Anchored VWAP Mean Reversion Playbook

Execution snapshot

Market regime
Sideways or range-bound sessions with two-way order flow.

Primary pairs
Top 10 volume leaders; coins with liquid derivatives markets.

Typical bands
first_band ema/hma 13–21 vs second_band vwap anchored daily.

Signal rule
Long when price and fast MA reclaim VWAP; short when they lose it on a close.

Why this works

Anchored VWAP reflects the average price traded since the anchor session opened, weighted by volume. Most intraday flows mean-revert to this level unless a genuine trend emerges. Pairing VWAP with a responsive MA highlights when momentum deviates far enough to justify fades, or when reclaiming the anchor signals trend continuation.

Configuring in QuantRelay

first_band: ema or hma with length 13–21.
second_band: vwap with default anchor (daily) — match your trading session.
Consider hma for smoother fades; ema for faster confirmation on reclaim plays.
Apply interval filters (1m/5m/15m) in the index to focus on intraday data.

Playbook

Mean-reversion entries

Identify extended moves where price trades 1.0–1.5% beyond VWAP and momentum wanes.
Enter when the fast MA curls back toward VWAP and the next candle confirms by closing inside the deviation.
Target VWAP touch; scale out early if momentum stalls before reaching the anchor.

Reclaim continuation

For range-breakouts, wait for a clean close back above VWAP with expanding volume delta.
Trail stops below VWAP plus a volatility buffer (e.g., 0.5× ATR) to stay in strong moves.

Risk controls

Skip trades during trending macro events; VWAP acts as support/resistance rather than a magnet.
Use time-of-day filters — mean reversion is weakest during session opens where imbalance dominates.
Cap per-trade risk tighter (0.5R–1R) because intraday chops can see repeated stop-outs.

Going further

Add Bollinger Bands around VWAP to quantify acceptable deviation bands.
Blend with order-flow signals (cumulative volume delta, funding) for better breakout detection.
When exporting to your execution stack, shift to limit orders near VWAP to capture microstructure edge.