VWAP Mean Reversion with Candle Reversals and ATR Risk Controls

Summary

This unfinished strategy looks for reversals after price closes beyond a session VWAP band. A short setup begins with a shooting star or doji near a recent high, followed by a bearish confirmation such as an engulfing candle or a lower high that closes below the prior low. Long conditions mirror this logic near recent lows, using hammer or doji setups and bullish confirmation. Signals can also be filtered by candle size relative to ATR, and entries may use stop or limit orders.

Stops, profit targets, position quantity, and entry buffers are derived from ATR and a configurable risk fraction; spread adjustments are included in order prices and displayed P/L calculations. The author says default values were tuned while testing gold and silver on five-minute charts, but provides no reported results or robust validation. The author explicitly describes the work as unfinished, so the configurable rules and backtest assumptions should be treated as a starting point rather than an established edge.

Key ideas

• The strategy seeks reversals when the previous close is outside a session VWAP band.
• Candle shapes near recent highs or lows define setups, with a subsequent candle pattern required for confirmation.
• ATR filters large candles and informs stop distance, target distance, and position size.
• Entry types, spread adjustments, and closing opposite positions are configurable.
• The author presents the script as unfinished and reports no quantitative performance results.

Tags

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