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Mean Reversion indicator

VWAP Bands: what it's actually best at

Rolling VWAP ± standard-deviation bands — buy below the lower band, exit at VWAP.

7

assets where it was the #1 edge

0.25

average Sharpe across all tests

Mean Reversion

indicator family

Best fits

Assets where VWAP Bands won

Wheat (ZW) +4.0%POL (ex-MATIC) (POL) +88.2%PRIME (PRIME) +783.8%USX (USX) +27.3%Health Care (XLV) +-3.4%Digital Realty (DLR) +-6.2%J.M. Smucker Company (The) (SJM) +-0.2%

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