Autocorrelated MESA Trend Scalpel

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

Thesis

Market trends exhibit autocorrelation that can be quantitatively measured; by isolating the cyclical components of a trend using MESA roofing filters during periods of high autocorrelation, we can enter trades with higher precision than standard momentum indicators, while using exogenous market levels for structural risk.

Components

• Autocorrelation Function (ACF) (regime) — Acts as the primary regime filter; positive ACF suggests trend persistence, while negative suggests mean reversion. We only trade in persistent regimes.
• Bears Power (direction) — Measures the internal strength of the bears; used to ensure bearish pressure is receding for longs and increasing for shorts.
• Ehlers MESA Stochastic (MSTOCH) (entry) — The primary entry trigger; the Roofing Filter removes noise and trend-bias, allowing for precise cyclical timing of the entry.
• Pivot Points (Classic) (exit) — Static market structure targets for profit-taking at R1/S1 or R2/S2 levels.
• Q-Levels V2.2 (risk) — Provides exogenous structural levels (Gamma walls or institutional levels) for hard stop-loss placement and position sizing.
• RSI Area (Histogram) (confirmation) — Provides momentum confirmation to ensure we are not entering against a massive counter-trend surge.
• ADX / Connectable [Azullian] (volatility_filter) — Filters for sufficient trend strength (ADX > 20) and provides initial directional bias through DI+/- alignment.

Known failure conditions

• ACF remains negative for extended periods, indicating a permanent shift to a choppy/mean-reverting regime.
• High-frequency volatility spikes that trigger Q-Level stops before the MSTOCH cycle completes.
• Failure to update Q-Level text strings, leading to obsolete risk parameters.

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