Strategy library · Mean reversion and bands
VWAP standard deviation fade backtest on NQ and ES futures
VWAP 2 standard-deviation fade
Also called: VWAP 2 SD strategy, VWAP bands reversion, VWAP mean reversion, buy when price closes below VWAP minus 2 standard deviations, short when price closes above VWAP plus 2 standard deviations
What happens if you buy NQ every time price closes below VWAP minus 2 standard deviations?
What it is
The VWAP bands sit 2 standard deviations above and below the session's volume-weighted average price. This strategy goes long on a close below VWAP minus 2 SD and short on a close above VWAP plus 2 SD, and exits on a touch of VWAP.
What it did
On NQ futures from 2024-10-08 to 2026-10-07, the VWAP standard deviation fade strategy took 358 trades on the 15-minute chart, won 65.1% of them and finished 2,325.50 points ($46,510 on one NQ contract), before commission and slippage. From 2024-10-08 to 2026-10-07 on NQ, the 183 long trades on the 15-minute chart won 66.7% and made 674.25 points ($13,485 on one NQ contract), before commission and slippage. On ES futures from 2024-08-28 to 2026-08-27, the VWAP standard deviation fade strategy took 402 trades on the 15-minute chart, won 61.4% of them and finished 358.00 points ($17,900 on one ES contract), before commission and slippage. The 5-minute and 1-hour results for both markets are in the table on this page.
How it was tested
CE Market Solutions tested the VWAP standard deviation fade strategy on NQ (2024-10-08 to 2026-10-07) and ES (2024-08-28 to 2026-08-27) futures, before commission and slippage, with each signal filled at the next bar's open, intraday positions flat at 15:59 ET and textbook default indicator settings; the NQ trades are listed on this page and the ES trades under the ES tab.
See it tested with one change · $19
Tested by CE Market Solutions on 2026-10-26. The trades are listed below, one market at a time. Gross, no commission or slippage. Last 2 years.
Results
Rule as tested: Long on a close below VWAP minus 2 SD; short above VWAP plus 2 SD. Exit: Touch of VWAP.
| Timeframe | NQ · 2024-10-08 to 2026-10-07 | ES · 2024-08-28 to 2026-08-27 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Trades | Win % | Avg pts | Profit factor | Net pts | Net $ (1 NQ) | Max DD pts | Trades | Win % | Avg pts | Profit factor | Net pts | Net $ (1 ES) | Max DD pts | |
| 5 minute | 472 | 64.0% | −1.38 | 0.972 | −651.75 | −$13,035 | 2,478.50 | 493 | 63.1% | −0.14 | 0.985 | −69.00 | −$3,450 | 531.00 |
| 5 minute · longs only | 249 | 65.5% | — | — | 410.25 | $8,205 | 1,610.50 | 255 | 66.3% | — | — | −45.50 | −$2,275 | 341.00 |
| 5 minute · shorts only | 223 | 62.3% | — | — | −1,062.00 | −$21,240 | 2,316.25 | 238 | 59.7% | — | — | −23.50 | −$1,175 | 485.50 |
| 15 minute | 358 | 65.1% | 6.50 | 1.148 | 2,325.50 | $46,510 | 1,305.75 | 402 | 61.4% | 0.89 | 1.103 | 358.00 | $17,900 | 310.75 |
| 15 minute · longs only | 183 | 66.7% | — | — | 674.25 | $13,485 | 1,738.00 | 201 | 63.2% | — | — | 107.00 | $5,350 | 362.50 |
| 15 minute · shorts only | 175 | 63.4% | — | — | 1,651.25 | $33,025 | 1,258.25 | 201 | 59.7% | — | — | 251.00 | $12,550 | 257.50 |
| 1 hour | 209 | 62.7% | 15.40 | 1.428 | 3,218.75 | $64,375 | 813.00 | 239 | 62.3% | 1.27 | 1.176 | 303.25 | $15,163 | 314.75 |
| 1 hour · longs only | 99 | 63.6% | — | — | 1,585.00 | $31,700 | 787.50 | 115 | 64.4% | — | — | 186.75 | $9,338 | 247.75 |
| 1 hour · shorts only | 110 | 61.8% | — | — | 1,633.75 | $32,675 | 620.00 | 124 | 60.5% | — | — | 116.50 | $5,825 | 123.25 |
Free to use with credit to CE Market Solutions (CC BY 4.0).
