VWAP-Fractal Momentum Synchronizer

Family: hybrid · Regime: trending · Complexity: high · Asset classes: Equities, Forex, Indices · Timeframes: M15, M30

Thesis

Intraday price movements tend to follow momentum persistence when the market is trading away from its daily volume-weighted average price (VWAP). By entering when cyclical momentum (CCI) aligns with structural trend (MACD) and placing risk at institutional liquidity levels (Fractal CISD), we exploit the tendency of institutions to defend value levels while allowing volatility-based expansions to reach Fibonacci extension targets.

Components

• Daily Volume-Weighted Average Price (VWAP) (regime) — Acts as the primary regime filter to ensure trades are taken in the direction of the volume-weighted institutional mean.
• Moving Average Convergence Divergence (MACD) (direction) — Confirms directional momentum and prevents entering CCI signals against a stronger trend bias.
• CCI Arrows (entry) — Provides the execution trigger based on the commodity channel index crossing the zero-line, signaling a shift in cyclical momentum.
• ATR Fib (exit) — Provides volatility-anchored profit targets based on a fixed ATR range from the session open.
• Open Source Fractal Model (risk) — Determines the stop-loss level via market structure shifts (CISD) and liquidity sweeps.

Known failure conditions

• Extended periods of low-volume consolidation where price straddles the VWAP line repeatedly.
• Significant discrepancy between static ATR input and realized market volatility.
• Frequent MACD/CCI whipsaws during late-session low liquidity.

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