AGC-Ichimoku Volatility Momentum

Family: trend_following · Regime: trending · Complexity: high · Asset classes: Equities, FX, Crypto · Timeframes: H1, H4

Thesis

Momentum signals (ROC) are most reliable when market volatility is in an expansion phase (Ichimoku Cloud thickness) and the price is not yet at its 'centered' smoothed extremes (TMA). By normalizing momentum through AGC, we can isolate signals that represent a genuine shift in cycle strength rather than noise, while using ATR-based trailing stops to capture the meat of the trend.

Components

• TMA CG 2024 (Centered Moving Average) (regime) — Acts as a secondary regime filter to ensure trades are not entered at extreme 'smoothed' exhaustion levels, though its repainting nature requires it to be a broad context tool rather than a precise trigger.
• Chandelier Exit Heiken Ashi Variant (direction) — Provides the primary trend bias using Heiken Ashi candles to filter out noise, ensuring the momentum entry aligns with intermediate trend direction.
• Rate of Change (ROC) (entry) — Captures raw momentum bursts; a zero-line cross indicates a shift in the speed of price movement.
• UTBot Alerts (exit) — Provides a volatility-adjusted trailing stop-loss and early exit signal that reacts faster than the primary direction filter.
• Average True Range (ATR) (risk) — Standardizes risk and position sizing to account for varying market volatility.
• Ehlers Automatic Gain Control (AGC) (confirmation) — Normalizes the ROC momentum signal, preventing false entries during low-amplitude oscillations by ensuring signal strength is relative to recent peaks.
• Modern Ichimoku Cloud [GBB] (volatility_filter) — Ensures the strategy only operates during periods of sufficient 'Cloud Thickness' (volatility), avoiding low-liquidity chop.

Known failure conditions

• If the TMA bands stay flat while price trends strongly, indicating a breakdown in the centered smoothing logic.
• If Ichimoku Cloud thickness remains in the bottom 10th percentile for extended periods, leading to total signal starvation.

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