | −1,249.00 | −$24,980 | 5,820.25 | 5245 | 27.0% | 0.09 | 1.022 | 461.75 | $23,088 | 610.00 |
| 5 minute · longs only | 2679 | 28.1% | — | — | 1,015.75 | $20,315 | 2,826.25 | 2624 | 27.9% | — | — | 419.50 | $20,975 | 425.50 |
| 5 minute · shorts only | 2675 | 24.9% | — | — | −2,264.75 | −$45,295 | 4,472.25 | 2621 | 26.1% | — | — | 42.25 | $2,113 | 612.50 |
| 15 minute | 2056 | 31.2% | 0.05 | 1.002 | 111.75 | $2,235 | 4,033.25 | 2100 | 31.1% | 0.03 | 1.004 | 56.00 | $2,800 | 908.50 |
| 15 minute · longs only | 1047 | 33.8% | — | — | 1,866.75 | $37,335 | 2,244.25 | 1074 | 33.4% | — | — | 344.25 | $17,213 | 507.75 |
| 15 minute · shorts only | 1009 | 28.4% | — | — | −1,755.00 | −$35,100 | 3,937.50 | 1026 | 28.8% | — | — | −288.25 | −$14,412 | 792.00 |
| 1 hour | 963 | 41.2% | −3.20 | 0.941 | −3,084.00 | −$61,680 | 4,380.00 | 1024 | 40.1% | −1.13 | 0.897 | −1,156.75 | −$57,837 | 1,521.50 |
| 1 hour · longs only | 513 | 44.6% | — | — | −327.00 | −$6,540 | 2,844.00 | 545 | 43.1% | — | — | −388.25 | −$19,412 | 659.25 |
| 1 hour · shorts only | 450 | 37.3% | — | — | −2,757.00 | −$55,140 | 3,597.00 | 479 | 36.7% | — | — | −768.50 | −$38,425 | 1,053.50 |
| Daily | 75 | 21.3% | −57.46 | 0.770 | −4,309.75 | −$86,195 | 7,625.75 | 55 | 23.6% | −12.25 | 0.799 | −674.00 | −$33,700 | 1,230.00 |
| Daily · longs only | 38 | 29.0% | — | — | 2,375.50 | $47,510 | 3,314.75 | 28 | 32.1% | — | — | 501.25 | $25,063 | 403.00 |
| Daily · shorts only | 37 | 13.5% | — | — | −6,685.25 | −$133,705 | 7,302.50 | 27 | 14.8% | — | — | −1,175.25 | −$58,762 | 1,269.00 |
Free to use with credit to CE Market Solutions (CC BY 4.0).
ES 1 hour: the equity line
Long and short
| Side | Trades | Net pts |
|---|---|---|
| Long | 545 | −388.25 |
| Short | 479 | −768.50 |
By month
| Month | Trades | Net pts |
|---|---|---|
| 2024-08 | 6 | −11.75 |
| 2024-09 | 46 | −19.75 |
| 2024-10 | 48 | 57.50 |
| 2024-11 | 31 | 131.00 |
| 2024-12 | 48 | 45.25 |
| 2025-01 | 41 | −121.75 |
| 2025-02 | 40 | −107.75 |
| 2025-03 | 39 | −148.25 |
| 2025-04 | 46 | −159.75 |
| 2025-05 | 51 | −270.00 |
| 2025-06 | 42 | −105.50 |
| 2025-07 | 46 | 39.50 |
| 2025-08 | 43 | 63.75 |
| 2025-09 | 43 | −123.50 |
| 2025-10 | 40 | 226.75 |
| 2025-11 | 37 | −30.75 |
| 2025-12 | 46 | −114.75 |
| 2026-01 | 45 | −266.50 |
| 2026-02 | 32 | 196.25 |
| 2026-03 | 39 | 180.00 |
| 2026-04 | 40 | −69.25 |
| 2026-05 | 39 | −107.00 |
| 2026-06 | 50 | −159.75 |
| 2026-07 | 46 | −269.00 |
| 2026-08 | 40 | −11.75 |
Every trade, ES 1 hour1024 trades
Pick any of the 1024 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 (1024), 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 |
|---|---|---|---|---|---|---|---|
| 2026-04-10 | short | 12:00 | 6856.75 | 15:59 | 6855.50 | end of day 15:59 | 1.25 |
| 2026-04-10 | long | 10:00 | 6869.75 | 12:00 | 6856.75 | opposite cross | −13.00 |
| 2026-04-09 | long | 10:00 | 6816.50 | 15:59 | 6861.75 | end of day 15:59 | 45.25 |
| 2026-04-08 | short | 15:00 | 6794.00 | 15:59 | 6823.50 | end of day 15:59 | −29.50 |
| 2026-04-08 | long | 10:00 | 6811.75 | 15:00 | 6794.00 | opposite cross | −17.75 |
| 2026-04-07 | short | 15:00 | 6602.50 | 15:59 | 6655.50 | end of day 15:59 | −53.00 |
| 2026-04-07 | long | 13:00 | 6623.25 | 15:00 | 6602.50 | opposite cross | −20.75 |
| 2026-04-07 | short | 10:00 | 6603.00 | 13:00 | 6623.25 | opposite cross | −20.25 |
| 2026-04-06 | long | 15:00 | 6647.00 | 15:59 | 6653.00 | end of day 15:59 | 6.00 |
| 2026-04-06 | short | 14:00 | 6628.50 | 15:00 | 6647.00 | opposite cross | −18.50 |