ES 5 minute: the equity line
Long and short
| Side | Trades | Net pts |
|---|---|---|
| Long | 255 | −45.50 |
| Short | 238 | −23.50 |
By month
| Month | Trades | Net pts |
|---|---|---|
| 2024-08 | 2 | −7.50 |
| 2024-09 | 26 | 144.25 |
| 2024-10 | 23 | −28.50 |
| 2024-11 | 17 | −29.00 |
| 2024-12 | 18 | −208.75 |
| 2025-01 | 21 | 40.75 |
| 2025-02 | 24 | −173.75 |
| 2025-03 | 24 | 80.00 |
| 2025-04 | 18 | −115.00 |
| 2025-05 | 20 | 117.75 |
| 2025-06 | 21 | 113.25 |
| 2025-07 | 23 | −48.25 |
| 2025-08 | 17 | −13.75 |
| 2025-09 | 26 | 41.00 |
| 2025-10 | 25 | −27.00 |
| 2025-11 | 18 | −153.50 |
| 2025-12 | 21 | −6.00 |
| 2026-01 | 21 | 141.75 |
| 2026-02 | 21 | 58.00 |
| 2026-03 | 12 | −71.25 |
| 2026-04 | 19 | 50.00 |
| 2026-05 | 15 | 30.25 |
| 2026-06 | 24 | −26.50 |
| 2026-07 | 21 | 62.50 |
| 2026-08 | 16 | −39.75 |
Every trade, ES 5 minute493 trades
Pick any of the 493 charted trades with Previous, Next or a date, or click a row in the trades table below, to see it drawn on the real 1-minute bars. Drag the chart sideways to move through the sessions around it.
Chart unavailable. The trades are in the table below.
All trades (493), newest first
Times are New York time; points are gross. Click a row to draw that trade in the chart above.
| Session date | Side | Entry (ET) | Entry price | Exit (ET) | Exit price | Exit reason | Points |
|---|---|---|---|---|---|---|---|
| 2025-10-15 | long | 13:05 | 6692.75 | 14:56 | 6718.75 | vwap touch | 26.00 |
| 2025-10-14 | short | 12:45 | 6709.75 | 15:44 | 6668.50 | vwap touch | 41.25 |
| 2025-10-13 | short | 12:20 | 6701.50 | 14:57 | 6683.25 | vwap touch | 18.25 |
| 2025-10-10 | long | 11:00 | 6757.50 | 15:59 | 6595.00 | end of day 15:59 | −162.50 |
| 2025-10-10 | short | 09:40 | 6801.50 | 10:01 | 6791.00 | vwap touch | 10.50 |
| 2025-10-09 | long | 09:55 | 6788.00 | 15:50 | 6781.00 | vwap touch | −7.00 |
| 2025-10-08 | short | 10:05 | 6783.75 | 15:59 | 6802.00 | end of day 15:59 | −18.25 |
| 2025-10-07 | long | 11:10 | 6760.00 | 15:59 | 6762.50 | end of day 15:59 | 2.50 |
| 2025-10-06 | short | 13:25 | 6795.00 | 15:59 | 6788.50 | end of day 15:59 | 6.50 |
| 2025-10-06 | long | 10:10 | 6768.00 | 10:33 | 6779.50 | vwap touch | 11.50 |
| 2025-10-03 | long | 13:55 | 6755.00 | 15:59 | 6765.00 | end of day 15:59 | 10.00 |
| 2025-10-03 | short | 10:40 | 6792.75 | 13:03 | 6785.75 | vwap touch | 7.00 |
| 2025-10-02 | long | 10:55 | 6750.50 | 13:28 | 6760.75 | vwap touch | 10.25 |
| 2025-09-30 | short | 14:15 | 6713.75 | 15:59 | 6737.25 | end of day 15:59 | −23.50 |
| 2025-09-30 | long | 10:40 | 6695.00 | 10:47 | 6704.50 | vwap touch | 9.50 |
| 2025-09-29 | long | 13:05 | 6703.75 | 15:50 | 6715.75 | vwap touch | 12.00 |
| 2025-09-25 | long | 14:05 | 6625.00 | 14:40 | 6657.50 | vwap touch | 32.50 |
