VWAP mean reversion (VWAP-MEAN-REV)

How the setup is identified

Fades price back toward the session VWAP when it has extended away from it, without requiring an oscillator to confirm the extreme.

Status and evidence

The engine in mixed conditions and the best performer in backtesting at +$132. Fades price back toward VWAP without demanding an RSI extreme, which is a large part of why it actually fires when others do not. It was also the worst strategy in choppy conditions at −$72 — not broken, just in the wrong regime, which is exactly why regime gating exists.

What we learned

The omission is the design. Most mean-reversion strategies gate entries behind an RSI or stochastic extreme, which sounds prudent and in practice means the strategy rarely fires — by the time the oscillator is pinned, the move is usually over. Dropping that requirement is a large part of why this one actually trades.

It is also the clearest illustration of why regime detection matters. The same logic that produced the best result in mixed conditions produced the worst result in choppy ones at −$72. Nothing changed about the strategy; the market did.