NY Volatility Sweep & Flip Reversal

Family: hybrid · Regime: high_vol · Complexity: medium · Asset classes: FX (Majors), Equity Indices (SPX, NASDAQ), Gold · Timeframes: M5, M15

Thesis

Institutional order flow seeks liquidity at session boundaries (Session Range High/Low). By identifying 'Sweeps' where price momentarily breaches these levels to collect stops before reversing, and confirming this via the Flip Flop (structural break) and a Daily Bias, we can enter high-probability reversals. Using ROC/HV for sizing ensures we only commit significant capital when price momentum is efficiently outpacing volatility.

Components

• Session Range (High/Low/Mid) (regime) — Establishes the 'Value Area' for the current day. Reversals are sought when price extends beyond the session extremes or tests the Midpoint.
• The Daily Sweep (direction) — Provides directional conviction by identifying ICT-style liquidity grabs within the NY volatility window, filtered by 3-day high/low sequences.
• Flip Flop Indicator (entry) — Acts as the trigger by identifying a 'Break of Structure' (BOS). It confirms the reversal by requiring a close beyond the high of the lowest bearish bar (for longs).
• MACD (exit) — Used to capture the exhaustion of the counter-trend move or momentum decay to exit the position.
• Annualized ROC / HV Ratios (risk) — Scales position size based on the quality of price movement (Return relative to Volatility) and sets stops based on historical volatility.

Known failure conditions

• Daily Bias remains in a 'no-trend' state (H1 < H2 and L1 > L2) for more than 3 consecutive days.
• Price remains pinned outside the Session Range for the entire NY window without a Flip Flop trigger.
• ROC/HV ratio falls below 0.1, indicating volatility is drowning out any directional edge.

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).