Fat-Tail NY Liquidity Sweep

Family: volatility · Regime: high_vol · Complexity: high · Asset classes: FX Majors, Equity Indices (NAS100, US30) · Timeframes: 5M (Entry), 1H/4H (Bias)

Thesis

Market efficiency breaks down when price distributions exhibit high kurtosis (fat tails), typically during the NY session open. This strategy exploits the behavioral tendency of price to 'sweep' liquidity levels (stop-runs) before reversing towards institutional zones identified by HTF structure.

Components

• Jarque-Bera Test (JB) (regime) — Filters for 'Fat-Tail' environments (JB > 5.991). ICT-style liquidity sweeps require non-normal price distributions to provide the necessary volatility for reversal.
• SNAP HTF_LTF Indicator (direction) — Provides the institutional bias. We only trade sweeps that occur within or near Weekly Liquidity Pools or 4H Breaker Blocks.
• The Daily Sweep (entry) — The core execution engine. Identifies the specific liquidity grab and FVG displacement required for high-probability ICT entries.
• Chandelier Exit (Heiken Ashi) (exit) — Acts as an aggressive trailing stop to lock in profits quickly during the volatile post-sweep expansion phase.
• Supply & Demand Zones (NNFX) (risk) — Used exclusively for risk containment. The SL is placed at the distal line (outer edge) of the zone that facilitated the sweep.
• Bears Power (confirmation) — Confirms momentum divergence. For longs, we look for 'exhausted' selling pressure (Bears Power rising) despite the price sweep.
• Bollinger Bands (Standard) (volatility_filter) — Ensures the sweep occurs at a volatility extreme (outside the 2-sigma band), increasing the mean-reversion probability.

Known failure conditions

• Jarque-Bera remains below 5.991 for extended periods, indicating a Gaussian 'noise' market unsuitable for sweep plays.
• Price consistently breaches NNFX Supply/Demand zones without displacement, suggesting a trend that ignores liquidity pools.
• NY Session volatility (ATR) falls below the min_atr_pct threshold.

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).