NY Volatility Sweep & Flip Reversal

Family: hybrid · Regime: high_vol · Complexity: medium · Asset classes: FX (Majors), Equity Indices (SPX, NASDAQ), Gold · Timeframes: M5, M15

Thesis

Institutional order flow seeks liquidity at session boundaries (Session Range High/Low). By identifying 'Sweeps' where price momentarily breaches these levels to collect stops before reversing, and confirming this via the Flip Flop (structural break) and a Daily Bias, we can enter high-probability reversals. Using ROC/HV for sizing ensures we only commit significant capital when price momentum is efficiently outpacing volatility.

Components

• Session Range (High/Low/Mid) (regime) — Establishes the 'Value Area' for the current day. Reversals are sought when price extends beyond the session extremes or tests the Midpoint.
• The Daily Sweep (direction) — Provides directional conviction by identifying ICT-style liquidity grabs within the NY volatility window, filtered by 3-day high/low sequences.
• Flip Flop Indicator (entry) — Acts as the trigger by identifying a 'Break of Structure' (BOS). It confirms the reversal by requiring a close beyond the high of the lowest bearish bar (for longs).
• MACD (exit) — Used to capture the exhaustion of the counter-trend move or momentum decay to exit the position.
• Annualized ROC / HV Ratios (risk) — Scales position size based on the quality of price movement (Return relative to Volatility) and sets stops based on historical volatility.

Known failure conditions

• Daily Bias remains in a 'no-trend' state (H1 < H2 and L1 > L2) for more than 3 consecutive days.
• Price remains pinned outside the Session Range for the entire NY window without a Flip Flop trigger.
• ROC/HV ratio falls below 0.1, indicating volatility is drowning out any directional edge.

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