scalpBalancedmean-reversionmediumBest TF: 5mWalk-forward untestedTV: Not yet ported to Pine

VWAP Reversion (Seasonal Filters)

VWAP sd30×2 reversion with weekday + hour-of-day + post-opening 15m skip filters. Tests whether 1-month seasonality patterns add value.

Profitability metrics

This strategy has not been validated against TradingView multi-year history yet — RM/day, trades/day, and monthly projection are only computed from authoritative TV stats. The 1-month sweep below is in-sample only and should not be used as a profit forecast.

Philosophy

“Applies weekday + hour-of-day filters from seasonality analysis. Preliminary — 1-month sample. In-sample the filters HURT stats (parent SQN 1.98 → -0.34); likely the seasonality signal is noise given N≈4 observations per weekday.”

Walk-forward status: Walk-forward untested

The featured config below was not directly covered by the walk-forward grids (different dataset or timeframe, or the in-sample SQN was too low to promote to OOS evaluation). Treat the in-sample numbers with appropriate caution — no unseen-window validation yet.

This strategy: Seasonal-filter variant; not in the walk-forward grids. In-sample only — parent SQN 1.98 degraded to -0.34 under filters on the same legacy_5m 1-month window.

Best backtest config (1-month sweep)

SQN

-0.34

Profit Factor

0.82

Win rate

47.1%

Trades

Net profit

MYR -610

Max drawdown

MYR +1,885

Dataset

legacy_5m

Timeframe

Strategy properties

Style: scalp
Profile: Balanced
Trades / day: 0.77
Avg bars held: —
TV compile status: Not yet ported to Pine
Walk-forward: Walk-forward untested
Variant of: VWAP Reversion

Parameters

stdevPeriod: 30
stdevMult: 2
filterWeekdays: Mon,Wed,Thu,Fri
filterHours: 10:00-12:30,14:00-17:00
skipFirstMinutes: 15

Applies to

Market: FCPO (Crude Palm Oil Futures, Bursa Malaysia)
Timeframe: 5m
Style: Scalping (seconds to minutes)
Complexity: 2-3 rules, some discretion

When it works

Did not show a stable edge in the sample — treat with caution.

Pine Script coming soon

Related strategies (mean-reversion)

Bollinger Squeeze Breakout

SQN 0.52 · PF 1.70

Full raw backtest result

{
  "dataset": "legacy_5m",
  "tf": "5m",
  "params": {
    "stdevPeriod": 30,
    "stdevMult": 2,
    "filterWeekdays": "Mon,Wed,Thu,Fri",
    "filterHours": "10:00-12:30,14:00-17:00",
    "skipFirstMinutes": 15
  },
  "trades": 17,
  "winRate": 47.06,
  "netProfitMYR": -610,
  "profitFactor": 0.82,
  "sqn": -0.34,
  "maxDrawdownMYR": 1885
}