Mean Reversion3m / 5m CandlesComplexity: Intermediate
VWAP 2.0 StdDev Band Mean Reversion
Fades price extremes when market stretches beyond 2.5 Standard Deviations from VWAP without fundamental volume backing, aiming for reversion back to the mean VWAP line.
Public & Generic Educational Strategy Notice: This strategy blueprint represents a publicly known mathematical formulation and standard technical analysis concept. Algo Software Innovations does NOT claim proprietary copyright, invention, or exclusive ownership over these formulas. You can adapt, customize, and deploy this logic to your private cloud VPS.
Mathematical Logic & Formula Formulation
Long Fade = Price < Lower_2.5_VWAP_Band and RSI_14 < 25 and CCI_20 < -150
Deterministic Entry Rules
Long Entry (BUY)
- ✓Price touches or pierces -2.5 StdDev Lower VWAP Band and RSI < 25 with CCI < -150.
Short Entry (SELL)
- ✓Price touches or pierces +2.5 StdDev Upper VWAP Band and RSI > 75 with CCI > +150.
Exit Criteria & Stop Loss Protection
Initial Stop Loss0.40% outside the extreme deviation band.
Target ProfitMean VWAP line (approx 1.20% gain).
Risk/Reward Expectancy1 : 2.5
Strategy Configuration Specs
Market Segment:Nifty Options & Equities Cash
Candle Timeframe:3m / 5m Candles
Risk-to-Reward Ratio:1 : 2.5
Throttling Compliance:≤ 10 OPS Enforced
Required TA-Lib Indicators:
VWAP Standard Deviation Bands (+/- 2.5 StdDev)RSI (14)CCI (20)
Risk Management Controls
- •Not active during major news events or gap-open days.
Target Trader Profile:High-frequency mean reversion scalpers.