Mid-Week KNN Institutional Trend Follower

Family: trend_following · Regime: trending · Complexity: high · Asset classes: FX, Equities, Crypto · Timeframes: 15m, 1h

Thesis

The 'Institutional Momentum' hypothesis posits that large-scale directional flows are most concentrated during Tuesday-Thursday sessions. By entering only when price efficiency (Kaufman ER) is high and price is crossing its session-weighted average (VWAP) in the direction of a KNN-filtered volume trend, we can filter out retail noise and join institutional momentum with a structural (Fibonacci) risk anchor.

Components

• Daily Seasonality (regime) — Filters out Monday's 'range-setting' and Friday's 'profit-taking' to focus on the meat of the weekly trend.
• Volume SuperTrend AI (Expo) (direction) — Combines volume-weighted price action with KNN classification to establish the dominant trend bias.
• VWAP (entry) — Acts as the 'fair value' trigger; entries occur when price interacts with this institutional benchmark.
• ZigZag Color (Classic) (exit) — Used to identify structural trend shifts; exit occurs when a new opposite-colored leg is confirmed.
• Auto Fibonacci (risk) — Provides dynamic support/resistance levels for calculating risk-to-reward and stop-loss placement based on the current swing.
• Advance/Decline Ratio (Bars) (confirmation) — Ensures that the micro-momentum (bar color distribution) supports the macro-trend before entry.
• Efficiency Ratio (Kaufman) (volatility_filter) — Filters out 'noisy' or ranging price action where VWAP mean-reversion would likely fail.

Known failure conditions

• Strategy will fail if the Efficiency Ratio remains high while price oscillates around VWAP (whipsaw).
• KNN model overfits to recent noise, leading to frequent direction flips.
• ZigZag confirmed legs occur too late to preserve profit in high-volatility reversals.

Explore the full interactive blueprint, parameter ranges and evidence on WOBR StrategyVerse, or generate this strategy as an MT4/MT5 Expert Advisor with QuantMogul AI Engine.