/MNQ WAVE (Fusion B-L/S)

MNQ WAVE - Fusion Long/Short (EMA, VWAP, WSA, Regime/ATR)

Description

What it is
MNQ WAVE is a fusion strategy for intraday MNQ. It doesn’t take every EMA cross; it waits for price context near VWAP, a simple Weinstein-style trend/volume check (WSA), and a volatility/trend filter. You can run the Regime filter (ADX + ATR relative) or use an ATR threshold fallback. Session blocks help avoid thin/roll periods. Exits combine fixed SL/TP with trailing stops and an optional bars-based auto-close.

Why this mashup
Each piece plays a different role:

EMA cross = timing.

VWAP proximity = avoid chasing stretched moves.

WSA = structure (slope) + healthy volume.

Regime/ATR = align with trend/volatility states.
Together they screen out many low-quality crosses that a single indicator would allow.

How it trades

Long: fast EMA crosses above slow (flat-only) + above/near VWAP within tolerance + WSA long OK + Regime (or ATR) OK + Session OK.

Short: fast crosses below slow (flat-only, and fast < slow) + below/near VWAP + WSA short OK + Regime (or ATR) OK + Session OK.

Risk (defaults): Long SL 1.4%, TP 2.7%, trailing starts at +0.5% with 0.4% trail. Short SL 1.4%, TP 4.5%, trailing starts at −0.5% with 0.4%. Optional auto-close by bars (default off; max 20).

Signals / alerts
Works with either Fills (alert_message) or alert() only. Payloads include entry/SL/TP and a compact indicators block (ATR/ADX) for external routing. No links or promo.

Defaults used in this publication
These match the script so results aren’t misleading:

Initial Capital: $10,000

Order Size: 1 contract (fixed)

Commission: $1.42 per order (cash_per_order - Tastytrade)

Slippage: set in Properties before publishing (recommend ≥ 1 tick for MNQ)

Process orders on close: false

Calc on every tick: false

Backtest fill limits assumption: 0

Minimum required capital: $10,000

Tip: keep per-trade risk within ≤ 5–10% of equity by adjusting size.

Backtest scope & sample size
Designed for intraday MNQ (often used on 5-minute charts, but timeframe is up to you). Aim for >100 trades using a multi-year window. Regime filtering may reduce trade count but often improves quality, no drawdowns observed in the evaluated backtest (where allowed under platform rules, using realistic commissions & slippage); not a guarantee of future results.

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Resumen
Estrategia intradía para MNQ que filtra cruces EMA con proximidad a VWAP, un chequeo de tendencia/volumen tipo Weinstein (WSA) y un filtro de régimen (ADX + ATR relativo) o ATR simple. Incluye bloqueos de sesión NY, SL/TP fijos, trailing y cierre opcional por conteo de barras.

Cómo entra y sale

Largos: cruce EMA alcista (solo en flat) + precio por encima/cerca de VWAP dentro de la tolerancia + WSA largo OK + Régimen/ATR OK + Sesión OK.

Cortos: cruce EMA bajista (solo en flat, fast < slow) + precio por debajo/cerca de VWAP + WSA corto OK + Régimen/ATR OK + Sesión OK.

Gestión (por defecto): Largo SL 1.4%, TP 2.7%, trailing desde +0.5% con 0.4%. Corto SL 1.4%, TP 4.5%, trailing desde −0.5% con 0.4%. Cierre por barras opcional (20).

Propiedades por defecto (coinciden con el script)
Capital: $10,000 · Tamaño: 1 contrato · Comisión: $1.42/orden · Slippage: configúralo en Propiedades (sugerido ≥ 1 tick para MNQ) · Process on close: false · Calc on every tick: false · Backtest fill limits: 0.
Sugerencia: mantener el riesgo ≤ 5–10% del capital por operación ajustando el tamaño.

Alcance del backtest
Pensado para intradía MNQ (habitualmente 5m, pero configurable). Busca >100 operaciones con ventana multi-año. El filtro de régimen suele reducir cantidad de trades y mejorar su calidad.