VWAP Mean Reversion Strategy (C#)

VWAP Mean Reversion Strategy

This strategy fades moves away from the volume weighted average price. ATR is used to gauge how far price must deviate from VWAP before a reversal trade is considered.

Testing indicates an average annual return of about 58%. It performs best in the stocks market.

A long position opens when price drops below VWAP by more than K times the ATR. A short is taken when price rallies above VWAP by the same amount. Trades exit as soon as price returns to the VWAP line.

The approach is designed for intraday traders who expect prices to oscillate around VWAP rather than trend strongly. Stops sized as a multiple of ATR help keep losses controlled if the move continues against the trade.

Details

• Entry Criteria:
  • Long: Close < VWAP - K * ATR
  • Short: Close > VWAP + K * ATR
• Long/Short: Both sides.
• Exit Criteria:
  • Long: Exit when close >= VWAP
  • Short: Exit when close <= VWAP
• Stops: Yes, ATR-based stop.
• Default Values:
  • K = 2
  • CandleType = TimeSpan.FromMinutes(5)
  • AtrPeriod = 14 The market trades around the clock, so the session VWAP restarts each UTC day and weighs the typical price of each candle by its volume. The stop is set K times the AtrPeriod ATR from the entry close and checked on candle closes. An entry signal against an open position reverses it.
• Filters:
  • Category: Mean Reversion
  • Direction: Both
  • Indicators: VWAP, ATR
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Intraday
  • Seasonality: No
  • Neural networks: No
  • Divergence: No
  • Risk Level: Medium