Intraday VWAP Z-Score for Potential Mean Reversion

Summary

This indicator measures the current price’s distance from an intraday volume-weighted average price in standard deviation units. The VWAP and Z-score reset at a chosen start time, and plotting stops at a chosen end time. A smoothing option affects the Z-score curve, while a deviation threshold marks potential overbought or oversold conditions; the example uses a two-standard-deviation threshold. The indicator also plots intermediate half-deviation levels and colors the line according to whether the Z-score is rising or falling.

The intended interpretation is that an unusually large move away from VWAP may revert toward that intraday mean. The document provides indicator logic but no trading rules for entries, exits, or risk controls, and reports no test results. A threshold crossing therefore identifies a condition to examine, not evidence of a reliable reversal. Its behavior may depend on the selected session times, smoothing, instrument, and implementation details.

Key ideas

• The indicator expresses price distance from intraday VWAP as a standard deviation based Z-score.
• VWAP accumulation and plotting are bounded by configurable start and end times.
• A configurable deviation threshold highlights potential overbought or oversold conditions.
• Smoothing can be enabled, and intermediate half-deviation levels are displayed.
• The document supplies indicator logic but no tested trading rules or performance evidence.

Tags

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