VWAP Mean Reversion with Session and Volume Filters

Summary

This intraday strategy looks for price to move a specified ATR-scaled distance away from VWAP, then enters in the direction of a return toward VWAP. It buys below the lower threshold and sells short above the upper threshold when volume is below its moving average. Signals are limited to a configurable New York session, require a confirmed bar, and are only allowed while flat. Each entry sets a stop at an ATR multiple from the signal close and a limit target at VWAP; the script also plots the thresholds and VWAP.

The accompanying description frames VWAP as a widely watched execution benchmark and argues that price may oscillate around it in sessions without a strong trend. The supplied excerpt ends before that explanation is complete and provides no backtest methodology or performance evidence. Mean reversion can fail when price continues trending away from VWAP; session definitions, volume quality, commissions, and slippage can also affect results. The source includes a commission assumption, but that alone does not establish realistic execution.

Key ideas

• Entries target a return to VWAP after price exceeds an ATR-scaled distance threshold.
• Below-average volume and a configurable New York session are required for entry.
• Stops use an ATR multiple, while the profit target is VWAP.
• Signals require confirmed bars and no existing position.
• The description is incomplete and provides no strategy performance evidence.

Tags

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