What is VWAP?

What it means

Because it is volume-weighted, VWAP represents where most of the day's business was actually done rather than where price merely passed through. Institutional desks measure execution quality against it, which gives the level genuine mechanical significance rather than purely technical significance.

Why it matters

Session anchoring matters and is frequently done wrong. A VWAP anchored to a rolling window is a different measure from one anchored to the session open, and on a 24-hour instrument the choice of session start materially changes the line.

What this changes in practice

VWAP-MEAN-REV is our best backtested strategy at +$132 and the engine in mixed conditions. It fades price back toward VWAP without demanding an oscillator extreme, which is a large part of why it fires when the more heavily filtered strategies do not. It was also the worst performer in choppy conditions at −$72 — the same logic, in the wrong regime.