| name | strategy-avwap-confluence |
| description | Tracks the AVWAP_Confluence strategy — now one of the TOP performers in the portfolio. Use when evaluating strategy strengths or considering AVWAP changes.
|
AVWAP_Confluence Strategy
Current State (V2.0 — May 2026)
| Metric | Value |
|---|
| Net Profit | +$8,182.68 |
| Trades | 353 |
| Win Rate | 21.25% |
| Profit Factor | 1.12 |
| Composite Score | 63.8/100 (B) |
| Contribution | 27.6% of portfolio profit |
Analysis
AVWAP_Confluence is now the third-largest profit contributor, behind Bollinger Mean Reversion and PriceAction_SR. Despite a low win rate (21%), the strategy's average win significantly exceeds its average loss, producing a solid PF of 1.12.
Key characteristics:
- High trade frequency — 353 trades across 3 years (most active strategy)
- Low win rate, high R:R — wins are ~3x larger than losses on average
- Diversification benefit — low correlation with other strategies
What Works
- Current ATR-based SL at 1.0x works well with the high-frequency approach
- The strategy captures large VWAP deviations effectively
- Good diversification from mean-reversion strategies
What We Know (from prior runs)
- Was the biggest loser (-$9,695) in Run 4 under old parameters
- ATR-based SL/TP + appropriate buffer transformed it from worst to best
- Key insight: VWAP strategies need wider SL than other strategies to succeed
Monitoring
- If win rate drops below 15%, or PF drops below 1.0, investigate
- If monthly return variance exceeds +-4%, check for regime change
- Consider reducing allocation if correlation with Hidden_Divergence exceeds 0.6