Persistence-Weighted VWAP Mean Reversion

Family: hybrid · Regime: trending · Complexity: high · Asset classes: Equities, Futures, High-Volume FX Pairs · Timeframes: 5m, 15m

Thesis

Institutional price discovery revolves around the VWAP. When the market is in a high-activity regime (measured by varip tick density), price pullbacks to the VWAP represent liquidity retests. By timing the entry using a cyclic balance point (CG) and momentum resumption (Average Force), and placing stops behind low-volume nodes (Supply/Demand Zones), we can capture the trend continuation from high-probability structural levels.

Components

• Supported user type array varip declaration (regime) — Uses persistent execution tracking to ensure the strategy only operates during high-liquidity sessions where tick density supports institutional VWAP logic.
• VWAP + EMA Cross Pullback (direction) — Establishes the directional bias (trend) and identifies the 'value area' (VWAP) for potential entries.
• Average Force (entry) — Acts as the trigger to ensure momentum is returning in the direction of the trend after a VWAP touch.
• Pivot Points (Classic) (exit) — Provides fixed intraday targets that are not subject to indicator lag or recalculation.
• Dynamic Supply and Demand Zones [AlgoAlpha] (risk) — Positions stops behind high-volume structural nodes rather than arbitrary pip distances.
• Ehlers Center of Gravity (CG) (confirmation) — Filters out 'falling knife' pullbacks by ensuring the price cycle has reached a balance point before entry.
• Bollinger Bands Edge Cases Utility (volatility_filter) — A diagnostic filter that invalidates signals if the market exhibits 'na' behavior or extreme volatility anomalies that break standard standard-deviation logic.

Known failure conditions

• Market transitions to a 'Low Volume Node' regime where varip tick density is insufficient for VWAP validity.
• Price maintains a 'flat' profile where EMA20 and VWAP are overlapping for more than 50 bars.
• Execution count (varip) diverges significantly from historical session averages, indicating an atypical market event.

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