Gaussian Motive VWAP Reversion

Family: trend_following · Regime: trending · Complexity: high · Asset classes: Equities, Forex, Indices · Timeframes: M15, H1

Thesis

The strategy assumes that intraday price moves follow an Elliott Wave structure where 'Motive' impulses represent institutional participation. By using ALMA (Gaussian) and HiLo (staircase) to filter for trend persistence, we can enter momentum-driven surges (MACD) and target the Daily VWAP, which acts as the market's gravitational center for 'fair value' once a move exhausts.

Components

• HiLo Activator 02 (regime) — Defines the 'staircase' trend regime; price must be on the 'buy' side of the support level for longs to ensure the local trend structure is intact.
• Arnaud Legoux Moving Average (ALMA) (direction) — Acts as the primary trend filter. Its Gaussian weight distribution allows for a smoother signal with less lag than an EMA, filtering out minor noise within the HiLo regime.
• MACD Classic (entry) — Used for precise entry timing. The crossover of the Histogram above zero signifies a momentum surge in the direction of the ALMA-defined trend.
• Daily Volume-Weighted Average Price (VWAP) (exit) — Acts as a mean-reversion target and institutional value marker. Since trends often exhaust at 'fair value' (VWAP) during the intraday session, it serves as the primary take-profit anchor.
• Elliott Wave [LuxAlgo] (risk) — Provides the structural 'Go/No-Go' signal. Entries are only permitted if the system identifies an active 'Motive' wave (1, 3, or 5), ensuring we are not trading into a corrective 'ABC' exhaustion.
• ATR Stop Loss Finder (volatility_filter) — Provides the mathematical basis for the stop loss distance and position sizing based on current market volatility.

Known failure conditions

• Elliott Wave labels frequently disappear or shift (repainting) during high-volatility news events.
• Daily VWAP price action stays flat/overlapping with the ALMA for >4 hours (indicates a non-trending range).
• HiLo Activator flips HLV state more than 3 times within 20 bars.

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