VWAP-Based Scalping Strategy

This article outlines a structured workflow for scalping BTCUSDT and ETHUSDT on Binance Futures using Exocharts. The approach combines VWAP deviations, volume profile zones, and footprint absorption analysis to identify high-probability trade setups.

🔹 Core Concepts

VWAP & Deviations

• VWAP (Volume Weighted Average Price) acts as the session’s fair value.
• ±1σ and ±2σ bands represent overbought/oversold extensions.
• Institutions generally:
  • Accumulate longs below VWAP (seek cheaper entries).
  • Distribute shorts above VWAP (sell at premium levels).
• For scalpers, VWAP is both a magnet (mean reversion) and a target.

Volume Profile Zones (ZOIs)

Exocharts highlights important structural zones:

• VAH (Value Area High) and VAL (Value Area Low)
• POC (Point of Control) – both Volume POC and TPO POC
• Buy Tails / Sell Tails – single prints or thin auction zones

These ZOIs mark where institutions previously defended price or where liquidity clusters exist.

Absorption

Absorption occurs when aggressive order flow is countered by passive liquidity:

• Example: Large sell imbalances hitting the bid, but price fails to break lower → bids are absorbing.
• In Exocharts, absorption is identified visually, by comparing:
  • Heavy volume traded on both bid and ask at the same level.
  • Cell volume equal to or greater than prior candles.
  • POC stalling at the defended zone.

Absorption is strongest when sellers hit bids aggressively but buyers reload and hold, or vice versa.

🔹 Absorption (Eyeball Confirmation in Exocharts)

Unlike imbalances, absorption does not have a direct setting in Exocharts. It must be recognized visually by analyzing the footprint and POC behavior around a Zone of Interest (ZOI).

Absorption signs:

1. Price pushes into a ZOI (VAL, VAH, Buy/Sell Tail, POC, VWAP deviation).
2. Heavy volumes trade on both bid and ask sides at the same level.
   • One side may show aggressive imbalances, but the other side responds strongly.
3. The total volume in the cell is equal to or greater than the previous candles.
   • This shows aggressors are pushing hard, but liquidity is meeting them tick-for-tick.
4. Price fails to continue through the level.
   • Despite strong aggression, the zone holds.
5. POC stalls at the defended price.
   • If POC stays fixed there, liquidity is actively absorbing.
   • If POC later shifts away after 1–2 confirming candles, it signals the start of reversal.

👉 In practice, you don’t need volumes to be perfectly equal on bid and ask. What matters is:

• Heavy trade on both sides (not one-sided imbalance only).
• Cell volume large relative to prior cells.
• Failure of price to break the zone despite that aggression.

This combination = real absorption and often marks the turning point before VWAP reversion or continuation.

🔹 Trading Workflow

Step 1: Context Bias

• Below VWAP → look for long setups at ZOIs.
• Above VWAP → look for short setups at ZOIs.
• At ±2σ VWAP deviations → watch for fade opportunities with absorption confirmation.

Step 2: Identify ZOI Reaction

• Price must first reach a ZOI (VAL, VAH, POC, Buy/Sell Tail).
• Look for aggressive flow into the level (stacked imbalance or large volume cell).

Step 3: Confirm Absorption

• Heavy bid & ask volume at the same cluster → signals absorption.
• POC holds at the ZOI.
• Total cell volume ≥ volume of the previous candle.

Step 4: Wait for Control Shift

• Delta begins to flip (2 consecutive candles in reversal direction).
• POC shifts away from the defended level.
• This confirms the side defending the ZOI has taken control.

Step 5: Execute Trade

• Entry: After 2nd confirming delta candle + POC shift.
• Stop: Just beyond the tail (low for longs, high for shorts).
• Target: VWAP (first target) or opposite ZOI (secondary target).

🔹 Practical Example

1. Price trades below VWAP and retests VAL + Buy Tail.
2. Aggressive sells push into the zone → stacked red imbalances.
3. Absorption: heavy bid volume defends, POC stalls.
4. Delta turns positive for 2 candles, POC shifts up.
5. Enter long → stop below Buy Tail → target VWAP.

🔹 Key Rules to Avoid Chop

• Do not enter if delta flips but POC does not move.
• Skip trades if VWAP is too close (<0.25% distance).
• Avoid low-volume sessions (Asia pre-London).

🔹 Conclusion

This workflow provides a structured way to scalp VWAP reversion trades using Exocharts. By combining VWAP deviations, profile zones, and footprint absorption, traders can:

• Identify institutional defense zones.
• Confirm when control shifts via POC migration + delta.
• Systematize entries, stops, and exits.

This strategy works best on BTCUSDT and ETHUSDT during high-volume hours (London and New York sessions).