VWAP w/ Std Dev Bands Mean Reversion Strategy

7.30% strategy
performance

10.50% buy&hold
performance

69% percentage
of winning trades

0.62 reward to
risk ratio

0.08% average
position return

-3.60% drawdown

A long strategy created by TrendSpider on TrendSpider. Tested at of XLE, 5 min.

You can import this strategy into your TrendSpider account. Don't have TrendSpider? Create an account first, then import the strategy.

Chart type the strategy tested at: Candles. Market data: regular session. Trade by: open. Backtest results as of .

Entry Conditions

All of the following: # "Quebec"
  5min Chart(close) ≤ 5min VWAP + Stdev Bands (1, 2, 3, 4, 1D, 90, Current VWAP, hlc3, 0), L2
  5min Candle Time > 940

Exit Conditions

All of the following: # "Tango"
  5min Chart(high) ≥ 5min VWAP + Stdev Bands (1, 2, 3, 4, 1D, 90, Current VWAP, hlc3, 0), Current

OR ANY OF

Stop Loss

Exit if lost more than 0.75% (after candle closes).