Mid-Week Volume-Weighted Momentum Strategy (MVWM)

Family: hybrid · Regime: trending · Complexity: high · Asset classes: FX, Equities, Crypto · Timeframes: M15, M30, H1

Thesis

Market edges are concentrated in mid-week sessions (Tue-Thu) where institutional volume drives price away from VWAP. Entries at 'War Zones' (high-volume pivot areas) capitalize on liquidity imbalances, while Laguerre RSI identifies the momentum pulse. The trade is invalidated when volume participation (VPCI) fails to sustain the price move.

Components

Daily Seasonality (regime) — Filters for high-liquidity mid-week sessions where institutional 'true' moves are statistically more likely to sustain, avoiding the noise of Monday's range-setting and Friday's profit-taking.
Daily Volume-Weighted Average Price (VWAP) (direction) — Acts as the 'fair value' anchor; staying on the correct side of VWAP ensures we are aligned with the prevailing institutional flow of the current day.
Laguerre RSI (entry) — Provides a low-lag entry trigger. Crossing the 0.2/0.8 thresholds signals momentum breakouts from local consolidation.
Volume Price Confirmation Indicator (VPCI) (exit) — Exits positions when volume no longer confirms the price trend (VPCI < 0), indicating a lack of participation in the current move.
Session Range (High/Low/Mid) (risk) — Provides dynamic structural levels for stop-loss placement and determines the trade's risk profile based on the current session's expansion.
Volume and Pivot Points Correlation with Full Control (volatility_filter) — Identifies 'War Zones' derived from high-volume anomalies; used to ensure entries only occur near areas of proven high-conviction liquidity.

Known failure conditions

VPCI fails to provide meaningful signals due to extreme 'Point' scaling issues on specific assets.
Price oscillates around VWAP in a tight range during the chosen seasonality window, causing Laguerre whipsaws.
Session Range is too narrow (low volatility), leading to stops being triggered by minor noise.

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