Strategy test · structure

Does VWAP position work?

Distance from session VWAP in ATR. Tested on every popular stock and coin, with real trading costs taken off.

The short answer

After costs, it kept money on 21 of the 48 stocks and coins we test.

It gave a signal 16,602 times and worked 4,392 of them (26%). On average each trade lost -0.01R.

Instrument	Kept a trade	Hit rate	Worked	Signals
NFLX Netflix	+0.15R	33%	109	327
AVAX Avalanche	+0.11R	27%	135	497
AAPL Apple	+0.11R	33%	108	325
MSTR Strategy (MicroStrategy)	+0.11R	32%	103	324
AMC AMC Entertainment	+0.10R	25%	77	311
HOOD Robinhood	+0.08R	32%	103	324
JPM JPMorgan Chase	+0.07R	30%	98	324
CRWD CrowdStrike	+0.07R	31%	98	317
BAC Bank of America	+0.07R	31%	101	328
META Meta	+0.06R	32%	104	328
DIS Disney	+0.06R	29%	94	323
COST Costco	+0.05R	29%	95	327
AMD AMD	+0.05R	30%	91	307
MSFT Microsoft	+0.04R	27%	87	321
SOL Solana	+0.04R	26%	130	493
NVDA NVIDIA	+0.03R	31%	101	321
KO Coca-Cola	+0.02R	26%	84	329
QQQ Nasdaq 100 ETF	+0.02R	29%	94	319
DOGE Dogecoin	+0.02R	27%	134	498
GOOGL Alphabet (Google)	+0.01R	29%	90	311
TSLA Tesla	0.00R	30%	94	316
BA Boeing	0.00R	29%	96	328
ADA Cardano	-0.01R	23%	116	497
ARM Arm Holdings	-0.02R	28%	48	172
LINK Chainlink	-0.02R	27%	131	493
SPY S&P 500 ETF	-0.03R	27%	87	322
RDDT Reddit	-0.03R	27%	35	129
VOO Vanguard S&P 500 ETF	-0.03R	27%	86	320
NKE Nike	-0.03R	27%	87	325
GME GameStop	-0.04R	21%	66	310
BTC Bitcoin	-0.06R	22%	107	490
ETH Ethereum	-0.06R	22%	109	491
COIN Coinbase	-0.06R	24%	77	315
PYPL PayPal	-0.06R	22%	73	328
F Ford	-0.06R	24%	76	317
UBER Uber	-0.07R	23%	76	325
SOFI SoFi	-0.07R	25%	80	315
SNOW Snowflake	-0.07R	23%	76	325
AVGO Broadcom	-0.07R	26%	84	318
AMZN Amazon	-0.08R	24%	76	319
PLTR Palantir	-0.09R	23%	76	326
XRP XRP	-0.09R	23%	114	487
INTC Intel	-0.09R	26%	82	316
WMT Walmart	-0.10R	22%	71	321
RIVN Rivian	-0.10R	21%	67	313
LTC Litecoin	-0.11R	23%	114	486
SMCI Super Micro Computer	-0.12R	25%	81	319
SHOP Shopify	-0.17R	22%	71	325

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.

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

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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.
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Analysing

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