EVZ-Filtered Imbalance Scalper

Family: hybrid · Regime: trending · Complexity: high · Asset classes: FX (EUR/USD) · Timeframes: 5m, 15m

Thesis

Intraday price imbalances (FVG) in EUR/USD are most effectively traded when ultra-short-term momentum (MACD 2/3/2) aligns with volume-weighted value (VWAP), provided the external Euro volatility (EVZ) confirms a stable market environment and price isn't deviating chaotically from its regression line (STDERR).

Components

• Unsupported Map Test Script (regime) — Acts as a 'Circuit Breaker' or system integrity check; if the map initialization fails (as the formula suggests), the strategy halts execution to prevent logic errors.
• Moving Average Convergence Divergence (MACD) (direction) — Provides ultra-high-frequency directional bias to capture micro-momentum shifts within price action gaps.
• Daily Volume-Weighted Average Price (VWAP) (entry) — Ensures entries are taken at prices that reflect intraday volume-weighted value, reducing the risk of buying the absolute top of a spike.
• ATR Projection (exit) — Sets volatility-adjusted take-profit and stop-loss levels consistent with the NNFX framework.
• Standard Error of Regression (STDERR) (risk) — Used to scale position size; high standard error indicates price is deviating inconsistently from its linear trend, necessitating lower risk.
• Fair Value Gap (FVG) Indicator (confirmation) — Confirms the entry by ensuring the price move is driven by a genuine liquidity imbalance/gap.
• Euro FX VIX (EVZ) Data Loader (volatility_filter) — Filters out periods of extreme or insufficient implied volatility in the Euro, focusing trades in 'normal' volatility regimes.

Known failure conditions

• EVZ external data source fails to update for >24 hours.
• MACD (2,3,2) produces more than 10 whipsaws in a single 4-hour session.
• Daily VWAP resets cause price gaps that bypass ATR-projected stop losses.

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