VWAP Bounce: does it work?

Buying a dip below the volume-weighted average price and selling the snap back toward it is a staple intraday setup on trading forums.

The rule we tested. Price trading a set distance below the session VWAP to enter long, exiting on a reversion back to VWAP, an intraday mean-reversion rule with no added filter.

No. crypto pairs −134.5 pts/yr vs buy-and-hold (p=1.000, q=1.000). None cleared Tickfloor's Benjamini-Hochberg q<0.10 bar once weighed against every other rule tested alongside it.

This is one line in a wider check: Tickfloor's research desk has run 401 strategies against buy-and-hold, and after correcting for how many were tested (Benjamini-Hochberg, 444 tests), 0 survived. A single win-rate claim like this one is exactly the kind of result that check exists to catch before anyone trades on it.

General information only. It doesn't consider your objectives, finances or needs. Tickfloor holds no financial services licence and never places trades.

Does the VWAP mean-reversion bounce work?

No. crypto pairs −134.5 pts/yr vs buy-and-hold (p=1.000, q=1.000). None cleared Tickfloor's Benjamini-Hochberg q<0.10 bar once weighed against every other rule tested alongside it.

What exact rule did Tickfloor test?

Price trading a set distance below the session VWAP to enter long, exiting on a reversion back to VWAP, an intraday mean-reversion rule with no added filter.

Is this financial advice?

No. This measures a publicly claimed strategy rule, not a recommendation. General information only, not personal advice.

See the full numbers on the Mean reversion family page, or the full method and every result.

Other rules we've tested: Turn-of-the-Month Effect, Sell in May, 12-1 Month Momentum.

See a full worked example, free, no account. Or start lesson 1 of the course, also free.