Signal library · Mean reversion
Snap back from 2σ above VWAP
Price was more than 2 standard deviations above the session VWAP and closes back inside.
- What it is for
- Intraday reversion toward VWAP after a spike.
- Rule
- Sell short on 5m bars when vb dev crosses below 2. Stop: 1.5 × ATR(14) from the entry. Target: 1.5 × the risk (stop distance). Exit after 24 bars at the latest.
- Side
- ▼ Short (sell / exit)
- Timeframes
- 5m, 15m
- Runs on
- Your watchlist, your holdings and the market scanner
Out of sample · after fees and slippage
Verified record
| Market | Timeframe | Status | Trades | Expectancy / trade | Hit rate | Max drawdown |
|---|---|---|---|---|---|---|
| United States | 5m | information only | — | — | — | — |
| United States | 15m | information only | — | — | — | — |
| India | 5m | information only | — | — | — | — |
| India | 15m | information only | — | — | — | — |
| United Kingdom | 5m | information only | — | — | — | — |
| United Kingdom | 15m | information only | — | — | — | — |
| Europe | 5m | information only | — | — | — | — |
| Europe | 15m | information only | — | — | — | — |
Backtested on past data after estimated fees and slippage, out of sample. Past results do not predict future results. Signals are market information, not advice.
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