Price & Market BehaviorExtended setInvalidNew

vwap reversion

Updated dailyData needs: highlong onlyshort onlylong short

2002

Madhavan, A. (2002). VWAP Strategies. Journal of Portfolio Management (Transaction Performance); Bogousslavsky, V. (2016). Infrequent Rebalancing, Return Autocorrelation, and Seasonality. Journal of Finance.

Citation only, paper link pending.

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.

Live results

241 times picked on its own · 260 times inside a blend (252 beat the stock) · updated 2026-07-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 260 such blended picks (252 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

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

close strength driftPrice & Market Behavior

A stock that finishes the day strong (rising into the bell and above its average price) tends to keep rising the next day.

overnight gap fadePrice & Market Behavior

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.

intraday volatility-spike reversalPrice & Market Behavior

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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