vwap reversion
In plain terms
When a stock closes far away from its average traded price for the day, it tends to drift back toward that average.
How it works
The session VWAP is the institutional fair-value anchor; a close far below VWAP reflects forced/late selling that tends to bounce, and far above VWAP reflects chase-buying that fades (intraday mean reversion around VWAP). This is the reversion sign of vwap_dev, distinct from close-strength which trades it as momentum.
Data dependencies
- Intraday features daily
A data feed this strategy reads, refreshed on its normal schedule.
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
Closes far from the intraday VWAP fair-value anchor mean-revert the next session.
Related families
A stock that finishes the day strong (rising into the bell and above its average price) tends to keep rising the next day.
When a stock opens with a big jump or drop versus the previous close, that move usually gets partly given back, so you bet on the reversal.
On days when a stock's price swings unusually hard intraday, the move tends to be an overreaction that partly reverses the next day.
Explore vwap reversion on alphactor.ai
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