VAVF: Volatility-Adjusted Volume Flow

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: US Equities, Equity Indices (NQ, ES), High-Volatility FX pairs (GBP/JPY) · Timeframes: 15m, 5m

Thesis

The strategy hypothesizes that market trends are most reliable when volume flow (KVO) and volatility-adjusted momentum (SuperTrend/Chandelier) synchronize following the initial price discovery phase of the session (Opening Range). By using Heiken Ashi smoothing and fixed-point grid risk, the system seeks to ignore minor price oscillations while capturing session-level extensions.

Components

• SuperTrend (regime) — Acts as the primary regime filter to ensure trades are only taken in the direction of the macro-volatility trend.
• Chandelier Exit (Heiken Ashi) (direction) — Provides the immediate directional bias using smoothed Heiken Ashi price action to filter out intraday noise.
• Klinger Volume Oscillator (KVO) (entry) — Identifies volume-backed entry points by signaling when money flow aligns with the trend regime.
• Trepidity Opening Range with Extensions (exit) — Provides objective profit targets based on the session's initial volatility expansion.
• Point-Based Price Grid (risk) — Sets a fixed-unit stop loss and determines position sizing based on structural volatility units.
• MACD (confirmation) — Confirms momentum strength to avoid entering late-stage trend exhaustion.

Known failure conditions

• The Opening Range is unusually narrow (< 10% of ADR), leading to irrelevant extension levels.
• Price oscillates around the SuperTrend line in a low-volatility environment (chopping).
• Volume data (KVO) becomes disconnected from price action during low-liquidity holiday sessions.

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).