Fade the deviation: when the 5m close trades more than 2x the day's ATR(15) away from the running turnover-weighted session VWAP, take the reversion back toward VWAP. Stop is 1x ATR beyond entry; target 2R (or VWAP); 60-min time stop.
Trades
535,002
Win Rate
53.7%
Avg R / Trade
+0.35
Total R (gross)
+187068.92R
Total R (net)
+91892.65R
Profit Factor
1.88
Max Drawdown
−65.5R
Avg Win / Loss
+1.39 / 0.86
Long / Short
283,888 / 251,114
Symbols
78
Max Win / Loss Streak
19 / 17
Exit mix
SL: 198,416 · TP: 149,160 · time: 187,426
Account balance: $1,000 start, 1% risk/trade compounding. Cumulative-R equity (flat) and $1,000 account (compounding) are shown; the account curve is the realistic one. Final $1,000-account: gross $187,069 · net $91,893.