Ivolution Research Journal · Working paper
VWAP reversion vs ORB (paired)
Deviations of SPY above VWAP predict modest NEGATIVE forward 15-30 min returns (short-side mean reversion), while opening-range-breakout LONG signals show no significant forward edge.
Cite as: MST-03: VWAP reversion vs ORB (paired). Ivolution Research Journal.
Publication status
The study is published as a working paper while a required data source remains unavailable. No result exists yet.
The abstract and product-safe scope metadata are public. Methodology, falsification, limitations, citations, and governed results for MST-03 are available to Terminal + AI members.
Symbols
SPY
Regimes
Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day
Horizons
15 min · 30 min