KAMA-VWAP Adaptive Pullback System

Family: pullback · Regime: trending · Complexity: medium · Asset classes: Forex, Indices, Equities · Timeframes: M5, M15, H1

Thesis

Price action tends to revert to the volume-weighted average price (VWAP) during a trending session. By using an adaptive filter (KAMA) to ensure the trend is robust and a session midpoint to establish structural bias, an edge can be found by entering as price 'bounces' off the VWAP in the direction of the EMA-confirmed momentum, provided the market is not yet overextended.

Components

• Session Range (High/Low/Mid) (regime) — Establishes the daily bias; prices above the session midpoint suggest a bullish structural regime, while prices below suggest a bearish one.
• MultiKAMA (TyphooN) (direction) — Acts as the primary trend filter by smoothing noise through its efficiency ratio, ensuring trades are only taken in the direction of the adaptive trend.
• VWAP + EMA Cross Pullback (entry) — Identifies high-probability entries where price reverts to the institutional mean (VWAP) within a trending EMA environment.
• Average True Range (NNFX) (exit) — Provides a volatility-adjusted exit target, ensuring profit targets are realistic relative to current market expansion.
• Price Line and Visible Range High-Low (risk) — Determines the hard stop-loss levels based on the extremes of the currently visible market structure.
• Momentum (Example) (confirmation) — Confirms that the pullback has ended and price is accelerating back in the direction of the primary trend.
• Keltner Channels (volatility_filter) — Prevents entering trades when the market is overextended (clinging to outer bands), ensuring entries occur within a 'value' zone.

Known failure conditions

• Price repeatedly oscillating across the Session Midpoint without directional follow-through (choppy regime).
• KAMA flattening during high-impact news, leading to late entries on exhausted moves.
• Visible Range HL being too tight or too wide due to chart scaling, resulting in illogical risk-to-reward ratios.

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