Fat-Tail VWAP Pullback System

Family: trend_following · Regime: trending · Complexity: high · Asset classes: Equities, Crypto, FX · Timeframes: H1, H4

Thesis

Markets are most exploitable when they exhibit 'fat tail' behavior (high kurtosis), deviating from a normal distribution. In such regimes, price returns are not random, but driven by institutional flow. By using the Jarque-Bera test to detect these non-normal regimes, we can enter trend-aligned pullbacks toward the VWAP anchor when Ichimoku structure and Volume momentum align, capturing momentum before it reaches an overextended RSI state.

Components

• Jarque-Bera Test (JB) (regime) — Acts as a regime filter; higher values indicate non-normal distribution (fat tails), suggesting the market is in a trending or high-volatility state rather than a mean-reverting 'normal' state.
• VWAP + EMA Cross Pullback (direction) — Identifies the core institutional trend direction and defines the 'pullback' zone where price interacts with the volume-weighted average price.
• Ichimoku Kinko Hyo (entry) — Provides the precise execution trigger through Tenkan-Kijun crossovers and price-to-cloud relationship once the directional bias is established.
• RSI Area (Histogram) (exit) — Used for momentum exhaustion exits when the trend reaches overbought/oversold extremes.
• Grid Bot [Grid range plugin] Two Moving Avarages [psyll] (risk) — Provides a dynamic volatility-adjusted floor and ceiling for stop-loss placement and risk-defined position sizing.
• Volume Oscillator (VO) (confirmation) — Confirms that the entry is supported by increasing volume momentum, filtering out low-liquidity 'drift' moves.

Known failure conditions

• Jarque-Bera values remain below 5.991 for extended periods, indicating a return to normal distribution (Gaussian noise) where trend-following fails.
• Price repeatedly crosses VWAP and EMA 20 in both directions without a sustained Volume Oscillator trend.
• RSI reaches exit levels (70/30) before price moves significantly away from entry, indicating poor reward-to-risk due to high volatility.

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).