Alpha-Smoothed Structural Reversion Strategy

Family: trend_following · Regime: trending · Complexity: high · Asset classes: Forex, Equities, Crypto · Timeframes: H1, H4, D1

Thesis

Market trends are often interrupted by local exhaustion patterns; by identifying these patterns (Pattern Recognition Master) only when aligned with low-lag smoothing (SuperSmoother) and structural volatility levels (GAS/Keltner), we can capture trend resumptions with a high signal-to-noise ratio. The 'edge' relies on the delay-reduction of Ehlers' filters and the cost-protection of a real-time spread filter.

Components

• GAS Price Levels (regime) — Provides the structural regime by weighting Alpha factors (238, 51, 262) against price levels to ensure the entry occurs within a valid volatility-adjusted framework.
• SuperTrend (direction) — Establishes the primary directional bias using a trailing ATR-based trend line to prevent trading against the dominant momentum.
• Pattern Recognition Master (entry) — Acts as the trigger mechanism by identifying specific Japanese candlestick exhaustion or reversal patterns (Engulfing, Hammers) at the confluence of other filters.
• ATR Projection (exit) — Calculates objective, volatility-adjusted stop-loss and take-profit levels based on the Average True Range.
• Spread Display and Alert (risk) — Provides a hard gatekeeper for execution; if the current spread exceeds the historical threshold, the trade is discarded to protect against slippage.
• Ehlers SuperSmoother Filter (confirmation) — Provides a secondary low-lag trend confirmation to ensure price is moving in the desired direction without the noise of a standard SMA.
• Keltner Channels (volatility_filter) — Filters for volatility volatility; entries are only valid if price is expanding beyond the Keltner mid-line or escaping a squeeze.

Known failure conditions

• Prolonged sideways 'chop' where SuperTrend flips frequently without hitting ATR projections.
• Significant expansion in spreads during news events which prevents the 'Risk' filter from allowing execution.
• Total decoupling of Alpha factor correlations (IC weights approaching zero).

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