VWAP Strategy for Intraday Trading: Rules and NSE Test Results
The short answer
Does the VWAP strategy work on NSE stocks? We tested the plain VWAP cross and this page's two setups on 15 NIFTY 50 stocks for 12 months, on 5-minute and 15-minute candles, after every Indian charge. None of the eight versions made money after charges. Best: Cross with time and volume filter, 5-minute (-6.6%). Full list: Plain VWAP cross, 5-minute: -85.5%; Plain VWAP cross, 15-minute: -65.2%; Setup A: morning pullback, 5-minute: -21.0%; Setup A: morning pullback, 15-minute: -14.6%; Setup B: gap-up failure (short), 5-minute: -17.0%; Setup B: gap-up failure (short), 15-minute: -10.8%; Cross with time and volume filter, 5-minute: -6.6%; Cross with time and volume filter, 15-minute: -6.7%.
View data
| Item | Value |
|---|---|
| Plain VWAP cross, 5-minute | -85.5% |
| Plain VWAP cross, 15-minute | -65.2% |
| Setup A: morning pullback, 5-minute | -21.0% |
| Setup A: morning pullback, 15-minute | -14.6% |
| Setup B: gap-up failure (short), 5-minute | -17.0% |
| Setup B: gap-up failure (short), 15-minute | -10.8% |
| Cross with time and volume filter, 5-minute | -6.6% |
| Cross with time and volume filter, 15-minute | -6.7% |
What is VWAP?
VWAP (volume-weighted average price) is the average price of a stock today, weighted by how many shares traded at each price. It starts again at 09:15 IST every trading day and is worked out as:
Unlike a 20 or 50 EMA, VWAP has no length to choose: it always covers today's session from the open. It does not predict direction. It shows where the average rupee was spent today: above VWAP, the day's buyers are on average in profit; below it, they are on average at a loss. Traders use it as today's fair-price line: buying dips to it in an uptrend, or selling when price loses it.
Does the VWAP strategy work? Eight versions tested
Every version uses a 0.7% stop and a 1.4% target (LeadFinn's VWAP template, the 1 : 2 reward-to-risk the setups aim for), intraday charges and the intraday square-off, on 15 NIFTY 50 stocks with one ₹1,00,000 account.
Plain VWAP cross
Buy when a candle closes above VWAP; exit when one closes back below it.
| Rule, candles | Candles | Trades | Won % | Price moves | Slippage | Charges | After all costs | Return |
|---|---|---|---|---|---|---|---|---|
| Plain VWAP cross, 5-minute | 5m | 8,309 | 14.2% | -₹2,476 | -₹13,148 | -₹69,867 | -₹85,492 | -85.5% |
| Plain VWAP cross, 15-minute | 15m | 4,619 | 20.2% | +₹1,665 | -₹10,592 | -₹56,290 | -₹65,217 | -65.2% |
View data
| Part | Count |
|---|---|
| Exit rule | 3,468 |
| Square-off time | 819 |
| Target hit | 238 |
| Stop hit | 94 |
Setup A: morning pullback
Price is above VWAP, the candle's low comes within 0.15% of VWAP, the candle closes above the previous candle's high, and the stock has already traded above yesterday's high today. Entries only from 09:45 to 10:30 IST. (The old page's extra rule, pullback volume 30% below the morning candles, cannot be written as a rule yet, so it is not in the test.)
| Rule, candles | Candles | Trades | Won % | Price moves | Slippage | Charges | After all costs | Return |
|---|---|---|---|---|---|---|---|---|
| Setup A: morning pullback, 5-minute | 5m | 773 | 37.5% | -₹3,901 | -₹2,702 | -₹14,356 | -₹20,959 | -21.0% |
| Setup A: morning pullback, 15-minute | 15m | 643 | 37.8% | -₹106 | -₹2,292 | -₹12,182 | -₹14,580 | -14.6% |
View data
| Part | Count |
|---|---|
| Square-off time | 344 |
| Stop hit | 239 |
| Target hit | 60 |
Setup B: gap-up failure (short)
Short only. The day opened above yesterday's close, then a candle closes below VWAP on volume above its 20-candle average. Entries from 09:45 IST. (The old page's "retest fails to reclaim VWAP" step is not in the test.)
| Rule, candles | Candles | Trades | Won % | Price moves | Slippage | Charges | After all costs | Return |
|---|---|---|---|---|---|---|---|---|
| Setup B: gap-up failure (short), 5-minute | 5m | 1,137 | 40.6% | +₹7,732 | -₹3,920 | -₹20,826 | -₹17,015 | -17.0% |
| Setup B: gap-up failure (short), 15-minute | 15m | 733 | 35.5% | +₹5,574 | -₹2,598 | -₹13,804 | -₹10,828 | -10.8% |
View data
| Part | Count |
|---|---|
| Square-off time | 579 |
| Stop hit | 121 |
| Target hit | 33 |
Cross with time and volume filter
The plain cross, but only from 09:30 to 11:00 IST and only when the candle's volume is above 1.5 times its 20-candle average.
