Volatility-Regime VWAP Momentum Cross

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: Equities, Futures, Crypto · Timeframes: 5m, 15m, 1h

Thesis

Market participants often overreact to short-term price fluctuations relative to the daily volume-weighted average price. By identifying the broader volatility regime (Chandelier/SuperTrend) and entering only when price momentum (Laguerre RSI) aligns with a VWAP mean-cross, we exploit the behavioral tendency for prices to trend once 'fair value' is convincingly breached under momentum.

Components

• Chandelier Exit (regime) — Establishes the macro-volatility regime; only trading in the direction of the long-term volatility-adjusted trend.
• SuperTrend (direction) — Provides the primary directional bias for the current swing.
• Daily Volume-Weighted Average Price (VWAP) (entry) — Acts as a mean-reversion anchor; entries are triggered when price crosses the 'fair value' established by intraday volume.
• Donchian Channels (DC) (exit) — Uses local price extremes for exit signals, capturing the meat of the move before a full trend reversal.
• ATR SL Finder (risk) — Provides a volatility-sensitive floor/ceiling for initial risk placement.
• Laguerre RSI (confirmation) — Confirms momentum strength to ensure we aren't entering a dead mean-reversion move.

Known failure conditions

• Persistent sideways price action where VWAP remains flat and price oscillates within the ATR SL range.
• Frequent gaps at session starts that invalidate the VWAP accumulation period.
• Laguerre RSI staying 'pinned' at 0 or 1 while price moves in the opposite direction (extreme divergence).

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