VWAP Fractal Sweep Imbalance Intraday

Family: hybrid · Regime: high_vol · Complexity: medium · Asset classes: Equities, Forex, Indices · Timeframes: M5, M15

Thesis

Institutional orders often trigger 'liquidity sweeps' to fill large positions during high-volume windows like the NY Open. By filtering for moves that align with the Volume-Weighted Average Price (VWAP) and energetic Fair Value Gaps (FVG) after a sweep, we can capture the subsequent momentum as the market shifts structure (Fractal break) toward a new intraday value area. This edge exists because it targets the transition from stop-hunting to trend expansion.

Components

• Daily Volume-Weighted Average Price (VWAP) (regime) — Acts as the intraday value anchor; trades are only taken in the direction of volume-weighted momentum to ensure alignment with institutional flow.
• Mn Fractal Store (direction) — Identifies key structural pivots. Entry requires a breach of a stored fractal to confirm market structure shift or continuation.
• FVG Crosscheck (Python Definition) (entry) — Serves as the execution trigger by identifying energetic price imbalances (Fair Value Gaps) that signal institutional participation.
• Donchian Channels (exit) — Provides a dynamic trailing stop and exit mechanism based on the breach of local volatility extremes (lowest low/highest high).
• The Daily Sweep (risk) — Filters for high-probability setups during the NY session by identifying liquidity sweeps and establishing a daily directional bias.

Known failure conditions

• Price repeatedly crosses VWAP in a tight range (chop), leading to multiple FVG false signals.
• The NY session opens with a massive gap that exceeds the average daily range, rendering the 'Daily Sweep' logic obsolete for that session.
• Significant 'fractal' levels are ignored during low-volatility regimes, leading to late entries into exhausted moves.

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).