Intraday VWAP Mean Reversion with ATR Distance and Weak-Volume Filters

Summary

This intraday strategy enters when price has moved a configurable ATR-scaled distance from session VWAP and current volume is below its recent moving average. It buys below the lower threshold and sells short above the upper threshold, provided the signal bar is confirmed, no position is open, and the time falls within a selected New York session window. The target is VWAP, while the stop is an ATR multiple from the entry area. The script includes a commission assumption and chart markers, but the document reports no measured results.

The accompanying explanation frames declining volume as a sign that an excursion from VWAP may be losing conviction, while expanding volume may indicate a stronger directional move that can defeat a fade. It recommends liquid instruments and warns that strong trend or news-driven sessions can produce losses. VWAP is session-based, so the strategy is intended for intraday use; continuous markets such as crypto need a suitable session definition. Backtests should separate market regimes and account for realistic costs and execution.

Key ideas

• Entries require price to exceed an ATR-scaled distance from VWAP while volume is below its recent average.
• The strategy buys below VWAP and sells short above VWAP during the configured intraday window.
• VWAP is the profit target, and an ATR multiple sets the stop distance.
• The explanation warns that strong trends and news events can make mean-reversion trades lose.
• The document gives no performance results, and session settings, market regime, liquidity, and trading costs affect evaluation.

Tags

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