Mean Reversion5m CandlesComplexity: Intermediate

VWAP Institutional Pullback & Band Bounce

Targets institutional re-accumulation zones. When price trends strongly away from VWAP and then pulls back to test the VWAP benchmark line with declining sell volume, the algorithm triggers bounce entries.

Public & Generic Educational Strategy Notice: This strategy blueprint represents a publicly known mathematical formulation and standard technical analysis concept. Algo Software Innovations does NOT claim proprietary copyright, invention, or exclusive ownership over these formulas. You can adapt, customize, and deploy this logic to your private cloud VPS.

Mathematical Logic & Formula Formulation

Pullback = Abs(Price - VWAP) / VWAP < 0.15% + Bullish Reversal Candlestick + RSI > 45

Deterministic Entry Rules

Long Entry (BUY)

✓Price touches or tests within 0.15% of the VWAP line during an uptrend.
✓Bullish rejection candle (Hammer or Bullish Engulfing) forms at VWAP.
✓RSI(14) rebounds above 45.

Short Entry (SELL)

✓Price touches or tests within 0.15% of the VWAP line during a downtrend.
✓Bearish rejection candle (Shooting Star) forms at VWAP.
✓RSI(14) turns below 55.

Exit Criteria & Stop Loss Protection

Initial Stop Loss0.40% below the VWAP test candle low.

Target Profit1.20% - 1.80% (Upper VWAP Standard Deviation Band).

Risk/Reward Expectancy1 : 2.2

Strategy Configuration Specs

Market Segment:High-Beta Equities Cash & Nifty Futures

Candle Timeframe:5m Candles

Risk-to-Reward Ratio:1 : 2.2

Throttling Compliance:≤ 10 OPS Enforced

Required TA-Lib Indicators:

VWAP (Daily Anchor)RSI (14)MACD (12, 26, 9)Volume SMA (20)

Risk Management Controls

•Only active between 09:45 AM and 02:45 PM IST to avoid opening erratic spreads.

Target Trader Profile:Excellent for high-liquidity stocks like Reliance, HDFC Bank, ICICI Bank, Tata Motors.