Fractal Sweep VWAP Reversion

Family: mean_reversion · Regime: high_vol · Complexity: high · Asset classes: Gold (XAU/USD), Major FX Pairs · Timeframes: M15 (Execution), H1 (Bias/HTF Sweep)

Thesis

The strategy assumes that price discovery is driven by liquidity 'sweeps' of high-timeframe fractal levels. Once liquidity is captured during high-volume sessions, price tends to revert to the volume-weighted average (VWAP). By confirming momentum shifts with BBForce and XAU_TVF, we filter out 'false' sweeps and catch the correction back to the daily mean.

Components

• Unsupported array.sort Order Test (regime) — Acts as a 'logic-gate' regime filter; the system only executes if price distribution (simulated by the array) maintains a non-zero, sortable variance, preventing trading in dead/flat markets.
• XAU Trend Volatility Filter (XAU_TVF) (direction) — Provides the directional bias and ensures volatility is sufficient for momentum to carry to the target.
• Open Source Fractal Model (entry) — Identifies the specific entry trigger following a liquidity sweep of HTF levels and subsequent market structure shift (MSS).
• Daily Volume-Weighted Average Price (VWAP) (exit) — Functions as the primary mean-reversion target for exits, representing the volume-justified fair value for the day.
• Fractal Chaos Bands (FCB) (risk) — Determines the dynamic stop-loss placement based on the range of price chaos (fractal boundaries).
• BBForce / Bollinger Bands Force (confirmation) — Confirms that all three Bollinger components (Upper, Lower, Basis) are aligned in the trade direction to ensure strong force.
• Session Range (High/Low/Mid) (volatility_filter) — Filters trades to occur only during high-volume sessions and uses the Session Midpoint as an secondary filter/target.

Known failure conditions

• Price remains consistently within the Fractal Chaos Bands for >24 hours (low volatility trap).
• The array.sort test consistently fails to return a valid sort order due to zero-tick price movement.
• VWAP gap at daily reset exceeds the average ATR of the session.

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