| 2026-04-06 | long | 10:00 | 6649.00 | 14:00 | 6628.50 | opposite cross | −20.50 |
| 2026-04-02 | long | 11:00 | 6619.00 | 15:59 | 6623.25 | end of day 15:59 | 4.25 |
| 2026-04-02 | short | 10:00 | 6560.25 | 11:00 | 6619.00 | opposite cross | −58.75 |
| 2026-04-01 | short | 15:00 | 6611.50 | 15:59 | 6619.50 | end of day 15:59 | −8.00 |
| 2026-04-01 | long | 10:00 | 6611.25 | 15:00 | 6611.50 | opposite cross | 0.25 |
| 2026-03-31 | long | 10:00 | 6494.50 | 15:59 | 6569.00 | end of day 15:59 | 74.50 |
| 2026-03-30 | short | 13:00 | 6420.00 | 15:59 | 6387.75 | end of day 15:59 | 32.25 |
| 2026-03-30 | long | 10:00 | 6417.50 | 13:00 | 6420.00 | opposite cross | 2.50 |
| 2026-03-27 | short | 10:00 | 6458.50 | 15:59 | 6407.25 | end of day 15:59 | 51.25 |
| 2026-03-26 | short | 10:00 | 6618.25 | 15:59 | 6523.00 | end of day 15:59 | 95.25 |
| 2026-03-25 | short | 15:00 | 6639.75 | 15:59 | 6642.00 | end of day 15:59 | −2.25 |
| 2026-03-25 | long | 13:00 | 6652.75 | 15:00 | 6639.75 | opposite cross | −13.00 |
| 2026-03-25 | short | 12:00 | 6644.75 | 13:00 | 6652.75 | opposite cross | −8.00 |
| 2026-03-25 | long | 10:00 | 6639.50 | 12:00 | 6644.75 | opposite cross | 5.25 |
| 2026-03-24 | long | 12:00 | 6626.00 | 15:59 | 6607.00 | end of day 15:59 | −19.00 |
| 2026-03-24 | short | 10:00 | 6590.00 | 12:00 | 6626.00 | opposite cross | −36.00 |
| 2026-03-23 | long | 10:00 | 6680.00 | 15:59 | 6631.50 | end of day 15:59 | −48.50 |
| 2026-03-20 | short | 10:00 | 6607.00 | 15:59 | 6562.75 | end of day 15:59 | 44.25 |
| 2026-03-19 | long | 15:00 | 6645.75 | 15:59 | 6658.75 | end of day 15:59 | 13.00 |
| 2026-03-19 | short | 10:00 | 6646.75 | 15:00 | 6645.75 | opposite cross | 1.00 |
| 2026-03-18 | short | 10:00 | 6755.75 | 15:59 | 6677.25 | end of day 15:59 | 78.50 |
| 2026-03-17 | short | 15:00 | 6775.25 | 15:59 | 6771.75 | end of day 15:59 | 3.50 |
| 2026-03-17 | long | 14:00 | 6781.25 | 15:00 | 6775.25 | opposite cross | −6.00 |
| 2026-03-17 | short | 12:00 | 6773.75 | 14:00 | 6781.25 | opposite cross | −7.50 |
| 2026-03-17 | long | 10:00 | 6803.00 | 12:00 | 6773.75 | opposite cross | −29.25 |
| 2026-03-16 | long | 10:00 | 6721.75 | 15:59 | 6703.00 | end of day 15:59 | −18.75 |
| 2026-03-13 | short | 11:00 | 6667.00 | 15:59 | 6637.00 | end of day 15:59 | 30.00 |
| 2026-03-13 | long | 10:00 | 6719.25 | 11:00 | 6667.00 | opposite cross | −52.25 |
| 2026-03-12 | short | 10:00 | 6704.00 | 15:59 | 6676.25 | end of day 15:59 | 27.75 |
| 2026-03-11 | short | 12:00 | 6758.50 | 15:59 | 6779.75 | end of day 15:59 | −21.25 |
| 2026-03-11 | long | 11:00 | 6797.50 | 12:00 | 6758.50 | opposite cross | −39.00 |
| 2026-03-11 | short | 10:00 | 6796.00 | 11:00 | 6797.50 | opposite cross | −1.50 |
| 2026-03-10 | short | 15:00 | 6802.75 | 15:59 | 6788.00 | end of day 15:59 | 14.75 |
| 2026-03-10 | long | 11:00 | 6829.25 | 15:00 | 6802.75 | opposite cross | −26.50 |
| 2026-03-10 | short | 10:00 | 6775.50 | 11:00 | 6829.25 | opposite cross | −53.75 |
| 2026-03-09 | long | 11:00 | 6693.50 | 15:59 | 6801.75 | end of day 15:59 | 108.25 |
| 2026-03-09 | short | 10:00 | 6658.25 | 11:00 | 6693.50 | opposite cross | −35.25 |
| 2026-03-06 | long | 15:00 | 6768.50 | 15:59 | 6742.50 | end of day 15:59 | −26.00 |
| 2026-03-06 | short | 10:00 | 6727.50 | 15:00 | 6768.50 | opposite cross | −41.00 |
| 2026-03-05 | short | 10:00 | 6872.50 | 15:59 | 6835.00 | end of day 15:59 | 37.50 |
Questions and answers
What happens if you buy NQ every time price closes above the 20-bar volume-weighted moving average?
