A VWAP based mean reversion trading strategy
The Strategy uses an upper and lower limit to filter trades. The proposed system has an anualized sharpe ratio of 0.468 vs 0.314 for the SPY, with significantly less drawdown. It is clear from the performance analytics that the strategy, given these parameters, does better under a down market regime. As a next step, regime detection could be added to employ this strategy in a down market and use other strategies under different regimes.