| Rule, candles | Candles | Trades | Won % | Price moves | Slippage | Charges | After all costs | Return |
|---|---|---|---|---|---|---|---|---|
| Cross with time and volume filter, 5-minute | 5m | 282 | 18.4% | -₹107 | -₹1,032 | -₹5,484 | -₹6,623 | -6.6% |
| Cross with time and volume filter, 15-minute | 15m | 236 | 20.8% | -₹1,213 | -₹866 | -₹4,601 | -₹6,681 | -6.7% |
View data
| Part | Count |
|---|---|
| Exit rule | 179 |
| Square-off time | 20 |
| Stop hit | 19 |
| Target hit | 18 |
Do a time window and a volume filter help?
The old version of this page said that a morning-only window (09:30 to 11:00 IST) and volume above 1.5 times average would change the result a lot. We tested exactly that against the plain cross.
| Rule, candles | Candles | Trades | Won % | Price moves | Slippage | Charges | After all costs | Return |
|---|---|---|---|---|---|---|---|---|
| Plain cross, 5-minute | 5m | 8,309 | 14.2% | -₹2,476 | -₹13,148 | -₹69,867 | -₹85,492 | -85.5% |
| Filtered cross, 5-minute | 5m | 282 | 18.4% | -₹107 | -₹1,032 | -₹5,484 | -₹6,623 | -6.6% |
| Plain cross, 15-minute | 15m | 4,619 | 20.2% | +₹1,665 | -₹10,592 | -₹56,290 | -₹65,217 | -65.2% |
| Filtered cross, 15-minute | 15m | 236 | 20.8% | -₹1,213 | -₹866 | -₹4,601 | -₹6,681 | -6.7% |
The filter helped on both candle sizes: fewer trades, so far less paid in charges. On 15-minute candles it took 236 trades instead of 4,619 and paid ₹4,601 in charges instead of ₹56,290; the result moved from -65.2% to -6.7%.
View data
| Step | ₹ |
|---|---|
| Price moves | -₹1,213 |
| Slippage | -₹866 |
| Charges | -₹4,601 |
| Net | -₹6,681 |
What charges do to a VWAP strategy
The plain cross on 5-minute candles traded 8,309 times in a year. Each round trip paid about ₹8 in brokerage, STT, exchange and SEBI fees, stamp duty and GST, so the year's charges came to ₹69,867, against -₹2,476 from the price moves themselves.
View data
| Item | Value |
|---|---|
| Plain VWAP cross, 5-minute | ₹69,867 |
| Plain VWAP cross, 15-minute | ₹56,290 |
| Setup A: morning pullback, 5-minute | ₹14,356 |
| Setup A: morning pullback, 15-minute | ₹12,182 |
| Setup B: gap-up failure (short), 5-minute | ₹20,826 |
| Setup B: gap-up failure (short), 15-minute | ₹13,804 |
| Cross with time and volume filter, 5-minute | ₹5,484 |
| Cross with time and volume filter, 15-minute | ₹4,601 |
Size each trade from the money you are willing to lose, not from the leverage your broker offers. The calculator below does the sum; the brokerage calculator shows the charges on any trade.
Common VWAP mistakes
- Trading VWAP in the first minutes. At 09:15 VWAP is built from very few trades, so one large order moves it a lot; our Setup A and filtered tests start at 09:30 or later.
- Buying far above VWAP. A stop below VWAP is then far away, so the position has to be small or the risk is large. If the pullback is missed, let the trade go.
- Ignoring the index. A long trade against a falling NIFTY is a common reason for a failed pullback. We have not tested an index filter, so this is a rule of thumb, not a result.
- Leaving the square-off to the broker. Open intraday positions are closed by the broker near the end of the day at the market price, and most brokers add a fee for it. Close them yourself.
How we tested
- Period
- 2025-10-07 to 2026-10-07
- Stocks
- 15 stocks: RELIANCE, HDFCBANK, ICICIBANK, INFY, TCS, SBIN, BHARTIARTL, ITC, LT, AXISBANK, KOTAKBANK, HINDUNILVR, MARUTI, SUNPHARMA, BAJFINANCE
- Account
- ₹1,00,000 in one account, 20.0% per trade, up to 5 open trades
- Slippage
- 0.01% per fill
- Charges counted
- brokerage, STT, exchange transaction fee, SEBI fee, stamp duty and GST
- Engine
- LeadFinn backtest engine (files backtest_engine 68ab8514c88d, account 26450af3ec14, india_charges 272d6186e093; repo commit 8f07c7bb)
- Run date
- 2026-10-09 (IST)
- Rules
- Plain VWAP cross; Setup A morning pullback (long, 09:45-10:30); Setup B gap-up failure (short); cross with a 09:30-11:00 window and volume above 1.5 x average
- Stops
- 0.7% stop, 1.4% target on every rule (LeadFinn's VWAP template)
- Candle sizes
- 5-minute and 15-minute, intraday
- Not tested
- pullback volume falling 30%, the retest step of Setup B, and an index filter (no rule for them yet)
More on how we test: How we test.
