VWAP Momentum Structural Swing

Family: hybrid · Regime: trending · Complexity: medium · Asset classes: Forex, Equities (Intraday) · Timeframes: M15, H1

Thesis

Market price action tends to revert to the institutional fair value (VWAP) during periods of indecision but follows directional momentum (MACD) when confirmed by cyclical exhaustion (Stochastic). By ensuring that the volatility (ATR HA) is significantly higher than the transaction costs (Spread), we can isolate trade opportunities where the expected move is structurally large enough to overcome the friction of the ZigZag indicator's inherent lag.

Components

• Indicator Base Template (regime) — Provides the memory management framework and chart object prefixing for multi-instance compatibility.
• VWAP (direction) — Establishes the institutional fair value bias; trades are only taken in the direction of the VWAP slope or price relationship to VWAP.
• MACD Classic (3-Line) (entry) — Captures medium-term momentum alignment once the directional bias is established.
• ZigZag Color (Classic) (exit) — Provides structural exit points based on confirmed price reversals, capturing the 'meat' of a swing.
• Spread Display and Alert (risk) — Used for dynamic cost-plus-risk calculation and to prevent entry during high-slippage events.
• Stochastic Oscillator (ta.stoch) (confirmation) — Identifies short-term cyclical exhaustion points to filter MACD entries, ensuring better entry pricing.
• ATR Heiken Ashi (volatility_filter) — Filters out low-volatility 'noise' regimes where spread costs would erode returns.

Known failure conditions

• Hypothesis is invalidated if institutional VWAP becomes a constant mean-reversion magnet with zero trend expansion (flat VWAP).
• Invalidated if the average ZigZag swing length is smaller than 3x the current Spread.

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