VWAP Mean Reversion

VWAP Mean Reversion bets on price reverting toward its volume-weighted average. Unlike standard moving averages, VWAP weights each bar by volume — it represents the "average price actually transacted" rather than just the mid-point.

Institutional traders use VWAP as a benchmark for execution quality. When price deviates significantly above or below VWAP, the deviation often reverses — partly because institutions tend to fade extremes back toward their execution benchmark.

Implementation note: this strategy resets VWAP at session boundaries (00:00 UTC by default). It is designed for intraday and short-swing setups, not multi-day holds.

Long entry triggers when price closes below VWAP by more than a configurable threshold (default 1%).

Short entry triggers when price closes above VWAP by more than the threshold.

Exit is held for a fixed number of bars (default 4) or until price re-touches VWAP.

Defaults: 1% deviation threshold, 4-bar hold.

Intraday US equities, futures, and crypto in normal-volatility regimes. The classic setup: price gaps away from VWAP at the open, then mean-reverts back through it during the session.

Range-bound days where VWAP slopes gently and price oscillates around it.

Trending days where VWAP rises (or falls) steadily and price extends away without reverting. News-driven moves often blow past VWAP and never return on the same session.

Multi-day holds — VWAP resets at session boundaries, so a position held overnight loses its anchor.

Very low-volume periods where VWAP itself becomes erratic and the deviation signal is meaningless.