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