VIX-VWAP Recursive Cycle Hybrid

Family: hybrid · Regime: trending · Complexity: high · Asset classes: Equities, Indices, Volatility Futures · Timeframes: M15, H1

Thesis

Intraday price trends are most persistent when they align with both the volume-weighted average price (institutional value) and a stable volatility term structure (VIX/VIX3M < 1). By isolating the dominant cycle frequency with Ehlers TBF and waiting for a multi-stage recursive trend confirmation, we can enter trades with high probabilistic momentum and exit before mean-reversion occurs as signaled by RSI.

Components

• Daily Volume-Weighted Average Price (VWAP) (regime) — Establishes the intraday bias; price above VWAP indicates buyers are in control of the volume-weighted mean.
• Ehlers Truncated Bandpass Filter (TBF) (direction) — Filters out high-frequency noise and low-frequency trends to isolate the specific cyclical component of price action.
• Recursive Moving Average Unlimited (entry) — Provides a highly smoothed trigger line that requires multiple iterations of price confirmation before signaling an entry.
• AI - RSI Strategy (exit) — Uses momentum exhaustion (RSI) to exit positions while referencing a long-term SMA for secondary structural context.
• VIX Curve Regime (Simple) (risk) — Filters for structural market stability; trades are only taken when the VIX term structure is in Contango (low stress).

Known failure conditions

• VIX/VIX3M ratio remains consistently above 1.1 for extended periods, indicating persistent market distress.
• The instrument exhibits no intraday mean-reversion or cycle behavior, causing the TBF to lag perpetually.
• Market volume becomes so thin that VWAP resets cause massive slippage on execution.

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).