Velocity-Volume Range Navigator

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: FX, Equities, Indices · Timeframes: M30, H1

Thesis

The strategy assumes that a trend is valid only when price velocity (REI) and volume-weighted momentum (VA) act in unison, and that entries within the middle 80% of a daily range (MTF) provide a higher probability of follow-through before hitting structural exhaustion (ZigZag). Traditional momentum often fails because it ignores 'room to run'—this hypothesis tests if daily range filters can mitigate that.

Components

• Range Expansion Index (REI) (regime) — Acts as the regime filter; ensures the market has sufficient price velocity and is not in a 'noise' state where REI is zeroed out.
• Volume Accumulation (VA) (direction) — Provides directional bias; requires price movement to be supported by cumulative volume-weighted momentum.
• True Strength Index (TSI) with Signal Line (entry) — The double-smoothed momentum cross serves as the specific entry trigger to capture the meat of the move.
• ZigZag Color (Classic) (exit) — Defines the exit based on structural trend reversals (change in leg color).
• ATR Heiken Ashi (risk) — Calculates smoothed volatility to set dynamic stop losses and determine position size.
• Daily High Low MTF (volatility_filter) — Filters out trades occurring at extreme daily boundaries where mean reversion risk is highest.

Known failure conditions

• Extended sideways price action leading to multiple TSI whipsaws while REI remains positive.
• Extreme volatility spikes causing the ZigZag to repaint exit signals repeatedly.
• Deep divergence between Volume Accumulation and Price Action (Volume-Price decoupling).

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).