VIX-Structural Weather Scalper

Family: hybrid · Regime: trending · Complexity: high · Asset classes: Equities, Indices, Crypto (BTC/USD only) · Timeframes: M15, H1

Thesis

Market trends are most tradable when professional hedging costs (VIX term structure) indicate stability and price turbulence (MA crosses) is low. By identifying pullbacks (RSI/EMA) within these 'smooth' regimes, we exploit high-probability windows of trend continuation while using momentum decay (MACDO) to exit before mean-reversion fully takes hold.

Components

• Bollinger Bands (Standard) (regime) — Ensures the trade occurs during a period of volatility expansion (price outside middle band) relative to the mean.
• ZigZag Color (Classic) (direction) — Provides the macro-market structure; only trades in the direction of the last confirmed swing high/low.
• Scalping BTC/USD - EMA & RSI (entry) — Provides the tactical entry trigger by identifying pullbacks (RSI) relative to the short-term trend (EMA).
• Moving Average Convergence/Divergence Oscillation (MACDO) (exit) — Tracks the rate of change of momentum; exits when the 'momentum of momentum' begins to decay.
• VIX Curve Regime (Simple) (risk) — Identifies global risk appetite; contango (<1) favors trend persistence, backwardation (>1) signals structural fragility.
• Fisher-based Scalping Indicator (confirmation) — Acts as a cyclical momentum filter to ensure the entry coincides with a fresh momentum swing.
• Market Weather Price MA Cross (volatility_filter) — Filters out 'turbulent' environments where price whipsaws across its mean, ensuring the strategy only trades in smooth trends.

Known failure conditions

• Market Weather count remains high (>15) for extended periods, indicating a permanent shift to high-frequency mean reversion.
• ZigZag 'last leg' frequently repaints in a way that generates entries at the exact peak of a retracement.
• VIX/VIX3M ratio stays fixed at 1.0, neutralizing the risk filter.

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