VWAP-RSIOMA Consensus Breakout

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

Thesis

Market price tends to exhibit momentum when it breaks the Daily VWAP (institutional average) provided that the macro-regime (RSIOMA) and local price positioning (Midpoint/Average Force) are aligned. This 'volume-confirmed' breakout indicates a shift in consensus that likely persists until short-term momentum is exhausted (Stochastics).

Components

• RSIOMA (RSI of Moving Average) (regime) — Establishes the macro-trend regime; filters out noise by using an EMA of price before the RSI calculation.
• MIDPOINT: Rolling Midpoint (direction) — Acts as a trend/direction anchor; price must be on the 'correct' side of the recent price range center to align with momentum.
• Daily Volume-Weighted Average Price (VWAP) (entry) — Captures intra-day institutional value; entries are triggered when price crosses this level, suggesting a shift in volume-backed sentiment.
• Stochastic Oscillator (exit) — Signals exhaustion in the short-term trend to trigger exits before a mean-reversion move occurs.
• Average True Range (ATR) (risk) — Provides a volatility-adjusted stop-loss and determines position sizing based on unit risk.
• Average Force (confirmation) — Confirms momentum by ensuring the close is in the upper/lower half of the recent range on a smoothed basis.
• ATR Heiken Ashi (volatility_filter) — Filters for sufficient volatility; avoids entries during low-liquidity periods where price movement is purely noise.

Known failure conditions

• Prolonged periods of low volume where VWAP becomes a magnet rather than a breakout level.
• RSIOMA remaining pegged above 80 or below 20 for extended periods (hyper-trends), causing the Stochastic exit to leave most of the move on the table.

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