Aroon-McGinley Dynamic Squeeze Breakout

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: FX, Indices, Commodities · Timeframes: H1, H4, D1

Thesis

Market returns are non-normally distributed and cluster in 'volatility bursts.' By using Aroon to identify the passage of time since new extremes and McGinley Dynamic to filter price-adaptive direction, we can exploit the transition from a low-volatility 'Squeeze' to a high-volatility trend expansion. The edge lies in the structural lag of markets transitioning between equilibrium (Squeeze) and discovery (Trend).

Components

• Aroon (regime) — Acts as the primary regime filter to ensure the strategy only operates during the birth of a new trend, avoiding choppy 'time-decay' ranges.
• McGinley Dynamic (direction) — Provides a reactive trend baseline that adjusts its speed based on price volatility, reducing the lag inherent in standard MAs.
• Bollinger Squeeze Advanced (entry) — Identifies the 'spring-loading' effect of low volatility (Squeeze) and triggers entry on momentum expansion.
• Bollinger Bands (Standard) (exit) — Used to identify trend exhaustion points when price reaches the outer statistical boundaries.
• iExposure (risk) — Used to monitor net lot exposure and weighted average prices to manage multi-symbol risk and ensure net profit targets are met.
• Average True Range (NNFX Version) (volatility_filter) — Ensures entries only occur when there is sufficient 'meat' in the market move, filtering out low-liquidity spikes.

Known failure conditions

• Aroon values oscillating rapidly between 30 and 70 without staying at extremes (regime failure).
• Consecutive 'Squeeze' releases that immediately revert to the mean (whipsaw).
• Price consistently trading inside the McGinley Dynamic while ATR is declining.

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