VIX-Filtered VWAP Structural Trend Follower

Family: hybrid · Regime: trending · Complexity: high · Asset classes: Equities, Indices (SPX/NDX) · Timeframes: H1, H4

Thesis

Market trends persist when supported by volume-weighted price discovery (VWAP) and a stable term structure of volatility (VIX/VIX3M Contango). Institutional flows into equities are typically accompanied by a 'cheap' VIX relative to future expectations; once this structure flattens or inverts, trend-following strategies lose their edge as hedging costs rise and volatility expands. This strategy exploits the confluence of volume, momentum, and risk sentiment.

Components

• Ichimoku Kinko Hyo (regime) — Defines the primary trend regime; price must be outside and above the Kumo to filter for high-probability bullish structure.
• Moving Average Ribbon (chingc) (direction) — Ensures multi-timeframe directional alignment; functions as a filter to confirm the intermediate-term trend is supported by long-term averages.
• Daily Volume-Weighted Average Price (VWAP) (entry) — Provides the tactical entry trigger based on intraday volume-weighted price discovery, ensuring entries occur at a 'fair value' level within a trend.
• HiLo Activator (Pandini Version) (exit) — Acts as a dynamic trailing stop that reacts to price action closing outside the high/low range, providing a non-static exit.
• VIX Curve Regime (Simple) (risk) — The ratio of VIX/VIX3M determines the structural risk environment. We scale exposure based on the term structure (Contango vs. Backwardation).
• GFRMa Pivot HTF3 Dashboard (confirmation) — Filters for momentum confirmation using RSI and CCI levels to prevent entering exhausted trends.
• Nadaraya-Watson Envelope (EMA Proxy) (volatility_filter) — Acts as a volatility filter to prevent entering when price is overextended (outside the upper/lower bands).

Known failure conditions

• VIX/VIX3M ratio sustains levels above 1.0 (Backwardation) while price stays above Kumo, indicating a 'fearful' rally.
• Ichimoku Cloud thickness shrinks to zero (Kumo Twist frequency increases), indicating a loss of structural trend.
• VWAP entries fail to move beyond the first standard deviation of the NW Envelope within 3 bars.

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