Adaptive KAMA-Pearson Fibonacci Retracement Strategy

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: Equities, FX, Commodities · Timeframes: H1, H4

Thesis

Markets are fractal and exhibit 'sticky' trends that can be mathematically identified by the correlation between price and an adaptive baseline (KAMA). Pullbacks to Fibonacci levels within these correlated trends represent temporary liquidity imbalances where institutional participants often re-enter, providing a high-probability entry point. Using dynamic pixel-based grid sizing ensures we only trade when the market structure is 'unfolded' enough to allow for profitable movement.

Components

• Grid Utility (Rosasurfer Framework) (regime) — Determines the 'Market Scale' by calculating dynamic GridSize; used here to filter out low-volatility 'noise' regimes where price action is too compressed to overcome spreads.
• MultiKAMA (TyphooN) (direction) — Provides the adaptive trend bias. Its efficiency ratio (ER) filtering helps ignore sideways chop that standard SMAs would react to.
• Auto Fibonacci (entry) — Identifies high-probability entry 'discount' zones (0.5 - 0.618) during a confirmed trend pullback.
• Heikin-Ashi Candles (exit) — Acts as a trailing trend filter; ignores minor candle noise to provide a definitive exit signal on sentiment shift (color change).
• GAS Price Levels (risk) — Combines Bollinger Bands and Alpha factors to define the 'Risk Floor' (Stop Loss) and ATR-based position sizing.
• Correlation (confirmation) — Calculates the Pearson Correlation between the Price and the MultiKAMA line to ensure the asset is actually trending in lockstep with the adaptive average, rather than just crossing it.

Known failure conditions

• Correlation stays below 0.5 for extended periods during price movement (indicates non-linear noise).
• Price breaches the 1.0 Fibonacci level (full retracement) before the HA color change.
• GridSize falls below the asset's average spread, rendering the risk/reward mathematically impossible.

Explore the full interactive blueprint, parameter ranges and evidence on WOBR StrategyVerse, or generate this strategy as an MT4/MT5 Expert Advisor with QuantMogul AI Engine.