Recursive Weekly Expansion Filter

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: FX Majors, Equity Indices · Timeframes: M15, H1

Thesis

Market trends are most efficient during the 'Weekly Core' (Tuesday-Thursday). By using VWAP as a volume-weighted mean and the Recursive Moving Average to filter high-frequency noise, we can enter 'clean' trends. Risk is managed by the Standard Error of Regression, which quantifies the reliability of the trend's linear progression, allowing for tighter stops in orderly trends and wider stops in volatile ones.

Components

• Color Candles Daily (regime) — Filters trade activity to specific days of the week (Tue-Thu) to capture mid-week expansion and avoid Monday noise.
• Daily Volume-Weighted Average Price (VWAP) (direction) — Provides the intraday 'fair value' anchor; price relative to VWAP determines directional bias.
• Recursive Moving Average Unlimited (entry) — The composite trigger acts as a high-fidelity trend filter to initiate entries on momentum shifts.
• SML — SUPPORT/RESISTANCE MATRIX (exit) — Provides logical architectural exits based on historical pivot clusters and retest zones.
• Standard Error of Regression (STDERR) (risk) — Quantifies the 'noise' around the current linear trend to set dynamic, volatility-adjusted stops.
• Commodity Channel Index (CCI) (confirmation) — Confirms that the breakout from the mean (VWAP) is backed by sufficient momentum.

Known failure conditions

• Price remains tethered to Daily VWAP (low volume/choppy regime) for >3 sessions.
• The SML Matrix generates overlapping Support and Resistance zones within a 1% price range (consolidation).

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