VWAP-Grid Structural Flow

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: FX, Equities, Indices · Timeframes: M15, H1

Thesis

Intraday price action tends to trend relative to the day's Volume-Weighted Average Price (VWAP) because institutions use it as a benchmark for execution quality. This strategy exploits pullbacks within that trend by waiting for momentum (Stochastic) to reset while structural filters (FakeCandle) confirm the trend is intact, ultimately exiting at psychological liquidity clusters (Grid Points). The edge exists due to the self-fulfilling nature of institutional benchmarks and psychological price levels.

Components

• Daily Volume-Weighted Average Price (VWAP) (regime) — Defines the intra-day 'fair value' anchor; price relative to VWAP determines the bullish/bearish regime.
• FakeCandle (direction) — Provides a filtered visual of market structure to ensure the short-term direction aligns with the regime before entry.
• Stochastic Oscillator (entry) — Used to time momentum pullbacks within the established VWAP regime.
• Grid Points Utility (exit) — Defines take-profit targets based on psychological 'round number' levels where liquidity typically pools.
• ATR SL Finder (risk) — Calculates dynamic, volatility-adjusted stop losses based on recent price range.

Known failure conditions

• The price oscillates across the VWAP line repeatedly in a tight range (chop regime).
• Grid levels (InpP1) are set too wide for the asset's current volatility, leading to 'hanging' trades that never hit TP.
• ATR SL is consistently hit by normal noise before price reaches the nearest Grid Point.

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