Autocorrelated Volume Momentum (AVM) Strategy

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: Equities, Forex, Crypto · Timeframes: H1, H4, D1

Thesis

Trend persistence is more likely to continue when price action exhibits positive autocorrelation (ACF > 0) and is supported by expanding volume (VPCI). By entering on sensitive momentum triggers (UT Bot) only when these conditions are met, and placing stops at structural support (Fractals), we exploit the behavioral tendency of markets to trend on high volume while avoiding the noise of low-volatility, mean-reverting phases.

Components

• Autocorrelation Function (ACF) (regime) — Filters for momentum persistence. Only allows entries when price shows positive serial correlation (ACF > 0), indicating a trending regime rather than mean-reversion.
• SuperTrend (direction) — Provides the primary directional bias to ensure UT Bot signals are only taken in the direction of the established medium-term trend.
• UT Bot Alerts (MQL5) (entry) — Acts as the execution trigger, using high-sensitivity ATR trailing stops to capture immediate momentum shifts.
• Volume Price Confirmation Indicator (VPCI) (exit) — Signals exhaustion. If price continues to rise but VPCI turns negative or declines, it indicates a volume-price divergence, triggering an exit.
• Support and Resistance (Fractal-based) (risk) — Determines hard stop-loss levels based on market structure (recent pivot highs/lows) rather than arbitrary percentages.
• PAM (Price Action Master) - Volatility Filter Version (volatility_filter) — Prevents entry during 'dead zones' where ATR is below the threshold, reducing false signals in low-liquidity environments.

Known failure conditions

• ACF remains near zero for extended periods, rendering the regime filter useless.
• Asset-specific ATR remains permanently below Value_B, preventing any trades.
• Fractal levels are too far from entry, leading to poor R:R ratios.

Explore the full interactive blueprint with parameter ranges and evidence on WOBR StrategyVerse, or generate this strategy as an MT4/MT5 Expert Advisor with QuantMogul AI Engine (free download).