Ivolution Research Journal · Working paper

REFUTE: VWAP/anchor S/R via anchor-placebo

Touches of a session anchor level (an options-notional or time-weighted analogue of VWAP, since true share-VWAP needs volume we lack) revert no more than touches of a fixed random anchor; VWAP/anchored-level support is folklore once placebo-controlled.

MST-09 · v1·Proposed·Narrative — weak evidence·Microstructure

Cite as: MST-09: REFUTE: VWAP/anchor S/R via anchor-placebo. Ivolution Research Journal.

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The study is published as a working paper while a required data source remains unavailable. No result exists yet.

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Symbols

SPX · SPY · QQQ

Regimes

Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day

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MST-09: REFUTE: VWAP/anchor S/R via anchor-placebo — Ivolution Research Journal