Why it might work
Short-lived price dislocations can fade as liquidity returns.
Intraday signals · Research strategy
VWAP reversion
Tests whether prices stretched away from their volume-weighted average move back toward it.
SPY and QQQ option proxiesIntradayDefined-risk option structures in proxy studies
The idea
How it works
Compares the underlying price with volume-weighted average price and requests a defined-risk spread when the deviation qualifies.
When it invests
A qualifying deviation from VWAP triggers an analytical spread request.
When it exits
The research proxy closes at its scheduled horizon or stated VWAP exit.
What can go wrong
- Strong trends can keep price away from VWAP longer than expected.
Selected research result
Evidence is still being prepared
No historical result is cleared for public display for this strategy.
The local research preview contains archived backtests. Public performance appears after publication clearance is documented.
Research history
Variants and recorded runs
Repeated and diagnostic runs remain accessible under their tested variant. No run is selected by highest return.
No historical results are visible for this strategy.