The Vault Festival – the nearest thing to the Edinburgh Fringe you'll find in London – is getting underway at Waterloo.  Each week of the Festival, we'll be picking through the programme to highlight the shows and performers we know from elsewhere.  Look out too for our reviews from the Vault, coming later this week and then throughout the Festival.

The Great GatsbyThe spotlight event this week – and arguably, for the whole of the Vault Festival – is The Guild Of Misrule's immersive interpretation of The Great Gatsby (pictured right), which promises a "radical" interpretation of F Scott Fitzgerald's decadent Roaring Twenties tale.  The promise of hedonism is always an appealing one, and the production's pedigree could hardly be better, drawing from the mercurial Flanagan Collective and those late-lamented doyens of immersive performance – Belt Up.  Move quickly if you want to book this one; it's running right through till March, but many dates are already sold out.

Running for this week only, Chivaree Circus's Becoming Shades also promises an immersive experience, though the world they'll transport you to is a far darker one.  Based on the myth of Persephone – who was abducted and carried into the Underworld – it features aerialists, fire-jugglers and acrobats, alongside an eclectic live score.  This is a new company, so it's hard to know what to predict, but if nothing else it sounds perfectly matched to the Vault's at-times forbidding subterranean vibe.

I've got high hopes too for Space Play, which uses the confines of the Vault to capture the claustrophobia of a space capsule.  With talent drawn from both Les Enfants Terrible and Complicite, this ought to be a visually striking and technically adventurous work; look out for a review of this one later in the week.  We'll also be catching The Litterati from Shrapnel Theatre, a company that's been generating a quiet buzz for a couple of years now at the Edinburgh Fringe and beyond.

For a wildcard pick try A Year From Now, running in an early-evening slot till Saturday.  My eye's been caught by the involvement of Kate Goodfellow, whom I last saw winning a highly-deserved best-actor award at the Brighton Fringe in 2014; here she's part of a five-member cast playing fourteen real people, relaying their genuine answers to the question of where they see themselves in twelve months' time.  The show's picked up positive reviews from an earlier run.

Away from theatre, while I've never caught it myself, Notflix is fresh from sell-out runs in Edinburgh and Brighton last year.  The title's slightly misleading – this is actually an improvised musical, an ever-popular genre which, if you've never encountered it before, is sure to leave you astounded.  One show I did catch in Edinburgh is Guitar Multiverse, visiting the Vault for one night only on Friday.  I'm far from an expert, but I certainly enjoyed Declan Zapala's masterclass in the myriad different ways to play a guitar – ranging from the relatively conventional to the outright percussive.

And finally, I'd be neglecting my duty if I failed to mention Sunday's performance of A Young Man Dressed As A Gorilla Dressed As An Old Man Sits Rocking In A Rocking Chair For Fifty-Six Minutes And Then Leaves, the Edinburgh cult classic that's been drawing a parade of faintly bemused five-star reviews for the better part of the past decade.  As I understand it, the eponymous Young Man does exactly what the title says he does – it's the audience's response to the weirdness which makes up the joke.  It's free, but turn up early, because the Edinburgh incarnations are always rammed.