VWAP Pullback / VWAP cross (intraday): every timeframe, intraday and swing
Data updated: 11 Oct 2026, 01:49 IST
The same rules on every candle size, the way the Run button gives them: the strategy's own stop loss and target, no tuning, every result shown. 15 NIFTY 50 stocks, ₹1,00,000 in one account, 20% per trade, up to 5 trades open, India charges and 0.01% slippage, 9 Oct 2023 to 9 Oct 2026.
VWAP Pullback
It uses its own exits. A same-day idea, so it is tested intraday only.
Intraday: closed the same day
| Candle | Result after charges | Trades | Won | Charges | Biggest fall |
|---|---|---|---|---|---|
| 1 min | −₹95,264 −95.3% | 13,359 | 16.6% | −₹76,090 | −95.3% |
| 5 min | −₹94,092 −94.1% | 12,642 | 24.4% | −₹76,354 | −94.1% |
| 15 min | −₹89,061 −89.1% | 9,492 | 28.0% | −₹71,258 | −89.1% |
| 1 hour | −₹68,798 −68.8% | 4,459 | 29.9% | −₹54,030 | −68.8% |
VWAP cross (intraday)
Stop loss 0.7% and target 1.4% (its own). A same-day idea, so it is tested intraday only.
Intraday: closed the same day
| Candle | Result after charges | Trades | Won | Charges | Biggest fall |
|---|---|---|---|---|---|
| 1 min | −₹98,678 −98.7% | 18,950 | 8.3% | −₹77,241 | −98.7% |
| 5 min | −₹96,867 −96.9% | 16,247 | 14.9% | −₹83,840 | −96.9% |
| 15 min | −₹93,689 −93.7% | 13,067 | 20.4% | −₹81,142 | −93.7% |
| 1 hour | −₹78,098 −78.1% | 6,647 | 27.2% | −₹65,947 | −78.1% |
Past results on past prices, not advice. Every number is from LeadFinn's backtest engine. Tap a candle size to run that test yourself.
Frequently asked questions
Does the VWAP strategy work?
Not after charges in our test. On 15 NIFTY 50 stocks over 12 months the plain VWAP cross ended -85.5% on 5-minute and -65.2% on 15-minute candles. The best of the eight versions we ran was Cross with time and volume filter, 5-minute, at -6.6%.
What is the best VWAP strategy for intraday?
Of the rules we tested, Cross with time and volume filter, 5-minute did best (-6.6% after charges). The morning pullback (Setup A) ended -14.6% and the gap-up failure short (Setup B) -10.8% on 15-minute candles.
Does a time and volume filter improve VWAP trades?
It cut the number of trades and the charges. On 15-minute candles the filtered cross ended -6.7%, against -65.2% for the plain cross.
Why does VWAP reset every morning at 09:15 IST?
VWAP is worked out from the session's own trades, from the open: the sum of price times volume divided by the sum of volume. A new session starts the sum again.
What is the difference between VWAP and anchored VWAP?
VWAP always starts at today's open. Anchored VWAP starts from a candle you choose, such as a results day or a budget day, and keeps running across days, so it is used for swing trades.
VWAP kya hai aur kya VWAP strategy kaam karti hai?
VWAP aaj ke din ka volume se tola gaya average price hai, jo har din 09:15 se shuru hota hai. Hamare test mein seedha VWAP cross charges ke baad 5 minute par -85.5% aur 15 minute par -65.2% raha.
Keep going
हिंदी में सार
VWAP आज के दिन का वॉल्यूम से तौला गया औसत भाव है, जो हर दिन 09:15 से नए सिरे से बनता है। हमने NSE के 15 शेयरों पर 12 महीने, सारे चार्ज काटकर, VWAP के आठ नियम टेस्ट किए। सीधा VWAP क्रॉस 5 मिनट कैंडल पर -85.5% और 15 मिनट कैंडल पर -65.2% रहा। सबसे अच्छा नियम: Cross with time and volume filter, 5-minute (-6.6%)।
Roman mein: VWAP strategy ke nateeje upar ki table mein hain.
This is education, not investment advice. These are tested results on past data; they do not promise future returns. Trading can lose money. See our disclaimer.
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