KILLED · the "institutional level" myth
Hypothesis
"Institutions execute at VWAP", so price pulling back to the daily VWAP from above finds algorithmic support — long the touch. A day-trading course favorite.
Math
VWAP_t = \frac{\sum_{session} C_i V_i}{\sum_{session} V_i}
Method
Price above VWAP for 1h, touch and close back above → long, SL −1%, TP +2%. Daily anchor (00:00 UTC). Same harness. n = 2,592.
Results
| Trades | 2,592 |
| Win rate | 36% |
| Mean net per trade | −0.18% |
| Profit factor | 0.70 |
| t-statistic | −8.0 |
Why it failed
- Execution desks track VWAP to minimize slippage — they do not defend it. There is no bid wall living at the average.
- Negative in both halves; equal to the random-entry floor. The touch carries zero information.
VWAP is an accounting benchmark, not a support level. Trading bounces off an average nets exactly the friction floor: −0.18%/trade.
A level is only tradeable if someone is economically compelled to act there. Nobody is compelled at VWAP.