Anchored VWAP Trend and Mean Reversion Strategy with Adaptive Filters

Summary

This script combines anchored VWAP bands with selectable trend-following or mean-reversion logic. VWAP and its volume-weighted standard deviation are calculated from a selectable session, week, or month anchor, producing multiple deviation bands for entry and exit rules. The many inputs let traders choose band triggers, volume and slope checks, ATR and bandwidth thresholds, an RSI or EMA confirmation, and an ADX constraint for mean-reversion trades.

Risk controls include percentage-based trade risk, an equity-based position cap, band-based or ATR stops, selectable VWAP or opposite-band targets, optional fixed targets, and an optional break-even stop. The document provides the strategy’s inputs and only the beginning of its calculations; it contains no complete entry/exit implementation, backtest results, or performance evidence. The proposed filters and controls therefore describe configurable design choices, not demonstrated improvements. Results would depend on market, timeframe, execution costs, and parameter choices.

Key ideas

• VWAP resets on a selectable session, weekly, or monthly schedule and is paired with volume-weighted deviation bands.
• The script offers separate trend-following and mean-reversion modes with configurable band triggers.
• Volume, VWAP slope, ATR, band width, RSI or EMA regime, and ADX can be used as filters.
• Stops, targets, position limits, and break-even behavior are configurable risk controls.
• The provided document is incomplete and gives no backtest evidence for the strategy.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.