Strategy #0000000088 · Intraday trading and price-volume reversal
VWAP deviation and mean reversion
Enter price, VWAP, trigger threshold, assumed reversion fraction and costs for a contrarian scenario.
VWAP is the volume-weighted average transaction price for a chosen session and is commonly used as an execution benchmark. Mean-reversion formulas fade deviations, while breakout strategies may take the opposite side. Volume distribution, session, price benchmark and closing auctions affect the anchor; VWAP is not fundamental fair value.
No live VWAP or tick replay is loaded; deviations may widen during a trend.
Three ways in
Understand the story. Then inspect the risk.
Start with a familiar situation, check the payoff, then test how the numbers change.
The idea · in two minutes
What scenario return follows an assumed partial reversion toward VWAP?
VWAP is the volume-weighted average transaction price for a chosen session and is commonly used as an execution benchmark. Mean-reversion formulas fade deviations, while breakout strategies may take the opposite side. Volume distribution, session, price benchmark and closing auctions affect the anchor; VWAP is not fundamental fair value.
Enter price, VWAP, trigger threshold, assumed reversion fraction and costs for a contrarian scenario.
No live VWAP or tick replay is loaded; deviations may widen during a trend.
- Signal inputEnter price, VWAP, trigger threshold, assumed reversion fraction and costs for a contrarian scenario.
- Return scenarioNo live VWAP or tick replay is loaded; deviations may widen during a trend.
Illustrative research examples only. They are not live signals or a recommendation.
The mechanics · payoff and exposure
Dev=100\left(\frac{P}{VWAP}-1\right),\quad R_{scenario}=|Dev|\cdot q-C
P is current price; q is the assumed fraction of deviation that reverts; no trade occurs below threshold.
Greeks: the directional intuition
- 資料
- Measures sensitivity to implied volatility.
- 門檻
- Measures sensitivity to implied volatility.
- 執行
- Measures sensitivity to implied volatility.
Dev=100\left(\frac{P}{VWAP}-1\right),\quad R_{scenario}=|Dev|\cdot q-C
Practical context · published observations
VWAP deviation and mean reversion: read the record with its caveats.
The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.
No live VWAP or tick replay is loaded; deviations may widen during a trend. Source ↗ · Methodology ↗
Change assumptions and inspect the scenario
Inputs illustrate the strategy mechanics; they are not live quotes, forecasts or investment advice.
Variants · same family, different risk levers
Signals within a family use different assumptions.
Compare horizon, frequency and trend/fade interpretations.
| Related strategy | Relationship | What changes | New cost or risk |
|---|---|---|---|
| Base indicator | Technical signal | VWAP is the volume-weighted average transaction price for a chosen session and is commonly used as an execution benchmark. Mean-reversion formulas fade deviations, while breakout strategies may take the opposite side. Volume distribution, session, price benchmark and closing auctions affect the anchor; VWAP is not fundamental fair value. | No live VWAP or tick replay is loaded; deviations may widen during a trend. |
| Confirmation version | Multi-indicator filter | Add trend or volume confirmation. | Confirmation can delay entry. |
| Contrarian version | Mean reversion | Fade extreme deviations. | Can lose while a strong trend persists. |
No live VWAP or tick replay is loaded; deviations may widen during a trend.
Read beyond the summary
References
Primary sources and research used to describe the strategy and its limits.