ULTRON VWAP-MR [Mean Revert] — Strategy by dhawal.chheda
By dhawal.chheda
Performance Metrics
- Author: dhawal.chheda
- Symbol: AMEX:SPY
- Timeframe: 5 minutes
- Win Rate: 0.2%
- Profit Factor: 0.001
Description
> Intraday strategy that fades a session-VWAP +/-sigma band recross back toward VWAP, gated by an ADX range filter.## What it doesAn intraday mean-reversion strategy that rebuilds session VWAP and its standard-deviation bands fresh each day. When price tags below the lower entry band then closes back above it, a long fires; the mirror fires a short below the upper band. Each entry targets a recross toward VWAP, stops at a wider sigma band, and is force-exited by a time stop and an end-of-day > Intraday strategy that fades a session-VWAP +/-sigma band recross back toward VWAP, gated by an ADX range filter.## What it doesAn intraday mean-reversion strategy that rebuilds session VWAP and its standard-deviation bands fresh each day. When price tags below the lower entry band then closes back above it, a long fires; the mirror fires a short below the upper band. Each entry targets a recross toward VWAP, stops at a wider sigma band, and is force-exited by a time stop and an end-of-day