VIX-Curve WaveTrend Reversion

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

Thesis

Market edge is found at the intersection of structural exhaustion and institutional participation (RVOL), provided the macro volatility environment is stable (VIX Contango). When price deviates from its Daily VWAP during a smoothed momentum trend, it is likely to mean-revert to 'fair value' once the localized exhaustion is signaled by WaveTrend.

Components

• V3-LEDGER-DIV-V5-BOTH-NEGATIVE (regime) — Acts as a static runtime integrity check; since it always returns 2.5, it serves as a 'True' gatekeeper for the strategy execution environment.
• RSIOMA (RSI of Moving Average) (direction) — Filters the primary trend direction using smoothed momentum to avoid the noise of standard RSI whipsaws.
• WaveTrend v3 [WavesUnchained] (entry) — Provides the specific execution trigger based on extreme momentum exhaustion and market structure (POC) reclaims.
• Daily Volume-Weighted Average Price (VWAP) (exit) — Used for profit-taking and exit logic, assuming price mean-reverts to the intra-day volume-weighted center.
• VIX Curve Regime (Simple) (risk) — Governs position sizing and risk exposure; backwardation (VIX > VIX3M) signals high tail-risk, triggering reduced exposure.
• RVOL (Relative Volume) (volatility_filter) — Ensures entry occurs during periods of high participation, filtering out low-liquidity noise.

Known failure conditions

• Extended periods of VIX/VIX3M > 1.0 (Backwardation) where mean reversion to VWAP fails due to systemic liquidation.
• Failure of WaveTrend POC reclaims to hold in high-volatility environments.
• RSIOMA oscillating around 50 during low-volatility 'drift' regimes.

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