StockSharp.Strategies.0235_VWAP_Mean_Reversion 5.0.2

Prefix Reserved

dotnet add package StockSharp.Strategies.0235_VWAP_Mean_Reversion --version 5.0.2

NuGet\Install-Package StockSharp.Strategies.0235_VWAP_Mean_Reversion -Version 5.0.2

This command is intended to be used within the Package Manager Console in Visual Studio, as it uses the NuGet module's version of Install-Package.

<PackageReference Include="StockSharp.Strategies.0235_VWAP_Mean_Reversion" Version="5.0.2" />

For projects that support PackageReference, copy this XML node into the project file to reference the package.

<PackageVersion Include="StockSharp.Strategies.0235_VWAP_Mean_Reversion" Version="5.0.2" />
                    

                            Directory.Packages.props

<PackageReference Include="StockSharp.Strategies.0235_VWAP_Mean_Reversion" />
                    

                            Project file

For projects that support Central Package Management (CPM), copy this XML node into the solution Directory.Packages.props file to version the package.

paket add StockSharp.Strategies.0235_VWAP_Mean_Reversion --version 5.0.2

The NuGet Team does not provide support for this client. Please contact its maintainers for support.

#r "nuget: StockSharp.Strategies.0235_VWAP_Mean_Reversion, 5.0.2"

#r directive can be used in F# Interactive and Polyglot Notebooks. Copy this into the interactive tool or source code of the script to reference the package.

#:package StockSharp.Strategies.0235_VWAP_Mean_Reversion@5.0.2

#:package directive can be used in C# file-based apps starting in .NET 10 preview 4. Copy this into a .cs file before any lines of code to reference the package.

#addin nuget:?package=StockSharp.Strategies.0235_VWAP_Mean_Reversion&version=5.0.2
                    

                            Install as a Cake Addin

#tool nuget:?package=StockSharp.Strategies.0235_VWAP_Mean_Reversion&version=5.0.2
                    

                            Install as a Cake Tool

The NuGet Team does not provide support for this client. Please contact its maintainers for support.

VWAP Mean Reversion Strategy (C# Version)

This strategy fades moves away from the volume weighted average price. ATR is used to gauge how far price must deviate from VWAP before a reversal trade is considered.

Testing indicates an average annual return of about 58%. It performs best in the stocks market.

A long position opens when price drops below VWAP by more than K times the ATR. A short is taken when price rallies above VWAP by the same amount. Trades exit as soon as price returns to the VWAP line.

The approach is designed for intraday traders who expect prices to oscillate around VWAP rather than trend strongly. Stops sized as a multiple of ATR help keep losses controlled if the move continues against the trade.

Details

Entry Criteria:
- Long: Close < VWAP - K * ATR
- Short: Close > VWAP + K * ATR
Long/Short: Both sides.
Exit Criteria:
- Long: Exit when close >= VWAP
- Short: Exit when close ⇐ VWAP
Stops: Yes, ATR-based stop.
Default Values:
- K = 2.0m
- CandleType = TimeSpan.FromMinutes(5)
- AtrPeriod = 14
Filters:
- Category: Mean Reversion
- Direction: Both
- Indicators: VWAP, ATR
- Stops: Yes
- Complexity: Intermediate
- Timeframe: Intraday
- Seasonality: No
- Neural networks: No
- Divergence: No
- Risk Level: Medium

There are no supported framework assets in this package.

Learn more about Target Frameworks and .NET Standard.

This package has no dependencies.

NuGet packages

This package is not used by any NuGet packages.

GitHub repositories

This package is not used by any popular GitHub repositories.

Version	Downloads	Last Updated
5.0.2	162	8/7/2025
5.0.1	273	7/20/2025
5.0.0	55	7/11/2025

Move state reset to OnReseted for strategies 231-240