VWAP-SAR Block Breakout System

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

Thesis

Intraday price movements that diverge from the VWAP within a specific time-block indicate a shift in liquidity and intent. When this divergence aligns with a sustained Parabolic SAR trend, the probability of a structural breakout beyond the time-block boundaries increases. Exiting at Bollinger Band extremes captures the meat of the move before the inevitable mean reversion to the VWAP.

Components

• Indicator Metadata Sample (regime) — Acts as a data integrity filter; ensures the strategy only executes when history is fully synchronized (rates_total > 0) to prevent 'cold start' errors.
• Parabolic SAR (Standard) (direction) — Provides the primary directional bias. Long trades are only permitted when the SAR is below price, and short trades when above price.
• Arrows Base Template (entry) — Executes entry logic based on the interaction between price and TimeBlocks boundaries. Signals trigger when price breaks the TimeBlock High (Long) or Low (Short).
• Bollinger Bands (Standard) (exit) — Acts as the exhaustion exit. In a trending environment, price reaching the outer bands indicates a potential overextension, triggering a take-profit.
• iExposure (risk) — Manages risk by calculating net exposure. It ensures total symbol risk does not exceed a percentage of equity based on the 'Net Lots' and 'Average Price' calculation logic.
• TimeBlocks (Multifunctional Period Separator) (volatility_filter) — Serves as a volatility filter by requiring price to be positively or negatively balanced against the VWAP before an entry is valid.

Known failure conditions

• Price remains pinned between the Parabolic SAR and the VWAP balance line for extended periods, causing signal paralysis.
• Bollinger Band width narrows to less than average spread, indicating a volatility crush where exits become impossible to hit profitably.

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