Fisher-Volume VWAP Mean Reversion

Family: mean_reversion · Regime: mixed · Complexity: medium · Asset classes: FX, Indices, Equities · Timeframes: M15, H1

Thesis

Market participants treat VWAP as the 'fair value' and Round Levels as psychological anchors. Price movements backed by volume-weighted momentum (VF) that deviate from VWAP will likely revert or reach the next Round Level, provided the momentum is statistically extreme (Fisher) and the market is sufficiently volatile (ATR).

Components

• TimeBlocks (Multifunctional Period Separator) (regime) — Defines the intraday regime by tracking price deviation from the volume-weighted average (VWAP Balance) and identifying hourly volatility boundaries.
• Volume Force (VF) (direction) — Provides the directional filter by measuring if the current price movement is backed by sufficient buying or selling volume using a zero-lag EMA.
• Fisher Transform (EarnForex) (entry) — Identifies turning points in momentum by normalizing price distributions; used as the trigger when the distribution reaches an extreme and reverses.
• Round Levels Zone Shading (exit) — Acts as the primary profit-taking zone, identifying psychological 'magnet' levels where price action typically stalls or reverses.
• ATR Projection (risk) — Sets a volatility-adjusted stop loss to protect capital based on current market noise.
• Local non-scalar UDT typed-na history diagnostic (confirmation) — Acts as a 'logic gate' or confirmation filter; if the historical data integrity check (non-na validation) fails, the signal is discarded to prevent 'na' propagation in recursive indicators.
• Average True Range (NNFX) (volatility_filter) — Filters out 'dead' market regimes where the volatility is insufficient to cover the spread and reach round-level targets.

Known failure conditions

• Market entering a 'micro-ranging' state where price oscillates within a single Round Level interval.
• Sudden liquidity evaporation where Volume Force becomes erratic and produces whip-saws.
• Recursive failure of the Fisher Transform due to extreme price gaps causing 'na' propagation.

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