VWAP Mean Reversion (2 Candle Rejection) — Strategy by Spencer1976
By Spencer1976
Performance Metrics
- Author: Spencer1976
- Symbol: THINKMARKETS:XAUUSD
- Timeframe: 5 minutes
- Net P&L: +82.22 USD (+0.01%)
- Win Rate: 80.0%
- Profit Factor: 9.803
- Max Drawdown: 21.50 USD (0.00%)
- Total Trades: 5
Description
This strategy identifies mean-reversion opportunities around VWAP after volatility spikes. Trades occur when price extends beyond a VWAP-ATR deviation band and then rejects back inside the band within two candles. The strategy targets a return to VWAP and uses ATR-based stops. Additional filters include a mild EMA slope filter and a session filter designed for quieter market conditions.