BACKTEST · MEAN REVERSION
VWAP mean reversion (intraday)
SPY 5 minute bars: session VWAP from session sums; buy below VWAP, sell back above it or near the close.
From 2024-10-01T13:30:00Z to 2024-10-31T19:55:00Z, this rule made 16 trades and returned +0.3%. Buying and holding SPY returned -0.4% over the same dates. The largest drop from a past high was 1.1%.
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The rule
SPY 5 minute bars: session VWAP from session sums; buy below VWAP, sell back above it or near the close. Orders fill at the next open.
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Did it beat SPY?
How it did over time
Strategy in orange-red. SPY buy and hold in light.
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The same result in an AI chat
This is how the result looks when an AI agent such as Claude or ChatGPT runs it. It uses the same engine report.
Strategy equity in orange-red, SPY in light. Historical test only.
Every trade
16 trades and 32 fills, straight from the engine report. Each fill shows the day the signal fired, the day it filled, and why. This run used 0 bps fees and 0 bps slippage on each fill, except when a modeled option expires. A basis point (bps) is one hundredth of one percent.
| Signal date | Fill date | Ticker | Side | Price | Reason |
|---|---|---|---|---|---|
| 2024-10-01T14:50:00Z | 2024-10-01T14:55:00Z | SPY | Buy | $567.50 | entry |
| 2024-10-01T15:35:00Z | 2024-10-01T15:40:00Z | SPY | Sell | $568.86 | exit |
| 2024-10-01T16:40:00Z | 2024-10-01T16:45:00Z | SPY | Buy | $567.38 | entry |
| 2024-10-01T17:50:00Z | 2024-10-01T17:55:00Z | SPY | Sell | $568.34 | exit |
| 2024-10-03T14:40:00Z | 2024-10-03T14:45:00Z | SPY | Buy | $566.87 | entry |
| 2024-10-03T14:50:00Z | 2024-10-03T14:55:00Z | SPY | Sell | $568.25 | exit |
| 2024-10-03T14:55:00Z | 2024-10-03T15:00:00Z | SPY | Buy | $566.65 | entry |
| 2024-10-03T15:30:00Z | 2024-10-03T15:35:00Z | SPY | Sell | $567.98 | exit |
| 2024-10-03T16:45:00Z | 2024-10-03T16:50:00Z | SPY | Buy | $566.53 | entry |
| 2024-10-03T19:50:00Z | 2024-10-03T19:55:00Z | SPY | Sell | $567.41 | exit |
| 2024-10-04T15:20:00Z | 2024-10-04T15:25:00Z | SPY | Buy | $568.91 | entry |
| 2024-10-04T15:55:00Z | 2024-10-04T16:00:00Z | SPY | Sell | $570.46 | exit |
| 2024-10-07T18:00:00Z | 2024-10-07T18:05:00Z | SPY | Buy | $569.53 | entry |
| 2024-10-07T19:50:00Z | 2024-10-07T19:55:00Z | SPY | Sell | $568.18 | exit |
| 2024-10-15T14:30:00Z | 2024-10-15T14:35:00Z | SPY | Buy | $582.49 | entry |
| 2024-10-15T19:50:00Z | 2024-10-15T19:55:00Z | SPY | Sell | $579.80 | exit |
| 2024-10-17T15:00:00Z | 2024-10-17T15:05:00Z | SPY | Buy | $582.39 | entry |
| 2024-10-17T15:25:00Z | 2024-10-17T15:30:00Z | SPY | Sell | $584.01 | exit |
| 2024-10-17T18:15:00Z | 2024-10-17T18:20:00Z | SPY | Buy | $582.63 | entry |
| 2024-10-17T19:50:00Z | 2024-10-17T19:55:00Z | SPY | Sell | $582.53 | exit |
| 2024-10-21T15:00:00Z | 2024-10-21T15:05:00Z | SPY | Buy | $581.83 | entry |
| 2024-10-21T16:55:00Z | 2024-10-21T17:00:00Z | SPY | Sell | $582.84 | exit |
| 2024-10-23T15:10:00Z | 2024-10-23T15:15:00Z | SPY | Buy | $579.28 | entry |
| 2024-10-23T19:50:00Z | 2024-10-23T19:55:00Z | SPY | Sell | $577.79 | exit |
| 2024-10-24T15:45:00Z | 2024-10-24T15:50:00Z | SPY | Buy | $577.09 | entry |
| 2024-10-24T16:45:00Z | 2024-10-24T16:50:00Z | SPY | Sell | $578.99 | exit |
| 2024-10-25T15:35:00Z | 2024-10-25T15:40:00Z | SPY | Buy | $581.98 | entry |
| 2024-10-25T19:50:00Z | 2024-10-25T19:55:00Z | SPY | Sell | $579.04 | exit |
| 2024-10-30T17:35:00Z | 2024-10-30T17:40:00Z | SPY | Buy | $580.58 | entry |
| 2024-10-30T19:50:00Z | 2024-10-30T19:55:00Z | SPY | Sell | $580.13 | exit |
| 2024-10-31T16:30:00Z | 2024-10-31T16:35:00Z | SPY | Buy | $571.07 | entry |
| 2024-10-31T19:50:00Z | 2024-10-31T19:55:00Z | SPY | Sell | $569.86 | exit |
Want to change this rule?
Ask the chat to try another ticker, other dates, a stop, or different fees. It runs the same engine on real past prices.
Risk warning
Past results do not predict future returns. Not investment advice.