Reversion to VWAP and NFP releases

I have a cautionary tale to tell.

Its about a trader who created a simple trading tool and tested it out. The tool was a vwap with a two channels +3 and -3 ATR above and below it...kinda like Keltner Channels. This was run on the 1-minute charts so the VWAP would be utilized to its fullness.
The idea of the trade was to do a "reversion to the mean" type of trade with the mean/center being the VWAP and edges of the +-3ATR being where the trades were initiated.

Well, he thought, why the hell not run it a few times in demo to see if it works. And so he did. And the results were amazing. While many other people were complaining about whipsaws and NFP release volatility; he was doing rather well.

He had run all different kinds of pairings. If the currency pair hit the outside of the channel, he would trade it towards the center vwap. He did this 10-15 times making about 10-20 pips each time.

It wasn't perfect. He had a few outliers but the system worked beautifully.

He thought, "wow this is good. I will try this again tomorrow". Except that the next day the system seemed to fail miserably.

How many times have you been here?

The reason, he figured, was the NFP. With everyone focussed on its release; the volatility created opportunity for trading back to the mean/vwap.
So now he sits, writing this very post and awaiting the next Non-Farm Payroll release which will be Feb 7th 2020 at 0830 EST.

I use tradingview and I have created a very simple indicator described above. I don't use metatrader 4/5 but I have used it in the past. Perhaps you guys can find something similar and join me in my quest to test this method.

Does anyone have any suggestions or are any of you doing something similar?

SE71

Here are some trades I made:
(This is a paper trading account)

