VIX-Contango Triple ADX Breakout

Family: trend_following · Regime: trending · Complexity: high · Asset classes: Equities, Equity Indices (e.g., SPY, QQQ) · Timeframes: M15, H1

Thesis

The strategy assumes that significant intraday trends are initiated by a 'volatility squeeze' (Boxline breakout) during periods of structural market stability (VIX/VIX3M in contango). By requiring volume confirmation (VWAP) and multi-timeframe momentum alignment (ETV), the strategy aims to filter out low-conviction noise and capture the expansion phase of the volatility cycle. The core edge lies in entering only when options traders expect lower future volatility relative to the long term, suggesting a sustainable 'drift' or trend.

Components

• Simple Moving Average (SimpleMA) (regime) — Filters for short-term price momentum, ensuring trades are only taken in the direction of the immediate trend.
• Daily Volume-Weighted Average Price (VWAP) (direction) — Confirms that current price action is supported by volume distribution relative to the daily session start.
• Easy Trend Visualizer (ETV) (entry) — Ensures multi-period ADX alignment, capturing the 'sweet spot' of accelerating trend strength.
• Bollinger Bands (Standard) (exit) — Identifies statistical over-extension relative to recent volatility to capture mean-reversion or exhaustion exits.
• VIX Curve Regime (Simple) (risk) — Uses the term structure of volatility to gauge broad market stress; entries are only permitted in contango (VIX < VIX3M).
• Boxline (Dynamic Range Breakout) (volatility_filter) — Acts as a volatility-compressed trigger, identifying the specific price level where a consolidation range is breached.

Known failure conditions

• VIX/VIX3M ratio sustains levels above 1.1 for more than 3 consecutive trading days.
• SMA(10) remains flat (zero slope) while price oscillates across VWAP, indicating a non-trending regime.
• Boxline range exceeds 2.5% of asset price, making breakout signals too lagging.

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).