← Back to Interactive Strategy Lab
FXSnipers Quantitative Desk Series

Anchored VWAP Mean Reversion Strategy

Forex • EURUSD, GBPUSD, USDCHF • M5 • Mean Reversion
London Open
07:00 - 16:00 UTC
Complexity: Intermediate
Max Risk 0.5% - 1.0% maximum equity risk per trade.
Target R:R Scaled exits with TP1 at central VWAP and TP2 at opposite 1 SD band.
Break-Even Trigger Move Stop Loss to entry price once TP1 is fully secured.
Automation Rule-dependent

Pre-Trade Verification Checklist

Verify Session Time: Ensure current time is at or past 07:00 UTC to correctly anchor the VWAP session baseline.
Check M30 Regime Filter: Confirm that M30 ADX(14) is below 22 and the VWAP slope is flat, indicating a ranging market.
Wait for Band Overextension: Monitor M5 price action for a candle closing outside the +2 or -2 standard deviation bands.
Confirm Rejection Candlestick: Ensure the subsequent M5 bar prints a clear rejection wick and closes back inside the band boundary.
Execute Risk Protocol: Set stop loss at 0.5 SD beyond the band, define dual take-profit targets, and verify daily loss limits.

Entry Execution Criteria

  1. Identify the 07:00 UTC session candle and anchor the VWAP calculation along with 1 and 2 standard deviation bands from this point.
  2. Check the M30 timeframe to confirm that ADX(14) is strictly below 22 and the anchored VWAP slope is relatively flat.
  3. For Short Entry: Price must close above the +2 SD band during the M5 session, followed immediately by the next M5 bar printing a rejection wick and closing back inside the +2 SD band. For Long Entry: Price closes below the -2 SD band and the subsequent M5 bar rejects, closing back inside.

Take-Profit & Target Exit

  • Take Profit 1 (TP1): Close 50% of the position upon reaching the central anchored VWAP line.
  • Take Profit 2 (TP2): Close the remaining 50% of the position at the opposite 1 SD band.

Invalidation & Emergency Exit

  • If the M30 ADX crosses above 25 at any point during the session, all active setups are cancelled and no new trades are taken for the day.
  • If price fails to trigger the entry condition within 3 hours of session open, or breaches daily session risk limits, the setup is voided.
Stop-Loss Positioning

Set Stop Loss exactly 0.5 standard deviations beyond the entry band (+2.5 SD for shorts, -2.5 SD for longs).

Documented & Formatted by FXSnipers Strategy Lab • fxsnipers.com/strategy-lab/anchored-vwap-mean-reversion-strategy
Desk Cheat Sheet Specification v1.0