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