VWAP 2-Sigma Reversion¶
What it does: Buys a move back inside the lower VWAP band on quiet days and targets VWAP. VWAP is the day's volume-weighted average price; its bands mark unusually far moves away from it. This buys when the price closes back above the lower band, unless ADX (trend strength) is above 25, and sells when the price touches VWAP, or at the stop-loss.
Style: Mean reversion · Difficulty: Advanced · Risk: high · Ready: 2 of 2 variants
When people use it: It tends to work on quiet range days.
Where it struggles: It struggles on trend days, when the price walks along the band, and on news. Crypto trends harder than stocks.
Markets it was written for: BTC, ETH (highest liquidity only). Timeframes: 5m-15m.
Open it in the Strategy Library (on the Strategies page), pick a variant, adjust the settings and press Add to my strategies. It becomes your own strategy: edit, backtest or trade it like any other.
Long¶
Buys a move back inside the lower VWAP band on quiet days and targets VWAP.
Labels: Mean Reversion, Long, Spot, Advanced, Fast
- Direction: Buy (long) · Market: spot
- Trigger: On candle close · Main timeframe: Auto (15m)
Entry
- IF Price crosses above VWAPB(2) Lower band (15m)
- UNLESS ADX(14) > 25 (15m)
Exit: Indicator-Based Exit
- IF Price touches VWAPB(2) VWAP (15m)
- Loss controls: Stop-loss % 1.5%
Settings
| Setting | Default | Editable | What changing it does |
|---|---|---|---|
| Band width | 2 | Yes (sets 2 fields) | How far the bands sit from VWAP. Wider waits for bigger stretches (fewer trades); narrower trades more often on smaller moves. |
| ADX veto | 25 | Yes | Skips trades when trend strength is above this. Lower skips more trades on trending days; higher trades more, with more band walks. |
How it works (as shown in the app)
- VWAP is the day's volume-weighted average price; its bands mark unusually far moves away from it. This buys when the price closes back above the lower band, unless ADX (trend strength) is above 25, and sells when the price touches VWAP, or at the stop-loss.
- It tends to work on quiet range days.
- It struggles on trend days, when the price walks along the band, and on news. Crypto trends harder than stocks.
- Rated high risk. Use small size and the most liquid markets only. Avoid the first 30-60 minutes after 00:00 UTC, when the bands are still forming.
- Trades on 5- to 15-minute candles, so fees matter.
Short (perp)¶
Shorts a move back inside the upper VWAP band on quiet days and targets VWAP.
Labels: Mean Reversion, Short, Futures, Fast, Backtest Only
- Direction: Sell (short) · Market: swap
- Trigger: On candle close · Main timeframe: Auto (15m)
Entry
- IF Price crosses below VWAPB(2) Upper band (15m)
- UNLESS ADX(14) > 25 (15m)
Exit: Indicator-Based Exit
- IF Price touches VWAPB(2) VWAP (15m)
- Loss controls: Stop-loss % 1.5%
Settings
| Setting | Default | Editable | What changing it does |
|---|---|---|---|
| Band width | 2 | Yes (sets 2 fields) | How far the bands sit from VWAP. Wider waits for bigger stretches (fewer trades); narrower trades more often on smaller moves. |
| ADX veto | 25 | Yes | Skips trades when trend strength is above this. Lower skips more trades on trending days; higher trades more, with more band walks. |
How it works (as shown in the app)
- VWAP is the day's volume-weighted average price; its bands mark unusually far moves away from it. This shorts when the price closes back below the upper band, unless ADX (trend strength) is above 25, and buys back when the price touches VWAP, or at the stop-loss.
- It tends to work on quiet range days.
- It struggles on trend days, when the price walks along the band, and on news. Crypto trends harder than stocks.
- Rated high risk. Use small size and the most liquid markets only. Avoid the first 30-60 minutes after 00:00 UTC, when the bands are still forming.
- Trades on 5- to 15-minute candles, so fees matter.
- Shorting means you profit if the price falls and lose if it rises.
- Suggested leverage is at most 5x. On isolated margin, at 5x the exchange closes the position (liquidation) if the price moves about 19.6% against you, and you lose the margin you put into it. Keep your stop well inside that.
- For now this version runs in backtests only; paper and live futures trading are coming later.
Warnings¶
- "Backtest only for now: paper and live trading of shorts are coming later.": shown on short variants. They need perpetual or futures pairs.
- Some variants suggest leverage. On isolated margin a liquidation loses the margin in that position; keep any stop well inside the liquidation distance (the Trade Builder warns you when it isn't).
- Once added, the strategy's conditions get the usual condition checks. Messages show under each condition on the entry / exit conditions screen; setting errors start with the indicator's short name (for example "MACD: Fast must be between 1 and 1000") and block saving, while the other warnings never block saving and repeat in the strategy's Entry or Exit section. See the indicator pages below for each one.
- "You already have this strategy with these settings (…). Change a setting to add another copy.": shown on the variant's page in the Strategy Library when you already added this variant with the same settings.
Good to know¶
- After you add it, the strategy keeps the library's trigger and an Auto main timeframe; you can change both in the builder. Nothing links it back to the library, except that the builder still shows the library's explanations in the info bubbles.
- Changing a setting before adding it also changes the saved name, so you can tell copies apart.
- Past results don't predict future ones. Try it in a backtest and on paper before using real money.
- Indicators used: ADX, VWAPB.