VWAP Reversion Strategy
Intraday mean reversion to volume-weighted average price
How It Works
Targets mean reversion to the Volume-Weighted Average Price. Enters long when price deviates significantly below VWAP with RSI confirmation, and short when above. Uses standard deviation bands around VWAP to determine entry thresholds. Most effective during the overlap of major trading sessions.
When This Strategy Works Best
Best during high-volume sessions (US/EU overlap). Less effective during low-volume Asian session for forex.
Supported Markets
Crypto Futures, Forex. All strategies are backtested on 7 years of tick-level historical data with walk-forward validation to ensure out-of-sample robustness. Each instrument receives individually optimized parameters.
Run VWAP Reversion on Your Portfolio
Backtest this strategy on any supported instrument with 7 years of data. Free tier includes 3 backtests per day.
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