Does the VWAP bounce strategy work?
We coded the vwap bounce to exact mechanical rules and ran it on june 1, 2025 – june 1, 2026 (12 months) of real data with fees on. No discretion, losers published as losers. Here is the verified result.
Verified Result
No edge: net negative after costs across 4 markets.
| Market | TF | Trades | Win | PF | Max DD | Net |
|---|---|---|---|---|---|---|
| ETH | 5m | 3,653 | 40.6% | 0.67 | 100.0% | -100.0% |
| BTC | 5m | 3,703 | 38.5% | 0.33 | 100.0% | -100.0% |
| EUR (EURUSDT) | 5m | 2,415 | 6.5% | 0.02 | 100.0% | -100.0% |
| Gold (PAXG) | 5m | 4,030 | 23.0% | 0.10 | 100.0% | -100.0% |
How the SVS 20 breaks down ▾
12 months of real 1-minute data, fees on (0.05%/side), $10k start, 1% risk. How the score works →
The exact rules tested
- Fade a touch of the day-anchored VWAP back toward the mean; flat at session end; 1.5x ATR stop; 1.5R target
How to read this
This is the mechanical floor — what the rules alone produced after costs, with zero discretion. A low score doesn’t mean the idea is worthless; it’s the baseline your filtering and judgement have to beat. The SVS methodology explains exactly how the score is built.
Test your own version of this
Add a trend filter, a session window, or a confluence and see if you can beat the floor. Describe it in plain English and the AI backtester runs it on real data.
Open the AI backtester →Questions
Is the VWAP bounce strategy profitable?
No edge: net negative after costs across 4 markets. Across 4 markets and 13,801 trades with fees on, it had a profit factor of 0.40 and an average net return of -100.0%.
What is the win rate of the VWAP bounce strategy?
28.9% across all tested markets. Note that win rate alone is misleading — with a fixed reward-to-risk target, a mechanically negative strategy can still win 30–45% of the time.
How was the VWAP bounce strategy tested?
Coded to exact mechanical rules and run on June 1, 2025 – June 1, 2026 (12 months) of real 1-minute data, fees on (0.05% per side), $10,000 start, 1% risk per trade, on Secuora's deterministic engine. No discretion.