VWAP Reversion
Fade price when it deviates N standard deviations from the session VWAP. Classic mean-reversion for range days.
Profitability — TV multi-year derived
NEGATIVE EV“Price rubber-bands around fair value. When it stretches too far, it snaps back. Works best on quiet, range-bound sessions — stay out on trending days.”
A config in this family reached PROMOTED status in the rolling walk-forward (top-5 train AND OOS SQN > 1.0 in at least 3 of 4 rolling windows on legacy_5m). Most robust badge in the library.
This strategy: On legacy_5m, configs sd30×2 and sd40×2 were PROMOTED in rolling Mode B (top-5 train AND OOS SQN > 1 in 3 of 4 windows; mean OOS SQN 0.81 and 1.49 respectively). Mode A PASS: sd30×2 (OOS SQN 1.62) and sd20×1.5 (OOS SQN 1.06). The featured legacy_60m config was not directly tested — family robustness is the basis for the badge.
TradingView 5m, multi-year history
TV multi-year on 5m (sd40×2 variant): the rolling walk-forward champion did NOT replicate. -36k MYR with PF 0.52. The 1-month signal was a sampling artefact.
Local 1-month sweep — in-sample only, weak signal
In-sample only — weak signalTV Strategy Tester evidence
Captured from TradingViewEntries on chart (3 screenshots)
Strategy properties
- Style
- scalp
- Profile
- Balanced
- Trades / day
- 0.30
- Avg bars held
- —
- TV compile status
- Compiled (Pine v6 PASS)
- Walk-forward
- Passed rolling walk-forward (Mode B)
Parameters
- stdevPeriod
- 20
- stdevMult
- 1.5
Applies to
- Market: FCPO (Crude Palm Oil Futures, Bursa Malaysia)
- Timeframe: 60m
- Style: Scalping (seconds to minutes)
- Complexity: 1 rule, plug-and-play
When it works
Range-bound / low-volatility regimes. Avoid strong trending sessions.
Related strategies (mean-reversion)
Full raw backtest result
{
"dataset": "legacy_60m",
"tf": "60m",
"params": {
"stdevPeriod": 20,
"stdevMult": 1.5
},
"trades": 7,
"winRate": 85.71,
"netProfitMYR": 2915,
"profitFactor": 6.25,
"sqn": 2.29,
"maxDrawdownMYR": 555
}