VHF-WAE Structural Volatility Breakout

Family: trend_following · Regime: trending · Complexity: high · Asset classes: FX, Equities, Crypto · Timeframes: H1, H4

Thesis

A market 'edge' exists when a breakout from a period of congestion (VHF low to high) is supported by a surge in volume (PVT) and momentum acceleration (WAE) that exceeds localized structural boundaries (Boxline). This behavior reflects institutional participation overcoming retail range-trading liquidity.

Components

• Vertical Horizontal Filter (VHF) (regime) — Filters out ranging markets to ensure momentum signals are only taken during emerging trends.
• Momentum (direction) — Establishes the primary trend direction via zero-line crossover.
• Waddah Attar Explosion (WAE) (entry) — Acts as the entry trigger when MACD-based trend acceleration exceeds volatility thresholds.
• Moving Average Convergence/Divergence Oscillation (MACDO) (exit) — Exits when the 'momentum of momentum' fades or reverses.
• GAS Price Levels (risk) — Uses dynamic Bollinger/ATR levels to set hard stops and calculate position sizing based on structural volatility.
• Price and Volume Trend (PVT) (confirmation) — Confirms the price move is backed by volume accumulation/distribution.
• Boxline (Dynamic Range Breakout) (volatility_filter) — Ensures the entry occurs outside of recent localized congestion zones.

Known failure conditions

• Continuous 'box' expansion without breakout leading to repeated stop-outs.
• Low volume environments where PVT flatlines while price oscillates.
• VHF stays below trend threshold for extended periods during high-impact news.

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