Knowledge Base

Report Guides

All Reports

ReportsVWAP Std Dev Return

ReportsTechnicalVWAP Std Dev Return

VWAP Standard Deviation Return

Mean reversion from VWAP bands at 1σ, 2σ, 3σ

Loading animation...

VWAP Standard Deviation — Strategy Guide

VWAP as Mean

VWAP (Volume-Weighted Average Price) represents the true average price paid during the session. Standard deviation bands around VWAP define how extended price is from fair value. This report quantifies the probability of price reverting to VWAP from each band level.

Reversion Statistics

Band	Reversion to VWAP	Avg Time	Best Action
1σ (±1 std dev)	55-65%	45-90 min	Light fade, tight stop
2σ (±2 std dev)	72-82%	30-60 min	Moderate fade, good R/R
3σ (±3 std dev)	85-92%	15-45 min	Aggressive fade, high probability

Trading Strategy

Fade at 2σ+ with a target back to VWAP. The 2σ band offers the best balance between probability and frequency — 3σ is higher probability but rare. Use the stop just beyond the 3σ band. The key is patience: wait for price to reach the band, then look for a rejection candle or delta divergence before entering.

Pro Tip

VWAP standard deviation mean reversion works significantly better in positive gamma environments and during range-bound days. On strong trend days, price can travel along the 1σ or 2σ band for hours without reverting. Always check the day type context first.

Average Daily Range

Pivot Points