When price stretches too far from the day's fair value, Anchor trades the snap back.
Mean Reversion · ES · Intraday
Anchor trades ES, the S&P 500 futures contract, during the trading day. It belongs to the mean reversion family, which bets on price returning to normal after it stretches too far. Its reference point is VWAP, the volume-weighted average price: the average price of the session, weighted by how much trading happened at each level. That is where most of the real business of the day got done, so when price strays far from it, it tends to get pulled back. Anchor watches for that kind of stretch and trades against it, aiming to catch the return trip rather than chase the extreme.
On a given session, Anchor stays quiet until price pushes far enough from the anchor to matter, then it looks to trade the move back toward the center. On calm, balanced days it may not trade at all, because nothing is stretched enough to correct. Anchor is vault-verified on ES intraday data, which means its rules and record are on file, but no performance numbers are published yet. The exact triggers and exits are private and ship inside the code.
Anchor watches ES price through the day relative to the volume-weighted average price. When price pushes far enough away from that anchor to look stretched, Anchor takes notice and starts watching for a snap-back setup to form.
Not every stretch snaps back, so Anchor waits for its own confirmation before acting. If the setup does not qualify, Anchor sits out rather than fight a move that might keep running.
Once confirmed, Anchor enters against the stretched move and manages the trade back toward the volume-weighted average price. The exact entries and exits are private and ship with the code.
If you trade ES during the day and want a rules-based way to trade overextended moves back to value without watching every tick yourself, Anchor fits your desk.
| Status | Vault-verified |
Test window and data: ES intraday (during the trading day)
Cost model: Commission $0.62/contract (futures) · 0.10%/trade (equities) · slippage 1 tick (a small price slip assumed on every fill) · pyramiding 0 (never adds to an open position) · bar-close calc only (every decision is made at the close of a bar) · fixed size (the same position size on every trade)
Verification: Checked twice: the same rules were run separately on TradingView and in Python, and both runs had to agree. The public certificate carries the record hash, a digital fingerprint that shows the numbers have not been altered since.
These are backtested results, meaning the rules were run on past price data. They are historical and hypothetical, they include the modeled costs above, and they do not guarantee future performance.
The share of trades that made money.
Dollars won for every dollar lost. Above 1.0 means the system made money.
The worst drop from a peak before recovering.
The total result after the modeled costs.
You receive the complete strategy as code that is yours to keep. The exact rules and settings are inside those files; this page only explains the idea.
Anchor trades stretched moves back to value, while Rebound buys the first pullback (a short dip) in a fresh trend. Together they cover both snap-back trades and trend-continuation trades on the desk.