MODEL ADOPTION #895: REJECT — VIDEO SCOUT: 2 Stupid Simple VWAP Trading Strategies — E8 Intelligence Research

Abstract

DECISION: REJECT ELEMENT: VWAP mean-reversion entry on touch + close beyond VWAP, stop at swing extreme, target prior swing. EXPECTED IMPACT: +0.5R to +1.5R over the test window, but this is fragile and timeframe-dependent. The 19.3% win rate on EURUSD 15m is too low for our scalping model — we need >40% win rate to maintain psychological edge in fast execution. The positive expectancy (+24.9R) is misleading: it comes from a few large winners that would likely be clipped by E8's sacred geometry targets, which are set before entry. Our model already captures directional momentum; adding a mean-reversion layer would create conflicting signals, especially on 5m and 1h where the strategy loses money (-27.7R and -25.9R). The 72% confidence is not enough to override the structural incompatibility with E8's rhythm logic. RISK: VWAP fails as support/resistance during strong trends or news events, which is exactly when E8's momentum entries are most profitable. Adding this would dilute our e Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com