Float-Turnover VWAP Mean-Reversion

Family: hybrid · Regime: trending · Complexity: high · Asset classes: Equities, Forex, Crypto · Timeframes: 15m, 1h, 4h

Thesis

Market trends are most tradable when price mean-reverts to institutional fair value (VWAP) within a high-momentum regime, provided the total volume turnover (Float) has not yet reached exhaustion levels. By combining momentum (ADX/DEMA), volume flow (CMF), and structural pivots, we can capture the meat of a trend while avoiding the final 'blow-off' phase.

Components

• DEMA 200 & ADX Combined HUD (regime) — Provides the macro trend regime filter to ensure trades are only taken in high-momentum environments.
• Unsupported UDF Final Switch Const Reassignment Qualifier (direction) — Serves as an ultra-lagging baseline; using bar_index as length creates a 'history-weighted' mean that filters out all but the most significant structural shifts.
• VWAP (entry) — Provides the specific entry trigger based on institutional mean-reversion within a trend.
• ZigZag Color (Classic) (exit) — Used to identify structural trend exhaustion and provide a hard exit signal when a counter-swing is confirmed.
• GOM KOLA SIDO — Full Integration (risk) — Manages stop-loss placement using KOLA Pivot zones and determines position size based on ATR-normalized risk.
• Chaikin Money Flow (CMF) (confirmation) — Confirms that price movement at VWAP is backed by actual accumulation/distribution volume.
• Float Indicator (volatility_filter) — Filters out entries if the cumulative volume 'turnover' since the last major swing suggests the current trend is exhausted.

Known failure conditions

• ADX remains below 20 for extended periods (ranging market death).
• ZigZag repainting causes 'ghost' exits where the trade stays open during a massive crash.
• The dynamic EMA length (bar_index) grows so large that the 'direction' filter never changes for the remainder of the symbol's history.

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