VWAP Standard-Deviation Reversion with Sequential RSI and MACD Confirmation

Summary

This long-only mean-reversion setup looks for price to close below the lower two-standard-deviation VWAP band, subject to a minimum band-to-VWAP distance. It then requires an oversold oscillator to turn upward and MACD to confirm with an upward cross. The documented defaults use plain RSI, while options allow StochRSI, alternate MACD confirmation, and a higher-timeframe ADX regime filter. Entry is described for the bar after the final confirmation.

Risk controls include a VWAP or fixed take-profit target and fixed-pip or ATR-based stops, with additional break-even settings suggested by the code heading. The excerpt is incomplete, so later implementation details and any published results are unavailable. It specifies execution assumptions including fixed lot sizing, high leverage, and zero commission; these assumptions can materially affect backtest realism. No performance evidence is included.

Key ideas

• The setup sequences a VWAP band breach, an oscillator recovery, and a MACD confirmation.
• It describes long entries after price closes below the lower two-standard-deviation band.
• RSI is the default oscillator, with StochRSI available as an alternative.
• Targets and stops can be based on VWAP, fixed pips, or ATR.
• The available excerpt gives implementation settings but no strategy results.

Tags

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