Trend Regimes and Swing-Anchored VWAP Break Signals

Summary

This indicator description combines volatility bands for trend classification with swing-anchored VWAP signals. A double exponential moving average forms the centerline, and bands are placed three ATRs above and below it. A close beyond a band changes the regime; that state persists until a break in the opposite direction. The visible band is presented as dynamic support during bullish regimes or resistance during bearish regimes.

Within each regime, the VWAP is anchored to a recent swing and reset when a newer swing is identified. A cumulative volume-delta estimate tracks up-bar volume as positive and down-bar volume as negative. Once a confirmed pivot arms the signal, a close through the anchored VWAP can produce one signal for that anchor cycle; subsequent signals wait for another pivot. The document provides implementation code, but no backtest or performance evidence. Pivot confirmation and the indicator’s volume-delta convention may affect timing and interpretation, and the description does not establish standalone trading profitability.

Key ideas

• A double EMA and ATR bands define persistent bullish or bearish regimes.
• A band break changes the regime, while the state holds between breaks.
• The indicator anchors VWAP to a recent swing and resets it when a newer swing forms.
• A confirmed pivot arms a VWAP-break signal that can fire once per anchor cycle.
• The attached volume delta is estimated from the sign of each bar and its volume.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.