Wanted to post a picture, not possible here. What I wanted to show is the crossing of price with VWAP in the early morning on 31 January 2020. Afterwards, the wholey day stayed below VWAP. You have to go short in the morning and stay short. This means to place the stop above VWAP, as rebounds may occur.
How to trade the VWAP Cross Signals (this proposal is still incomplete): The crosses are very sparse by its nature. So you are protected against overtrading. If you trade Dow Jones watch the foregoing hours in the 3 minutes chart. If you see many crossings stay away. There must be a clear break away from VWAP to enter. Look at other equilibrium prices as Pivot Points, and developing Value Area and Point of Control. You might enter after 8:30 ET (14:30 CEST) earlyest, when you see some impulse and a cross price-VWAP. When entering the price must not be too far from VWAP, may be in the range of 30 to 50 points. If price is too far from VWAP (2 standard deviations) it might be likely that price will turn back to VWAP. The stop loss should be placed with enough distance below some line which indicates some equilibrium. Either the VWAP, the developing value area or the pivot points. You may also use for example the SMA20. I am still developing an expert advisor wich should automate the VWAP crosses.