VWAP Deviation-Band Reversals with an ATR Volatility Filter

Summary

This intraday strategy uses daily-reset VWAP and standard-deviation bands to seek reversals after price crosses an outer band and closes back inside it. Long and short signals are framed as H1/H2 and L1/L2 patterns, with a signal-strength check based on the close’s position within the bar. An ATR-based filter suppresses signals when the deviation range is considered too small. Stops are placed beyond the signal bar, while configurable exits can target VWAP or another deviation band; a safety exit can close a trade after a set run of opposing bars.

The document explains the logic, parameters, risks, and possible refinements, including stronger trend and volume filters or adaptive stops. It includes partial strategy code but no reported backtest results or performance evidence. The approach is mean-reverting and may suffer repeated losses in strong trends; its behavior also depends on parameter choices, market hours, liquidity, and how the exits are implemented.

Key ideas

• VWAP resets each trading day and serves as the center for standard-deviation bands.
• Reversal entries require price to cross back inside an outer band and meet a bar-strength condition.
• An ATR comparison filters out signals in low-volatility conditions.
• Signal-bar stops, VWAP or band targets, and consecutive opposing bars provide exit choices.
• The document gives no performance results and identifies strong trends and parameter sensitivity as risks.

Tags

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