ASI-Pivot Volatility Expansion Hybrid
Family: hybrid · Regime: trending · Complexity: medium · Asset classes: Equities, Commodities, Forex · Timeframes: 15m, 1H, 4H
Thesis
The hypothesis is that a sustainable trend only occurs when 'True' price movement (ASI) aligns with a volatility-driven breakout (VR > 1.0). By entering specifically at Daily Pivot structural levels, the strategy exploits the behavioral tendency of markets to 'retest' value before a major expansion. The ZLSMA ensures we are on the right side of short-term momentum, while CCI prevents holding through the inevitable mean-reversion following a momentum peak.
Components
- Accumulation Swing Index (ASI) (regime) — Acts as the regime filter by measuring 'real' price pressure; ensures the cumulative swing strength aligns with the trade direction.
- SuperTrend (direction) — Provides the primary volatility-adjusted trend orientation.
- SuperTrend & Pivots (entry) — Combines trend state with daily structural levels (Pivots) to identify high-probability entry nodes near value.
- CCI / Connectable [Azullian] (exit) — Signals momentum exhaustion for timely exits before trend reversals materialize.
- Volatility Ratio (VR) (risk) — Filters for high-energy moves (VR > 1.0) and determines position sizing based on relative range expansion.
- Zero Lag Least Squares Moving Average (ZLSMA) (confirmation) — Provides high-sensitivity confirmation that price momentum has shifted without the typical lag of standard MAs.
Known failure conditions
- ASI values diverge significantly across different starting bar indices, making historical backtesting inconsistent.
- Volatility Ratio remains below 1.0 for extended periods, leading to no trade signals during low-volatility trend phases.
- Market enters a 'drift' regime where price moves slowly against the ZLSMA without triggering the SuperTrend flip.
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