Recursive VWAP Session Pullback

Family: pullback · Regime: trending · Complexity: medium · Asset classes: Forex, Equities, Indices · Timeframes: M15, H1

Thesis

Market participants tend to return to 'Average Price' (VWAP) during a price discovery phase. By identifying an institutional-grade trend using recursive smoothing and only entering on mean-reversion at fair value (VWAP), we exploit the behavioral tendency of trends to breathe before continuation, while avoiding the idiosyncratic volatility of news events.

Components

• Indicator Workspace Template (SIBVIC) (regime) — Provides the structural limit for indicator calculations (1000 bars) to ensure memory efficiency and prevent deep-history computational lag.
• Recursive Moving Average Unlimited (direction) — Identifies the primary trend direction through extreme smoothing; requires price to be on the correct side of the composite trigger.
• VWAP (entry) — Used as the mean-reversion and entry trigger; ensures entries occur close to institutional fair value.
• Chandelier Exit Heiken Ashi Variant (exit) — Provides a volatility-adjusted trailing exit based on Heiken Ashi extremes to capture trend extensions while protecting profits.
• Session Range (High/Low/Mid) (risk) — Defines the risk parameters (Stop Loss) based on the current session's price extremes.
• News Indicator NMNNFX (volatility_filter) — Filters out trade execution during high-impact economic events where technical logic is often overridden by liquidity vacuums.

Known failure conditions

• Strategy produces >5 consecutive losses during low-volatility 'inside' session ranges.
• The 'Recursive Moving Average' remains flat or 'wiggles' during high-impact news spikes despite the filter.
• Price consistently fails to reach the VWAP trigger while the Chandelier Exit remains active.

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