VWAP-TLB Structural Momentum Hybrid

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: Equities, Indices, Forex · Timeframes: M5, M15, M30

Thesis

Market momentum is most exploitable when intraday 'value' (VWAP) and market 'structure' (TLB) align. By filtering out volatility gaps that signify exhaustion, we can enter momentum cycles (Fisher) and exit only when smoothed trend candles (Heikin-Ashi) confirm a reversal, thus capturing the 'fat' part of a move.

Components

• Daily Volume-Weighted Average Price (VWAP) (regime) — Defines intraday value; price above/below VWAP determines the primary intra-day trend/regime.
• Three-Line Break (TLB) with MA (direction) — Filters noise by requiring a structural breakout of 'n' previous price movements to confirm direction.
• Fisher Transform (EarnForex) (entry) — Identifies normalized momentum cycles to trigger entries at peak extension.
• Heikin-Ashi Candles (exit) — Utilizes trend-smoothing to trigger an exit when momentum clearly shifts (candle color change).
• SuperTrend MT5 (FxGeek) (risk) — Provides a volatility-adjusted trailing stop-loss (ATR-based).
• MindTheGap (volatility_filter) — Prevents entries into exhausting volatility spikes or illiquid periods indicated by excessive slippage/gaps.

Known failure conditions

• Consecutive daily VWAP resets leading to 'stair-stepping' whipsaws in low-volume sessions.
• Fisher Transform producing 'sine-wave' signals in a range while HA candles fail to provide meaningful exit separation.

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).