Adaptive Alpha-Flow Confluence Strategy

Family: hybrid · Regime: trending · Complexity: high · Asset classes: Equities, Forex (XAU/USD), Crypto · Timeframes: H1, H4, D1

Thesis

Market outperformance (Alpha) is non-random and tends to persist when accompanied by positive money flow (A/D) and expanding volatility (Braid). By using a Savitzky-Golay Filter to strip noise and a VIDYA to adapt to changing volatility, we can enter 'clean' trends and exit either when the trend structurally breaks (Chandelier) or when momentum becomes statistically overextended (Restu Kaioh). The core edge lies in the confluence of relative strength and absolute price momentum.

Components

• Savitzky-Golay Filter (SGF) (regime) — Serves as the primary trend regime filter by providing a smooth, low-lag slope without the jaggedness of standard MAs.
• Variable Index Dynamic Average (VIDYA) (direction) — Acts as an adaptive trend-line that tightens during high volatility and widens during low volatility, ensuring entries are aligned with dynamic momentum.
• Relative Strength Line [WavesUnchained] (entry) — Ensures the asset is outperforming the broader market (Alpha) while maintaining its own price trend confluence.
• Restu Kaioh Scalping Indicator (exit) — Provides discrete signals for overextended conditions to trigger mean-reversion exits before the trailing stop is hit.
• Chandelier Exit (risk) — Provides a volatility-adjusted trailing stop-loss that protects capital during trend reversals.
• Accumulation/Distribution (A/D) (confirmation) — Confirms that the price movement is supported by volume flow and filters out low-conviction price spikes via divergence detection.
• Braid Filter (ATR Optimized) (volatility_filter) — Filters out choppy market conditions by requiring the MA spread to exceed an ATR-based threshold before entry.

Known failure conditions

• Mansfield RS stays near zero for extended periods, indicating the asset is perfectly correlated with the benchmark with no alpha.
• Savitzky-Golay slope oscillates rapidly due to extreme outliers, causing regime flip-flops.
• A/D line remains flat or declines during a price uptrend, indicating a complete breakdown in the volume-price relationship.

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