Aggregate Momentum & News-Filtered Session Flow

Family: trend_following · Regime: trending · Complexity: high · Asset classes: Forex · Timeframes: H1, M15

Thesis

Market trends are most persistent when a currency's strength is broad-based across all its pairs (captured by FXTSI). By entering these 'strong vs weak' trends only when volume confirms institutional intent (VWAP/VOLMA) and avoiding the noise of news events (NMNNFX), a trader can capture the meat of a daily trend while minimizing exposure to mean-reversion traps.

Components

• Forex True Strength Index (FXTSI) (regime) — Determines the relative momentum regime by selecting pairs where the base currency is in the top 2 and the quote is in the bottom 2 of the 8-currency aggregate ranking.
• VWAP (direction) — Acts as the primary directional bias; price must be on the side of the trade to ensure institutional alignment.
• Rate of Change (ROC) (entry) — Captures short-term momentum thrusts to trigger the actual entry when both regime and direction are aligned.
• Daily Volume-Weighted Average Price (VWAP) (exit) — Used as a dynamic intra-day exit point; a cross back against the trade direction suggests mean reversion or exhaustion.
• News Indicator NMNNFX (risk) — Filters out entries during high-impact news windows and defines the 'risk-off' periods where spreads/slippage are prohibitive.
• Volume Moving Average (VOLMA) (confirmation) — Confirms move validity; entries only occur when current volume exceeds its moving average, filtering out low-liquidity noise.
• Daily High Low MTF (volatility_filter) — Filters volatility by ensuring the trade occurs within the context of the previous day's range (or breakout thereof), preventing late-stage extension entries.

Known failure conditions

• FXTSI rankings becoming 'flat' (all currencies cluster around zero), indicating a lack of clear capital flow.
• Broker tick volume (VOLMA source) decoupling significantly from actual ECN volume or aggregate market activity.

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