PVR-VPCI Volume Conviction Hybrid

Family: hybrid · Regime: trending · Complexity: high · Asset classes: Equities, Futures, Indices · Timeframes: H1, H4, D1

Thesis

Market trends are only sustainable if price expansion is confirmed by a relative increase in volume (Accumulation/Distribution). By using the PVR to identify 'conviction' bars and VPCI to detect the decoupling of volume from price, we can enter trends with high institutional support. The TMA CG filter acts as a behavioral limit, preventing entry when the 'herd' has already pushed price to volatility extremes, while the Constant Range Channel provides a non-subjective structural stop.

Components

• Price Volume Rank (PVR) (regime) — Classifies the current bar as 'Aggressive Accumulation' (State 1) or 'Aggressive Distribution' (State 4) to ensure entries occur during high-conviction volume expansion.
• CCI / Connectable [Azullian] (direction) — Provides the primary directional bias; filtered to ensure we are not entering against a significant momentum cycle.
• MACD Demo Implementation (entry) — Acts as the final trigger for entry when the MACD line crosses the signal line in the direction of the CCI bias.
• Volume Price Confirmation Indicator (VPCI) (exit) — Identifies when the price move is losing volume support (divergence), signaling an exit before a trend reversal.
• Constant Range Channel (risk) — Defines a non-moving structural level for stop-loss placement and determines position size based on fixed tick-distance.
• TMA CG 2024 (Centered Moving Average) (volatility_filter) — Prevents entering into 'exhausted' trends by filtering out entries that occur outside the smoothed standard deviation bands.

Known failure conditions

• Consecutive losses in low-volume 'State 2' or 'State 3' PVR regimes where MACD whipsaws.
• Price repeatedly hitting TMA bands without trend continuation, indicating a high-volatility ranging market.
• Significant discrepancy between volume and price on the primary exchange (for non-centralized assets).

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