Fractal Volume Power Trend Follower

Family: trend_following · Regime: trending · Complexity: high · Asset classes: Equities, Forex, Commodities · Timeframes: H1, H4, D1

Thesis

True market trends are established when structural breakouts (Fractals) are accompanied by positive volume-momentum (VPCI) and a dominance of one side of the market (Total Power). By filtering out high-volatility exhaustion phases (Mass Index), the strategy enters 'healthily' expanding trends and exits when momentum begins to diverge (MACD) or the volatility floor breaks (TopTrend).

Components

• Volume Price Confirmation Indicator (VPCI) (regime) — Acts as the regime filter to ensure price momentum is validated by volume; positive values suggest volume-confirmed uptrends, negative suggests volume-confirmed downtrends.
• Trend Break Fractal (direction) — Establishes the structural direction by requiring a breach of the last two consecutive fractals, ensuring the 'trend' is a multi-wave move rather than a single spike.
• Average Force (entry) — Serves as the high-precision entry trigger by measuring when the close price momentum clears the zero-midpoint of its recent range.
• MACD (exit) — Provides the primary momentum-shift exit signal when the histogram begins to contract or the signal line is crossed.
• TopTrend (BBands Stop) (risk) — Calculates a volatility-adjusted trailing stop and defines the risk-per-trade distance for position sizing.
• Total Power Indicator (confirmation) — Used as a confirmation layer to ensure the relative dominance of bulls vs. bears (Elder-Ray logic) is trending in the direction of the trade.
• Mass Index (MI) (volatility_filter) — Acts as a volatility filter to prevent entering during 'reversal bulges'—when the index exceeds 27, volatility suggests a climactic exhaustion rather than a healthy trend.

Known failure conditions

• VPCI remains near zero despite large price moves, indicating a total decoupling of volume and price.
• Mass Index consistently stays above 27 during extended trends (common in parabolic bubbles), causing the strategy to sit out high-performing moves.
• Successive Trend Break Fractal signals occur within the noise of a single Bollinger Band width.

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