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VWAP Reversionthe price institutions are measured against

Evidence: ModerateIntermediateMean reversion · Session

VWAP is not just another average. It is the benchmark large orders are graded on — a desk that fills above VWAP on a buy has done a bad job — which gives the level a real reason to attract orders rather than merely describe them.

The trade is the same fade, with one difference that matters: the mean here resets at the session open. VWAP from midnight and VWAP from the session open are different levels on the same day, and the choice changes every trade.

The evidence here is for reversion itself, not for this particular measure of it. The ruler below is a way of deciding when price has stretched far enough — it is not what makes it come back.

Category
Mean reversion · Session
Timeframe
M15 primary · M5 for the entry
Suitable pairs
XAUUSD · US30 · NAS100 — instruments where VWAP is genuinely watched
Session
Anchored at the session open; flat by the session close
Indicators / tools
Session VWAP with standard-deviation bands · ADX(14) · ATR(14)

Valid setup

MR-04 · VWAP REVERSION — VALID SETUP XAUUSD · M15 · anchored at the session open — two deviations below, then back inside LONG 4363.13 4371.24 4379.34 4387.44 4395.55 4403.65 4411.76 BEFORE THE ANCHOR SESSION — VWAP runs from here to the mean 1R session VWAP ± 2σ TARGET = VWAP itself ENTRY STOP 1 2 3 4 session open 4390.11 4383.50 4368.00 ① VWAP anchored at the session open, not at midnight ② ADX under 20 — the session is ranging ③ A candle closes below the lower band ④ Next candle closes back inside — enter at that close ⑤ Stop beyond the excursion plus 0.3 × ATR ⑥ Target VWAP. Flat at the session close regardless

Exact rules

Entry

  • Anchor VWAP at the session open and write down which session you are using. Do not change it mid-test.
  • Range gate: ADX(14) below 20 on M15.
  • Setup: a candle closes below the lower VWAP band at two standard deviations.
  • Trigger: the next candle closes back inside. Enter at that close.
  • Skip the first fifteen minutes of the session — VWAP has too few trades in it to mean anything yet.

Stop loss

  • Beyond the extreme of the excursion, plus 0.3 × ATR(14).
  • Exit immediately if price closes outside the band again.
  • Risk 0.5%–1%.

Take profit / exit

  • VWAP itself. Not beyond it.
  • Flat at the session close regardless of price. The anchor disappears at that moment, and so does the reason for the trade.
  • A partial at the one-standard-deviation band is a reasonable variant.

Build VWAP Reversion

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More from Mean reversion

RSI(2) Extremesthe short-period oscillatorBollinger Band Fadetwo standard deviationsZ-Score Reversionthe distance, stated plainly

Trading carries risk and most retail accounts lose money. Nothing on this page is financial advice or a recommendation to trade. The chart is an illustration of the rules on constructed candles — it is not a record of a trade and not a backtest.