VWAP Reversion

Most charting platforms have VWAP built in. In TradingView, search 'VWAP' in indicators. In IG/CMC, look in technical indicators menu. Add VWAP bands by searching 'VWAP with bands' or 'VWAP standard deviation'. Ensure it's set to session VWAP (daily reset).

Start with 1.5 SD and 2 SD bands. The 2 SD band is your primary entry zone - price reaches it less often but reversions are more reliable. The 1.5 SD band is for watching - confirms you're approaching an extreme. Adjust based on experience and volatility.

VWAP is the primary target (highest probability). However, you can use a small buffer (a few points shy of VWAP) to increase fill probability. Some traders target 75% of the distance to VWAP for higher hit rate but smaller profits.

That's what stops are for. If price continues beyond your entry band and hits your stop, exit. Not all trades work - VWAP reversion has roughly 55-65% success rate depending on conditions. Accept losses, use proper position sizing.

No - VWAP resets daily, so your trade thesis ends at session close. Always exit before market close (by 4:00 PM on LSE). Overnight, a new VWAP forms that may be completely different from your entry reference.

Early signs: Gap at open often means trending. First hour crossing VWAP multiple times suggests ranging. ADX above 25 suggests trend. VWAP slope steepening = trending. By 10:00-10:30 AM, you should have a good read on the day type.

Mid-session (10:00 AM - 3:00 PM) is optimal. VWAP is established and stable. Avoid first 30 minutes (VWAP unstable) and last 30 minutes (closing flows). US overlap (2:30 PM) can create opportunities but also trend moves.

Not necessarily. More volatile instruments (like BARC) may need wider bands. Less volatile blue chips may work with standard bands. Track touch frequency - bands should be touched 2-5 times per day. Adjust per instrument.

RSI is most common - RSI < 30 at lower VWAP band = double confirmation. Candle patterns at bands add confidence. Volume spikes at bands suggest institutional interest. Pivot points near VWAP create confluence. Layer confirmations for higher probability.

Weekly VWAP (from Monday) and monthly VWAP provide longer-term fair value references. Use them for context - if daily VWAP is near weekly VWAP, that's confluence for stronger support/resistance. Trade with daily VWAP for intraday, use higher timeframes for context.

Scale bands by real-time volatility. Calculate current session volatility vs historical average. Band = VWAP ± (SD × vol_ratio). When current vol > average, bands widen. When vol < average, bands tighten. This adapts to changing conditions automatically.

For directional reversion: Buy ATM options with 1-2 DTE at extreme bands. For neutral: Iron condors around VWAP bands profit from ranging. 0DTE options work for quick reversions but have extreme theta risk. Credit spreads benefit from IV crush as price normalizes.

Need minute-by-minute data with volume. Calculate VWAP cumulatively bar-by-bar (no look-ahead). Test multiple band configurations. Segment by regime (trending vs ranging days). Include realistic slippage at entry/exit. Walk-forward validate across market conditions.

Real-time scan universe for band touches. Rank by deviation magnitude and confirmation quality. Allocate 0.5-1% per trade, max 3-5 concurrent. Track performance by instrument, band, time, and regime. Optimize parameters based on results. Diversify across sectors.

Skip when: Strong trend day (ADX > 30, price one side of VWAP), major news pending or just occurred, first 30 minutes, last 30 minutes, very low volume, VWAP slope steep and one-directional. VWAP reversion is a ranging strategy - respect trend conditions.