u/Arty_Puls ·
Reddit — r/algotrading
· April 19, 2026 at 12:03
· ⬆ 16 pts
· 💬 14 comments
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Summary
The post is a query about optimizing a mean reversion strategy, specifically focusing on the best metric (e.g., VWAP, SMA) to identify overextended price moves for entries on SPY.
The author's thesis is that combining a price deviation from a mean metric (using ATR for scaling) with RSI overbought/oversold signals and time-based filters can create a viable short-term mean reversion system.
Quality assessment: Noise. This is a speculative strategy discussion seeking optimization tips, not a presentation of researched data or backtest results.
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We all know the good ol' mean reversion strategy. Something goes too far away from the mean and we trade under the assumption it will come back. Now, what is the something you measure?
VWAP, EMAS, SMA, RSI?
My current set up I've been playing with is something like:
SPY , 1 min, 04/05/21-04/19/26
If price strays X amount away from VWAP, where X is a multiple of ATR(20 for my example)
AND RSI is in oversold or overbought territory
AND all my filter conditions are met ( no trade during first 15 min and no shorting last hour) then enter trade"
Issues im coming across are identifying the reversal, I think the ATR based stretch is doing good at finding the stretch, but getting a good entry is harder. I think I need to pivot to 5 min trading, and look at 1 minute for my entry. Use 15 min for broader context
However I don't even know if VWAP is the best metric to measure? Any luck with anything else?
Author is actively testing a mean reversion strategy on SPY using deviations from VWAP (scaled by ATR) combined with RSI extremes. The implied trade idea is to LONG when price is far below VWAP & RSI is oversold, and to SHORT when price is far above VWAP & RSI is overbought, assuming a reversion to the mean. The strategy suggests short-term, counter-trend trades on SPY based on over-extension signals, though the author is uncertain about the optimal setup. The strategy may fail in strong trending markets, leading to whipsaws. The entry signal (identifying the reversal point) is noted as a primary difficulty.