| 2025-09-24 | long | 11:35 | 6703.75 | 15:59 | 6692.00 | end of day 15:59 | −11.75 |
| 2025-09-24 | long | 09:50 | 6711.50 | 10:49 | 6717.50 | vwap touch | 6.00 |
| 2025-09-23 | long | 11:00 | 6745.75 | 15:59 | 6715.75 | end of day 15:59 | −30.00 |
| 2025-09-23 | long | 10:25 | 6747.25 | 10:55 | 6750.50 | vwap touch | 3.25 |
| 2025-09-22 | short | 10:45 | 6729.50 | 15:59 | 6751.75 | end of day 15:59 | −22.25 |
| 2025-09-19 | short | 15:00 | 6716.75 | 15:59 | 6721.75 | end of day 15:59 | −5.00 |
| 2025-09-17 | long | 14:40 | 6637.25 | 15:01 | 6658.00 | vwap touch | 20.75 |
| 2025-09-17 | long | 14:15 | 6647.00 | 14:22 | 6663.50 | vwap touch | 16.50 |
| 2025-09-17 | short | 14:05 | 6685.25 | 14:12 | 6664.75 | vwap touch | 20.50 |
| 2025-09-17 | long | 12:40 | 6652.00 | 13:59 | 6662.75 | vwap touch | 10.75 |
| 2025-09-12 | short | 14:10 | 6597.75 | 15:32 | 6592.75 | vwap touch | 5.00 |
| 2025-09-12 | short | 11:00 | 6597.75 | 11:22 | 6590.75 | vwap touch | 7.00 |
| 2025-09-12 | short | 10:10 | 6595.50 | 10:13 | 6589.25 | vwap touch | 6.25 |
| 2025-09-11 | short | 09:55 | 6567.50 | 15:59 | 6592.25 | end of day 15:59 | −24.75 |
| 2025-09-10 | long | 14:20 | 6532.75 | 15:59 | 6539.25 | end of day 15:59 | 6.50 |
| 2025-09-09 | long | 10:35 | 6493.50 | 11:26 | 6505.00 | vwap touch | 11.50 |
| 2025-09-08 | long | 14:05 | 6492.50 | 14:48 | 6503.50 | vwap touch | 11.00 |
| 2025-09-08 | short | 10:45 | 6510.75 | 11:46 | 6505.00 | vwap touch | 5.75 |
| 2025-09-05 | long | 10:15 | 6509.00 | 15:59 | 6491.00 | end of day 15:59 | −18.00 |
| 2025-09-04 | short | 10:40 | 6477.50 | 15:59 | 6511.25 | end of day 15:59 | −33.75 |
| 2025-09-03 | long | 14:00 | 6431.75 | 15:44 | 6444.75 | vwap touch | 13.00 |
| 2025-09-03 | short | 10:50 | 6461.50 | 11:27 | 6449.25 | vwap touch | 12.25 |
| 2025-08-29 | long | 10:05 | 6470.25 | 15:47 | 6475.75 | vwap touch | 5.50 |
| 2025-08-28 | short | 12:30 | 6509.25 | 15:59 | 6517.00 | end of day 15:59 | −7.75 |
| 2025-08-27 | short | 14:15 | 6500.50 | 15:12 | 6488.50 | vwap touch | 12.00 |
| 2025-08-27 | short | 10:20 | 6491.00 | 12:25 | 6486.00 | vwap touch | 5.00 |
| 2025-08-26 | short | 15:00 | 6468.50 | 15:59 | 6481.00 | end of day 15:59 | −12.50 |
| 2025-08-22 | short | 10:05 | 6460.00 | 15:59 | 6483.25 | end of day 15:59 | −23.25 |
| 2025-08-21 | long | 13:20 | 6376.00 | 14:56 | 6394.25 | vwap touch | 18.25 |
| 2025-08-20 | long | 09:50 | 6407.75 | 11:22 | 6394.00 | vwap touch | −13.75 |
| 2025-08-19 | long | 11:00 | 6446.75 | 15:59 | 6432.75 | end of day 15:59 | −14.00 |
| 2025-08-19 | short | 10:05 | 6476.00 | 10:28 | 6465.75 | vwap touch | 10.25 |
| 2025-08-15 | long | 09:50 | 6475.75 | 13:31 | 6481.25 | vwap touch | 5.50 |
Questions and answers
What happens if you buy NQ every time price closes below VWAP minus 2 standard deviations?
