How to Trade VWAP, Step by Step

Before the open

1. Load session VWAP and the 9 EMA. Nothing else.
2. Mark prior-day high, prior-day low, and the overnight high/low — that band is your balance zone.
3. Decide your risk number for the day in dollars, not in contracts. Write it down. One percent of the account per trade, three losers and you are done for the session.

The first 15 minutes

Do not trade the open. You are recording where supply lives: which side of VWAP price opens on, whether the first push extends or stalls, and where volume is concentrating. The open is information, not an opportunity.

The trade

1. Setup: price opened below VWAP, sold off into the overnight low, and is now grinding back up toward VWAP.
2. Wait for the first touch. If price tags VWAP and immediately rolls over on heavy volume, supply is still stacked there. No trade yet.
3. Entry trigger: price comes back a second time and the volume at VWAP is visibly lighter than the first touch. Buy the close of the 2m candle that reclaims VWAP.
4. Stop: hard disaster stop 2 ticks below the low of the reclaim candle. On ES that is typically a 6–10 tick risk.
5. Size: account risk ÷ (stop ticks × tick value) = contracts. Round down, never up.
6. First scale: take a third at 1R. This is mechanical.
7. The exit read: the rest comes off when supply reappears — price stops extending, offers start refreshing above, and the up-moves get smaller while volume gets bigger. You are exiting on what the market is doing, not on a trailing stop.
8. Invalidation: if price closes back below VWAP and holds below on the next attempt, the reclaim failed. Exit at market — do not wait for the disaster stop to do it for you.

After the trade

Log four things: the level, the trigger, the R outcome, and whether you followed your own rules. The last column is the only one that predicts next month's results.