Autocorrelated Matrix Liquidity Gap Trader

Family: trend_following · Regime: trending · Complexity: high · Asset classes: FX, Equities, Crypto · Timeframes: 1H, 4H, D1

Thesis

Trends are most likely to continue when price retraces to a 'low-volume node' or 'liquidity gap' (Key Zone), provided the market exhibits positive autocorrelation. By entering at these zones, we exploit the structural need for price to fill gaps before the prevailing momentum, confirmed by ACF, resumes.

Components

• Supported matrix.swap_columns Test (regime) — Used to manage state between calculation cycles, ensuring the 'key zone' detection is fresh and synchronized across bar updates.
• Multi-Type Moving Average Sticker (direction) — Provides the primary trend bias; EMA is selected for faster response to recent price action.
• Dynamic Supply and Demand Zones [AlgoAlpha] (entry) — Identifies low-volume liquidity gaps (Key Zones) where price is likely to find support/resistance before trend continuation.
• ZigZag Color (Classic) (exit) — Identifies major structural reversals for exit signals when the trend leg concludes.
• Average True Range (NNFX) (risk) — Used for volatility-adjusted stop losses and position sizing to maintain consistent risk per trade.
• Autocorrelation Function (ACF) (confirmation) — Confirms trend persistence. A positive ACF indicates that the current trend direction is statistically likely to continue.

Known failure conditions

• ACF remains consistently near zero, indicating a random walk where trend-following is impossible.
• Price frequently pierces key supply/demand zones without reaction, suggesting the volume profile resolution is insufficient for the current timeframe.

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