VWAP Reversion (Python)

VWAP Reversion strategy that trades on deviations from Volume Weighted Average Price VWAP Reversion trades deviations from the volume-weighted average price. If price strays too far above or below VWAP, the strategy fades the move and exits on a snap back. Because VWAP reflects typical transaction levels, extreme deviations often lure price back toward it. Some traders combine this signal with intraday trend filters for higher probability.

• Entry Criteria: Signals based on RSI, VWAP.

• Long/Short: Both directions.

• Exit Criteria: Opposite signal or stop.

• Stops: Yes.

• Default Values:

• DeviationPercent = 2.0m

• StopLossPercent = 2.0m

• CandleType = TimeSpan.FromMinutes(5) [*]Filters:

• Category: Mean Reversion

• Direction: Both

• Indicators: RSI, VWAP

• Stops: Yes

• Complexity: Basic

• Timeframe: Intraday (5m)

• Seasonality: No

• Neural Networks: No

• Divergence: No

• Risk Level: Medium