VWAP Midday Reclaim Research
Free C-tier research for a conservative MES/MNQ midday VWAP sweep-reclaim model. It is one of the cleaner 1:1 historical reads from the latest structure pass, but it is far too infrequent for the daily signal engine we are still hunting.
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Research Verdict
Free C-tierConservativeToo infrequent
The 68.3% win rate at 1:1 is good, but 60 trades over roughly three years is not enough activity for the daily signal objective. This is a watchlist/research module, not a flagship automation engine.
2026 holdout: 10 trades, 70.0% win rate, +2.92R net. Full window: 2023-06-08 through 2026-05-28.
Plain-English Rule Shape
| Component | Research setting |
|---|---|
| Markets | MES and MNQ 5-minute style replay from normalized Databento bars |
| Setup | Midday sweep below a rolling local low followed by reclaim through session VWAP |
| Entry | Completed-bar signal, next-bar entry in the research simulator |
| Exit | ATR/structure stop, 1.0R target, 4-bar max hold, stop-first same-bar tie handling |
| Research note | A stricter no-Tuesday filter reached 72.7% over 44 trades, but that is treated as fragile until forward-tested. |
Why It Is Free
The result is profitable and clean enough to show publicly, but it is too sparse for the active prop-firm signal goal. A daily-trader product needs more opportunities without wrecking drawdown, and this model does not solve that by itself.