Strategies / Mean reversion / Rolling VWAP Reversion Long

Rolling VWAP Reversion Long

Buys when a 2-period rolling VWAP crosses under 0.97 times a 5-period rolling VWAP while the 5-period EMA of RSI(2) is below 30. Sells when the 2-period VWAP crosses over the 5-period VWAP.

Mean reversionLong onlySwingUS Crude OilDaily

n/aProfit factor

4,707Net profit EUR

74.29%Win rate

35Trades

-1,195Max drawdown

134Avg trade

Best run of 32. US Crude Oil, Daily, spread 3, from run sweeps:2026-10-11-CRUDE-D-opt.tsv:39.

Entry rules, long

The 5-period EMA of RSI(2) is below 30.
Each rolling VWAP is the volume-weighted typical price over its number of bars.

Exit rules

The 2-period rolling VWAP crosses over the 5-period rolling VWAP, and the position is sold at market for 1 contract.

Test conditions

Period	Up to 2026-10-11
Instrument	US Crude Oil, Daily
Spread	3 points
Starting capital	1,000,000
Costs	Spread only. Commissions and overnight financing are not included.
Bars	Up to 200,000 bars, fewer where the instrument has less history
Last tested	2026-10-11

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
US Crude OilBest run	Daily	n/a	35	74.29	4,707 EUR	-1,195
Silver	10 min	n/a	3	100.00	5,175 USD	-1,590
Silver	1 hour	n/a	16	56.25	4,541 USD	-3,788
Silver	15 min	n/a	3	100.00	4,178 USD	-1,945
Silver	5 min	n/a	2	100.00	2,392 USD	-1,709
Nasdaq 100	Daily	n/a	10	50.00	1,981 EUR	-1,731
Dow Jones	4 hours	n/a	4	75.00	1,845 EUR	-1,463
Brent Crude	4 hours	n/a	19	68.42	1,693 EUR	-788
Nasdaq 100	4 hours	n/a	6	83.33	1,658 EUR	-490
Nikkei 225	4 hours	n/a	2	100.00	1,020 USD	-180
Brent Crude	1 hour	n/a	11	72.73	995 EUR	-360
Nikkei 225	30 min	n/a	2	100.00	985 USD	-27.50
Dow Jones	1 hour	n/a	2	100.00	612 EUR	-103
Nasdaq 100	1 hour	n/a	3	100.00	514 EUR	-228
Brent Crude	30 min	n/a	6	66.67	464 EUR	-312
US Crude Oil	5 min	n/a	1	100.00	403 EUR	-4.50
Brent Crude	5 min	n/a	1	100.00	381 EUR	-130
Nikkei 225	1 hour	n/a	1	100.00	363 USD	-62.40
Dow Jones	30 min	n/a	3	66.67	356 EUR	-3.60
S&P 500	4 hours	n/a	7	71.43	349 EUR	-159
Brent Crude	1 min	n/a	1	100.00	280 EUR	-1.20
US Crude Oil	2 min	n/a	1	100.00	200 EUR	-3.30
Gold	30 min	n/a	1	100.00	180 EUR	-25.50
Gold	15 min	n/a	1	100.00	167 EUR	-1.10
US Crude Oil	1 min	n/a	1	100.00	162 EUR	-0.00
GBP/USD	1 hour	n/a	1	100.00	155 USD	-75.90
Brent Crude	15 min	n/a	1	100.00	124 EUR	-82.50
Nasdaq 100	30 min	n/a	2	100.00	104 EUR	-46.80
US Crude Oil	10 min	n/a	1	100.00	98.70 EUR	-41.20
Gold	1 hour	n/a	2	100.00	55.50 EUR	-33.50
DAX 40	1 hour	n/a	1	100.00	51.50 EUR	-1.30
S&P 500	30 min	n/a	2	100.00	19.00 EUR	-17.50

Charts

Results by run

Top 10 of 32 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Rolling VWAP Reversion Long
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE smallvwap = 0
ONCE bigvwap = 0

tpv = TypicalPrice * volume
vols = summation[2](volume)
volb = summation[5](volume)

18 more lines: the entry and exit rules.

Setup

How to load it

Copy the code with the copy button on the code block.
In ProRealTime, open a chart of the instrument and timeframe you want to test, then open ProOrder > New trading system and choose "Create with programming".
Paste the code, give the system a name and save it.
Click "Backtest", set your own spread and position size, and run it before you consider trading it live.

Indicators used

VWAPEMARSIVolume

Read this firstKnown weaknesses3 points

No profit factor is available, because only sweep results exist for this strategy.
The best run has only 35 trades, which is a small sample to judge it on.
The code sets no stop loss, so a losing trade stays open until an exit signal arrives.

Questions

About this strategy

Can I run Rolling VWAP Reversion Long in ProOrder?

Yes. The code is ProBuilder and runs as an automated ProOrder system. Backtest it on your own account with your own spread and position size before trading it live.

Which markets was it tested on?

It was tested on 32 market and timeframe combinations. The best run by trade count was US Crude Oil, Daily, with 35 trades.

How large was the drawdown?

The best run had a maximum drawdown of 1,194 EUR at the tested position size, against a net result of 4,707 EUR.

Does it trade long, short or both?

It only takes long trades.

Trend Surfer

Uses the same indicator.

1.04 PF · 10,813 trades

Short Term RSI Pullback Long Short

Best run on the same market, US Crude Oil.

1.33 PF · 493 trades

ATR Band

Also a mean reversion strategy.

10.31 PF · 53 trades

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Past backtest results do not guarantee future results. This is not financial advice. Curated and maintained by ProRealAlgos. ProRealTime™ is a trademark of ProRealTime SAS. prorealalgos.com Stats Docs

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