Laguerre-VWAP Pulse Alignment

Family: hybrid · Regime: trending · Complexity: high · Asset classes: Equities, Forex, Crypto · Timeframes: 5m, 15m, 30m

Thesis

Market trends are characterized by 'pulsing' momentum; by using Laguerre polynomials to identify when a pullback has reached a statistical extreme within a volume-confirmed macro-trend, one can enter higher-probability reversals toward the day's volume-weighted average price (VWAP) equilibrium.

Components

• DEMA 200 & ADX Combined HUD (regime) — Acts as the primary macro filter to ensure entries align with a statistically significant trend and momentum surge.
• 200-Day Trend Background (Smoothed Volume Gradient) (direction) — Confirms that the trend slope is backed by volume participation, reducing the probability of low-liquidity noise.
• Laguerre RSI (entry) — Provides the specific trigger point by identifying localized mean-reversion exhaustion within the macro trend.
• Daily Volume-Weighted Average Price (VWAP) (exit) — Serves as the mean-reversion target and fundamental intraday liquidity equilibrium point for exits.
• Session Range (High/Low/Mid) (risk) — Provides structural boundaries for stop-loss placement based on actual session supply and demand zones.
• Ehlers SuperSmoother Filter (confirmation) — Secondary filter to prevent entries during high-frequency noise spikes that Laguerre RSI might ignore.
• GAS Price Levels (volatility_filter) — Dynamic volatility filter using Alpha factors to inhibit trading when price is extended beyond structural Bollinger Band limits.

Known failure conditions

• The strategy fails if the DEMA 200 remains flat while ADX is below 20 for more than 48 hours, indicating a permanent shift to a range-bound environment.
• Consistently hitting stop losses at Session Highs/Lows before the market continues in the original direction (indicative of 'liquidity sweeps').
• Negative slippage on VWAP exits due to low volume during session transitions.

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).