From 2024-10-08 to 2026-10-07 on the NQ 15-minute chart, the VWAP standard deviation fade strategy took 183 long trades, won 66.7% of them and made 674.25 points ($13,485 on one NQ contract), before commission and slippage. From 2024-10-08 to 2026-10-07 on NQ, its long trades also made 410.25 points on 249 trades on the 5-minute chart and 1,585.00 points on 99 trades on the 1-hour chart, before commission and slippage.
What happens if you short ES every time price closes above VWAP plus 2 standard deviations?
From 2024-08-28 to 2026-08-27 on the ES 15-minute chart, the VWAP standard deviation fade strategy took 201 short trades, won 59.7% of them and made 251.00 points ($12,550 on one ES contract), before commission and slippage. From 2024-08-28 to 2026-08-27 on ES, its short trades also made -23.50 points on 238 trades on the 5-minute chart and 116.50 points on 124 trades on the 1-hour chart, before commission and slippage.
Does the VWAP standard deviation fade strategy work on Nasdaq futures?
On NQ futures from 2024-10-08 to 2026-10-07, the VWAP standard deviation fade strategy on the 15-minute chart took 358 trades, won 65.1% of them and finished 2,325.50 points ($46,510 on one NQ contract), before commission and slippage.
What is the win rate of VWAP 2 standard-deviation fade on ES futures?
The VWAP standard deviation fade strategy won 61.4% of its 402 trades on the ES 15-minute chart from 2024-08-28 to 2026-08-27, before commission and slippage. On ES from 2024-08-28 to 2026-08-27 it also won 63.1% of 493 trades on the 5-minute chart and 62.3% of 239 trades on the 1-hour chart, before commission and slippage.
Is the VWAP standard deviation fade strategy better on the 5-minute, 15-minute or 1-hour chart for NQ?
On NQ from 2024-10-08 to 2026-10-07, the VWAP standard deviation fade strategy made -651.75 points on 472 trades on the 5-minute chart, 2,325.50 points on 358 trades on the 15-minute chart and 3,218.75 points on 209 trades on the 1-hour chart, before commission and slippage.
Is it better to only buy or only sell VWAP standard deviation fade signals on NQ?
On the NQ 15-minute chart from 2024-10-08 to 2026-10-07, the long trades made 674.25 points on 183 trades (66.7% won) and the short trades made 1,651.25 points on 175 trades (63.4% won), before commission and slippage.
How many trades does the VWAP standard deviation fade strategy take on NQ in two years?
The VWAP standard deviation fade strategy took 358 trades on the NQ 15-minute chart from 2024-10-08 to 2026-10-07, before commission and slippage. On NQ from 2024-10-08 to 2026-10-07 it also took 472 on the 5-minute chart and 209 on the 1-hour chart, before commission and slippage.
What is the max drawdown of the VWAP standard deviation fade strategy on NQ?
The VWAP standard deviation fade strategy had a max drawdown of 1,305.75 points ($26,115 on one NQ contract) on the NQ 15-minute chart from 2024-10-08 to 2026-10-07, before commission and slippage. On NQ from 2024-10-08 to 2026-10-07 its max drawdown was also 2,478.50 points on the 5-minute chart and 813.00 points on the 1-hour chart, before commission and slippage.
How does the VWAP standard deviation fade strategy do on ES compared with NQ?
On the ES 15-minute chart from 2024-08-28 to 2026-08-27, the VWAP standard deviation fade strategy took 402 trades, won 61.4% of them and made 358.00 points ($17,900 on one ES contract), before commission and slippage. On the NQ 15-minute chart from 2024-10-08 to 2026-10-07, the VWAP standard deviation fade strategy took 358 trades, won 65.1% of them and made 2,325.50 points ($46,510 on one NQ contract), before commission and slippage.
How these were run
- Gross: no commission and no slippage.
- The last 2 years of each market, from the first to the last session of its window.
- A signal on a closed bar fills at the next bar’s open.
- A stop and a target touched in the same minute count as the stop.
- Intraday positions are flat at 15:59 ET.
- Textbook TradingView default settings for every indicator; nothing is tuned.
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