VIX-VWAP Recursive Cycle Hybrid

Family: hybrid · Regime: trending · Complexity: high · Asset classes: Equities, Indices, Volatility Futures · Timeframes: M15, H1

Thesis

Intraday price trends are most persistent when they align with both the volume-weighted average price (institutional value) and a stable volatility term structure (VIX/VIX3M < 1). By isolating the dominant cycle frequency with Ehlers TBF and waiting for a multi-stage recursive trend confirmation, we can enter trades with high probabilistic momentum and exit before mean-reversion occurs as signaled by RSI.

Components

• Daily Volume-Weighted Average Price (VWAP) (regime) — Establishes the intraday bias; price above VWAP indicates buyers are in control of the volume-weighted mean.
• Ehlers Truncated Bandpass Filter (TBF) (direction) — Filters out high-frequency noise and low-frequency trends to isolate the specific cyclical component of price action.
• Recursive Moving Average Unlimited (entry) — Provides a highly smoothed trigger line that requires multiple iterations of price confirmation before signaling an entry.
• AI - RSI Strategy (exit) — Uses momentum exhaustion (RSI) to exit positions while referencing a long-term SMA for secondary structural context.
• VIX Curve Regime (Simple) (risk) — Filters for structural market stability; trades are only taken when the VIX term structure is in Contango (low stress).

Known failure conditions

• VIX/VIX3M ratio remains consistently above 1.1 for extended periods, indicating persistent market distress.
• The instrument exhibits no intraday mean-reversion or cycle behavior, causing the TBF to lag perpetually.
• Market volume becomes so thin that VWAP resets cause massive slippage on execution.

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