Hey team, Jacob here.
One way to determine the fair value of an instrument is by using VWAP.
Volume-Weighted Average Price (VWAP) has long been a reliable benchmark for mean reversion.
The trick is that it shouldn't be used on its own as an entry signal for betting on mean reversion.
I've found that order flow imbalance and block volume spikes make excellent secondary confirmation signals, rather than simply buying whenever price trades below VWAP.
Curious to hear your thoughts as well!
