Non-Normal VWAP Momentum Breakout

Family: hybrid · Regime: trending · Complexity: medium · Asset classes: Equities, Forex, Crypto · Timeframes: H1Stacking, M15Entry

Thesis

Market trends are most persistent when they emerge from non-normal price distributions (High Jarque-Bera scores) accompanied by institutional volume breakouts (VWAP). By entering when momentum (MACD) aligns with a reduction in counter-trend pressure (Bears Power) and exiting when the linear best-fit slope (LinReg) reverses, we can capture the meat of 'fat-tail' price moves while adjusting risk for the inherent volatility of non-normal distributions.

Components

• Price Line and Visible Range High-Low (regime) — Acts as a filter to prevent entering long at local visible resistance or short at local visible support.
• Bears Power (direction) — Determines the underlying selling pressure; for longs, we look for Bears Power to be rising (diminishing selling strength).
• MACD (entry) — Provides the mechanical entry trigger through histogram momentum shifts or signal line crossovers.
• Linear Regression (LINREG) (exit) — Trailing exit mechanism based on the slope of the price trend; exits when the linear trend exhausts or reverses.
• Jarque-Bera Test (JB) (risk) — Uses statistical non-normality to scale stop-loss distance; higher kurtosis/skewness (fat tails) requires wider buffers.
• KandleKings™ WatchTower v1.0 (confirmation) — Confirms the move with volume-weighted price breakouts and RSI momentum thresholds.

Known failure conditions

• Prolonged period of JB values < 1.0, indicating a perfectly Gaussian 'noise' market where momentum fails.
• Frequent signal line crosses in MACD with no corresponding volume breakout.
• Visible range extremes shifting too rapidly to provide meaningful support/resistance context.

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