Intraday

VWAP intraday on BANKNIFTY, backtested

BANKNIFTY futures · Apr 2023 – Mar 2025 · 490 sessions · near-month

Disclaimer: For educational purposes only. These are backtested past results, not investment advice. Trading involves risk, and past performance does not guarantee future returns.

query › "On BANKNIFTY futures, go long when price crosses above intraday VWAP and exit when it crosses below."

−5,087

Net points

4,205

Round trips

38%

Green days

−8,916

Max drawdown

490

Sessions

Cumulative P&L (points · BANKNIFTY futures · 1 lot)

VWAP is the most-drawn line on an intraday chart. The textbook rule: price above VWAP is bullish, below it is bearish. So we mechanised it on BANKNIFTY near-month futures — go long the moment price crosses above VWAP, exit the moment it crosses back below, flat overnight. Two years, 490 sessions.

Death by a thousand crosses

The rule fired 4,205 round-trips — roughly nine trades a day. On choppy days price oscillates around VWAP again and again, and each cross is a fresh entry that the next cross stops out. Only 38% of days finished green.

A reference line, not a system

Net −5,087 points before costs — and with 4,205 round-trips, real brokerage and slippage would make it far worse. VWAP tells you where the average participant sits; it says nothing about the next tick. Traded as a naked crossover, it's a whipsaw machine.

Takeaway

VWAP is useful as context — a filter, a mean to fade, a level to lean on. As a standalone entry-and-exit signal it churns you to death in the very sideways sessions it can't distinguish from trends. The line isn't the edge; what you do around it is.

Want to stress-test your own version — change the entry time, the stop, the trail?

New to this? Read the guide on how to backtest trading strategies, or see how options backtesting works.