NY Sweep & Volatility-Adjusted Momentum Hybrid

Family: hybrid · Regime: trending · Complexity: high · Asset classes: FX Majors, Equity Indices (SPX, NDX) · Timeframes: 15m, 30m, 1H

Thesis

Market liquidity is concentrated around the New York open; institutional participants utilize 'sweeps' of recent price extremes to fill large orders. By entering only when price recovers from a sweep within a confirmed trend (SMA/ZigZag) and is supported by momentum-driven order blocks (Sonarlab), we align with institutional 'smart money' movements while using ROC/HV ratios to filter out inefficient, high-noise volatility.

Components

• ZigZag Color (Classic) (regime) — Filters macro market structure to ensure entries align with the prevailing swing leg, avoiding counter-trend traps.
• Simple Moving Average (SMA) (direction) — Provides a baseline trend filter; price must be on the correct side of the SMA to authorize session-specific trades.
• The Daily Sweep (entry) — Identifies liquidity-seeking behavior and ICT-style Fair Value Gaps (FVG) specifically during high-volume New York hours.
• Momentum (MOM) (exit) — Captures the exhaustion of the price move to exit before significant mean reversion occurs.
• Annualized ROC / HV Ratios (risk) — Calculates the quality of the move; if the risk-adjusted ROC is too low, position size is reduced or the trade is skipped.
• Sonarlab - Order Blocks (confirmation) — Confirms the entry with institutional footprint detection based on 4-period ROC momentum bursts.
• ATR Heiken Ashi (volatility_filter) — Ensures sufficient volatility is present; prevents entering during 'dead' price action where the sweep might be a false signal.

Known failure conditions

• Price consistently violates Order Blocks immediately after formation (momentum failure).
• ZigZag leg flips more than 3 times within a single NY session (choppy regime).
• ROC/HV ratio remains below 1.0 during trending moves, indicating excessive volatility relative to returns.

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).