5 Minutes Ago13 546.8313 567.7420.91
Close long position for symbol FX:EURGBP at price 0.84920 for 50000 shares. Position AVG Price was 0.848880, currency: GBP, rate: 1.306626, last updated rate on 2020-01-10T14:22:00Z, point value: 1.000000
8 Minutes Ago13 499.4113 546.8347.42
Close short position for symbol FX:GBPJPY at price 143.174 for 50000 shares. Position AVG Price was 143.278000, currency: JPY, rate: 0.009120, last updated rate on 2020-01-10T14:22:14Z, point value: 1.000000
11 Minutes Ago13 486.5913 499.4112.81
Close short position for symbol FX:EURCHF at price 1.08107 for 50000 shares. Position AVG Price was 1.081320, currency: CHF, rate: 1.025180, last updated rate on 2020-01-10T14:22:55Z, point value: 1.000000
36 Minutes Ago13 404.0913 486.5982.5
Close short position for symbol FX:GBPUSD at price 1.30647 for 50000 shares. Position AVG Price was 1.308120, currency: USD, point value: 1.000000
An Hour Ago13 357.0913 404.0947
Close short position for symbol FX:EURUSD at price 1.11009 for 50000 shares. Position AVG Price was 1.111030, currency: USD, point value: 1.000000
An Hour Ago13 351.0913 357.096
Close long position for symbol FX:EURUSD at price 1.11035 for 50000 shares. Position AVG Price was 1.110230, currency: USD, point value: 1.000000
An Hour Ago13 311.7313 351.0939.37
Close short position for symbol FX:GBPNZD at price 1.97537 for 50000 shares. Position AVG Price was 1.976560, currency: NZD, rate: 0.661638, last updated rate on 2020-01-10T13:22:00Z, point value: 1.000000
An Hour Ago13 268.0513 311.7343.68
Close long position for symbol FX:GBPAUD at price 1.90216 for 50000 shares. Position AVG Price was 1.900890, currency: AUD, rate: 0.687838, last updated rate on 2020-01-10T12:22:54Z, point value: 1.000000
3 Hours Ago13 216.0713 268.0551.98
Close long position for symbol FX:GBPNZD at price 1.97505 for 50000 shares. Position AVG Price was 1.973480, currency: NZD, rate: 0.662164, last updated rate on 2020-01-10T11:22:00Z, point value: 1.000000
3 Hours Ago13 168.5713 216.0747.5
Close long position for symbol FX:GBPUSD at price 1.30654 for 50000 shares. Position AVG Price was 1.305590, currency: USD, point value: 1.000000
4 Hours Ago13 096.5713 168.5772
Close long position for symbol FX:GBPUSD at price 1.30676 for 50000 shares. Position AVG Price was 1.305320, currency: USD, point value: 1.000000
4 Hours Ago13 064.1413 096.5732.43
Close short position for symbol FX:GBPCHF at price 1.27240 for 20000 shares. Position AVG Price was 1.273980, currency: CHF, rate: 1.026340, last updated rate on 2020-01-10T09:22:57Z, point value: 1.000000
4 Hours Ago13 053.1413 064.1411
Close short position for symbol FX:NZDUSD at price 0.66137 for 50000 shares. Position AVG Price was 0.661590, currency: USD, point value: 1.000000
5 Hours Ago12 979.6413 053.1473.5
Close long position for symbol FX:GBPUSD at price 1.30703 for 50000 shares. Position AVG Price was 1.305560, currency: USD, point value: 1.000000
5 Hours Ago12 943.7012 979.6435.94
Close long position for symbol OANDA:EURGBP at price 0.84978 for 50000 shares. Position AVG Price was 0.849230, currency: GBP, rate: 1.306831, last updated rate on 2020-01-10T09:22:00Z, point value: 1.000000
5 Hours Ago12 917.5612 943.7026.14
Close long position for symbol FX:EURGBP at price 0.84959 for 50000 shares. Position AVG Price was 0.849190, currency: GBP, rate: 1.306831, last updated rate on 2020-01-10T09:22:00Z, point value: 1.000000
5 Hours Ago12 907.7012 917.569.86
Close long position for symbol FX:EURJPY at price 121.664 for 20000 shares. Position AVG Price was 121.610000, currency: JPY, rate: 0.009130, last updated rate on 2020-01-10T09:22:05Z, point value: 1.000000
5 Hours Ago12 898.1212 907.709.59
Close long position for symbol FX:CADJPY at price 83.856 for 50000 shares. Position AVG Price was 83.835000, currency: JPY, rate: 0.009130, last updated rate on 2020-01-10T09:22:05Z, point value: 1.000000
5 Hours Ago12 880.1412 898.1217.98
Close long position for symbol FX:EURCAD at price 1.45070 for 50000 shares. Position AVG Price was 1.450230, currency: CAD, rate: 0.765105, last updated rate on 2020-01-10T09:22:53Z, point value: 1.000000
5 Hours Ago12 863.5912 880.1416.55
Close long position for symbol FX:GBPNZD at price 1.97470 for 50000 shares. Position AVG Price was 1.974200, currency: NZD, rate: 0.661989, last updated rate on 2020-01-10T09:22:00Z, point value: 1.000000
6 Hours Ago12 816.0912 863.5947.5
Close long position for symbol FX:GBPUSD at price 1.30677 for 50000 shares. Position AVG Price was 1.305820, currency: USD, point value: 1.000000
7 Hours Ago12 813.0912 816.093
Close short position for symbol FX:AUDUSD at price 0.68748 for 100000 shares. Position AVG Price was 0.687510, currency: USD, point value: 1.000000
7 Hours Ago12 800.5912 813.0912.5
Close short position for symbol FX:GBPUSD at price 1.30634 for 50000 shares. Position AVG Price was 1.306590, currency: USD, point value: 1.000000
7 Hours Ago12 771.5912 800.5929
Close short position for symbol FX:GBPUSD at price 1.30654 for 50000 shares. Position AVG Price was 1.307120, currency: USD, point value: 1.000000

Total: $796.16 - this was my best run. The next day had many losers.

Hi SpreadEagle7,
I would imagine I have been there more times than I can remember. I have tested hundreds of ideas over the years and the overwhelming result that struck me was just how close to zero net return they were when run over a full market cycle. What is made on the swings invariably ends up being lost on the roundabouts.

What this told me was to stop worrying about finding a 'holy grail' method, there probably isn't one. Instead, find some concept you like the idea of, play around with it and build a solid methodology around it, and then hone your skills trading it consistently and with discipline so you can extract regular profits from it in an acceptable way.

If you like the feel and experience of the method you describe, stick with it, learn its strengths and weaknesses, adapt as necessary, and trade it with guarded confidence. It will never be perfect but over time the results will continue to improve and you will feel increasingly comfortable if there is an underlying validity there. If not, well, start again with a new idea and at least you'll have learned something valuable from the experience. Best of luck!