Strategy test · mean reversion

Does VWAP band fade work?

Fade a stretch to the session VWAP bands. Tested on every popular stock and coin, with real trading costs taken off.

The short answer

After costs, it kept money on 22 of the 48 stocks and coins we test.

It gave a signal 9,674 times and worked 2,648 of them (27%). On average each trade kept 0.00R.

Instrument	Kept a trade	Hit rate	Worked	Signals
SHOP Shopify	+0.21R	31%	57	181
PYPL PayPal	+0.15R	32%	61	188
ARM Arm Holdings	+0.15R	33%	31	94
RIVN Rivian	+0.15R	31%	60	192
AVGO Broadcom	+0.14R	34%	58	173
RDDT Reddit	+0.13R	27%	19	70
PLTR Palantir	+0.13R	33%	66	200
INTC Intel	+0.13R	34%	58	172
F Ford	+0.10R	31%	57	186
LTC Litecoin	+0.09R	27%	69	258
SMCI Super Micro Computer	+0.09R	32%	56	175
GME GameStop	+0.08R	30%	54	180
COIN Coinbase	+0.06R	26%	47	182
SOFI SoFi	+0.06R	32%	59	184
SNOW Snowflake	+0.05R	28%	50	176
AMZN Amazon	+0.03R	26%	51	199
XRP XRP	+0.03R	25%	64	252
DIS Disney	+0.02R	26%	52	199
NKE Nike	+0.01R	28%	50	176
LINK Chainlink	+0.01R	26%	66	258
TSLA Tesla	+0.01R	28%	53	187
GOOGL Alphabet (Google)	0.00R	28%	54	190
AMC AMC Entertainment	0.00R	24%	44	184
WMT Walmart	0.00R	28%	54	196
SPY S&P 500 ETF	-0.01R	29%	66	224
BTC Bitcoin	-0.01R	26%	73	285
QQQ Nasdaq 100 ETF	-0.01R	30%	66	218
AAPL Apple	-0.01R	31%	61	199
NVDA NVIDIA	-0.02R	29%	59	202
CRWD CrowdStrike	-0.02R	30%	58	194
NFLX Netflix	-0.02R	28%	57	204
COST Costco	-0.02R	27%	52	193
BA Boeing	-0.03R	28%	54	194
UBER Uber	-0.03R	27%	52	193
ADA Cardano	-0.03R	26%	71	278
META Meta	-0.04R	25%	46	181
JPM JPMorgan Chase	-0.05R	26%	51	194
ETH Ethereum	-0.05R	26%	71	274
KO Coca-Cola	-0.05R	27%	54	197
VOO Vanguard S&P 500 ETF	-0.05R	28%	63	223
HOOD Robinhood	-0.05R	28%	52	186
MSTR Strategy (MicroStrategy)	-0.07R	25%	47	189
BAC Bank of America	-0.09R	26%	51	198
AVAX Avalanche	-0.11R	21%	58	280
SOL Solana	-0.11R	23%	61	270
DOGE Dogecoin	-0.13R	19%	48	255
MSFT Microsoft	-0.14R	24%	47	194
AMD AMD	-0.15R	20%	40	197

How we tested

Up to 5 years of daily prices for each stock and coin.
Every time the strategy leaned up or down, we took a pretend trade that way. Stop 1.5 ATR away, target 2.25 ATR away, closed after 10 trading days if it hit neither. ATR is how much the price usually moves in a day.
Worked means it reached the target before the stop. If both were touched on the same day, we count it as a loss.
Costs come off every trade: 0.02% a round trip for stocks, 0.2% for crypto.
Kept a trade is in R, the amount risked. +0.10R means 10 cents kept for every dollar risked, on average, after costs.
Strategies that fired fewer than 40 times on a stock are left out: that few is luck.

Re-run every day. Past results do not promise future ones. This is software output, not financial advice.

Other mean reversion strategies

all of them →

See what works on the stock you are looking at.

Orenth runs all 34 strategies on any stock or coin, and says so when none of them has an edge.

Create free account Popular stocks

Analysis software, not financial advice. Every figure here is measured from historical price data and can stop describing the future at any moment. Day trading loses money for the large majority of retail participants, and this tool's own measurements agree with that. Never risk money you cannot afford to lose.
Terms · Privacy · Popular stocks · Strategy tests · Track record · Pricing

Analysing

Fetching data, running 34 strategies, and back-testing each one against this instrument's own history.