Wavelet-Squeeze RVOL Momentum

Family: hybrid · Regime: trending · Complexity: high · Asset classes: US Equities, Major Forex Pairs · Timeframes: 15M

Thesis

Significant intraday price moves are preceded by a period of low-volatility consolidation (The Squeeze). By filtering price through Wavelet decomposition to remove noise and requiring a Relative Volume (RVOL) spike, we identify 'true' momentum releases backed by institutional participation rather than retail noise. The Oracle Probes provide a structural entry point (VWMA) or a behavioral entry point (Candlesticks) to time the start of the expansion.

Components

SuperTrend (regime) — Defines the structural trend regime; entries are only permitted in the direction of the SuperTrend polarity.
EMA with Switch-Based Length Reassignment (direction) — Provides a high-sensitivity short-term directional filter to ensure immediate momentum is aligned.
Oracle Probes 15M Intraday Suite (entry) — Acts as the execution trigger using VWMA crossovers and Morning/Evening Star patterns to capture mean-reversion within a trend.
MultiKAMA (TyphooN) (exit) — The adaptive nature of KAMA provides a trailing exit that tightens during high-efficiency moves and widens during noise.
RVOL (Relative Volume) (risk) — Validates breakouts by ensuring sufficient liquidity and institutional interest (Relative Volume > 1.0). Controls position sizing.
NNFX Squeeze (Volatility Breakout) (confirmation) — Confirms that the market is transitioning from a low-volatility 'squeeze' to a high-volatility momentum release.
Discrete Wavelet Transform (DWT) (volatility_filter) — Used to filter out high-frequency market noise (cycles) and ensure the underlying 'approximation' trend is moving in the trade direction.

Known failure conditions

RVOL remains below 1.0 for extended periods despite price movement, suggesting lack of institutional backing.
SuperTrend frequently flips within 5-10 bars, indicating a low-volatility ranging regime where this trend-following logic will fail.

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