From 2024-10-08 to 2026-10-07 on the NQ 15-minute chart, the VWMA 20 cross strategy took 1,047 long trades, won 33.8% of them and made 1,866.75 points ($37,335 on one NQ contract), before commission and slippage. From 2024-10-08 to 2026-10-07 on NQ, its long trades also made 1,015.75 points on 2,679 trades on the 5-minute chart, -327.00 points on 513 trades on the 1-hour chart and 2,375.50 points on 38 trades on the daily chart, before commission and slippage.
What happens if you short ES every time price closes below the 20-bar volume-weighted moving average?
From 2024-08-28 to 2026-08-27 on the ES 15-minute chart, the VWMA 20 cross strategy took 1,026 short trades, won 28.8% of them and made -288.25 points (-$14,412 on one ES contract), before commission and slippage. From 2024-08-28 to 2026-08-27 on ES, its short trades also made 42.25 points on 2,621 trades on the 5-minute chart, -768.50 points on 479 trades on the 1-hour chart and -1,175.25 points on 27 trades on the daily chart, before commission and slippage.
Does the VWMA 20 cross strategy work on Nasdaq futures?
On NQ futures from 2024-10-08 to 2026-10-07, the VWMA 20 cross strategy on the 15-minute chart took 2,056 trades, won 31.2% of them and finished 111.75 points ($2,235 on one NQ contract), before commission and slippage.
What is the win rate of VWMA 20 cross on ES futures?
The VWMA 20 cross strategy won 31.1% of its 2,100 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 27.0% of 5,245 trades on the 5-minute chart, 40.1% of 1,024 trades on the 1-hour chart and 23.6% of 55 trades on the daily chart, before commission and slippage.
Is the VWMA 20 cross strategy better on the 5-minute, 15-minute, 1-hour or daily chart for NQ?
On NQ from 2024-10-08 to 2026-10-07, the VWMA 20 cross strategy made -1,249.00 points on 5,354 trades on the 5-minute chart, 111.75 points on 2,056 trades on the 15-minute chart, -3,084.00 points on 963 trades on the 1-hour chart and -4,309.75 points on 75 trades on the daily chart, before commission and slippage.
Is it better to only buy or only sell VWMA 20 cross signals on NQ?
On the NQ 15-minute chart from 2024-10-08 to 2026-10-07, the long trades made 1,866.75 points on 1,047 trades (33.8% won) and the short trades made -1,755.00 points on 1,009 trades (28.4% won), before commission and slippage.
How many trades does the VWMA 20 cross strategy take on NQ in two years?
The VWMA 20 cross strategy took 2,056 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 5,354 on the 5-minute chart, 963 on the 1-hour chart and 75 on the daily chart, before commission and slippage.
What is the max drawdown of the VWMA 20 cross strategy on NQ?
The VWMA 20 cross strategy had a max drawdown of 4,033.25 points ($80,665 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 5,820.25 points on the 5-minute chart, 4,380.00 points on the 1-hour chart and 7,625.75 points on the daily chart, before commission and slippage.
How does the VWMA 20 cross strategy do on ES compared with NQ?
On the ES 15-minute chart from 2024-08-28 to 2026-08-27, the VWMA 20 cross strategy took 2,100 trades, won 31.1% of them and made 56.00 points ($2,800 on one ES contract), before commission and slippage. On the NQ 15-minute chart from 2024-10-08 to 2026-10-07, the VWMA 20 cross strategy took 2,056 trades, won 31.2% of them and made 111.75 points ($2,235 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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