The VWAP Reversion strategy
VWAP Reversion is a mean reversion strategy in STS Trading. It waits for price stretching two standard deviations away from the session's volume weighted average price, rejecting, and turning back toward it. It runs on all 11 timeframes, and every market and timeframe it runs on has its own backtested record.
Last updated 1 October 2026.
What it waits for
VWAP Reversion waits for price stretching two standard deviations away from the session's volume weighted average price, rejecting, and turning back toward it. It refuses the trade unless the session has been rotating around that average and not trending away from it. On the 4 hour and daily charts the session is a week and a month, not a day. It weights by tick volume, so its average will not match the VWAP line your own platform draws.
What every signal carries
Every signal carries an entry, a stop and four targets at 0.5R, 1R, 1.5R, 2R, where 1R is the distance from the entry to the stop. The record counts how many of its past trades reached each target before the stop, one trade at a time.
How to read its record
- A strategy is not one record. VWAP Reversion has one per market per timeframe, and they differ widely. A figure pooled across every market describes the rule, not any trade you would take.
- Read the trade count before the win rate. A high percentage from a handful of trades says very little.
- Read it after the spread. On fast charts the cost of getting in and out is a large share of each trade's risk, and it can turn a winning record into a losing one.
- Treat it as the past. A rule that held up over past data has no obligation to keep doing so.
Further reading
- Which markets carry the edge
Every strategy pooled across every market, before and after spread, and why the market matters as much as the rule.
- How we test a strategy
The data, the costs, the four targets, the minimum sample and what a backtest leaves out.