vwap reversion 15m backtest

What the numbers mean

This one lost money over the window tested, and the reason sits in the rules rather than the tape. Entry wants price stretched about a third of a percent below the session VWAP with a three-period RSI washed out. The exit is the first close back above VWAP, which caps the winner at roughly the distance you were stretched, while the stop sits a full percent below entry and no take-profit exists beyond that touch. The geometry is lopsided by construction: wins are clipped short, losses are allowed to run several times further. Break-even therefore demands a hit rate well above even, and this rule set did not clear that bar.

The remaining parameters sharpen the same character. A three-period RSI on fifteen-minute bars resets after less than an hour of one-way selling, so the trigger fires constantly - a busy, always-nibbling profile rather than a patient one. SPY and QQQ move together, so two positions at half the account each is closer to one doubled bet than a diversified pair; when the tape slides, both stops tend to go on the same move. And VWAP is recomputed fresh each session, so anything carried past the close has its exit target redrawn near the next open.

Beside this text, read the profit factor before the win rate - for a payoff shaped like this one, the win rate is the least informative figure on the page. Then set the trade count against the date range, and check whether the drawdown arrives in clusters rather than singly.