VPCI-SAM Volume-Cycle Synergy

Family: trend_following · Regime: trending · Complexity: high · Asset classes: Equities, Forex, Commodities · Timeframes: H1, H4, D1

Thesis

Real market trends require institutional participation, which manifests as volume expansion in the direction of price (VPCI). By entering only when price momentum is confirmed by both volume and the market's dominant cycle (SAM), and ensuring price stability (RAE), we filter out retail-driven noise and 'exhaustion' moves. The edge lies in the confluence of volume conviction and cyclic timing.

Components

Volume Price Confirmation Indicator (VPCI) (regime) — Used as a regime filter to ensure price trends are supported by volume; filters out 'hollow' price moves.
Momentum (Example) (direction) — Provides the primary directional bias; ensures trades are only taken in the direction of the 14-period price change.
MACD (entry) — The trigger mechanism; uses histogram rising/falling states to capture momentum acceleration within the confirmed trend.
Heiken Ashi (Standard MT5) (exit) — Filters out minor price noise during a trend; the exit is triggered when the smoothed HA candles change color.
SuperTrend (risk) — Provides a volatility-adjusted floor (for longs) or ceiling (for shorts) to define the initial stop loss and position size.
Smoothed Adaptive Momentum (confirmation) — Confirms the entry by ensuring the price is in a favorable phase of its dominant cycle, reducing 'whipsaws' in ranging markets.
Relative Absolute Error (RAE) (volatility_filter) — Acts as a volatility/stability filter; prevents entry when price behavior is too erratic relative to its historical mean.

Known failure conditions

If VPCI remains near 0 despite large price moves, indicating a total decoupling of volume and price.
If SuperTrend provides no protection during 'flash crashes' due to its ATR-based lag.
In persistent low-volatility 'drift' where RAE remains low but MACD provides no signal.

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