Basket-Relative Volatility Momentum Trader
Family: trend_following · Regime: high_vol · Complexity: high · Asset classes: Forex, Indices · Timeframes: H1, H4
Thesis
Market momentum is most predictive when the asset's volatility expansion is idiosyncratic (outperforming a benchmark basket of majors). By entering when momentum (ROC) aligns with a multi-timeframe structural trend (MA Dashboard) only during these high-relative-volatility states, the strategy captures the 'breakout' phase of a trend while using Heiken Ashi to filter out the noise of minor corrections.
Components
- Range Volatility Monitor (regime) — Acts as a gatekeeper to ensure the asset is exhibiting enough relative range to support a momentum-based entry, filtering out 'dead' markets.
- Multi Timeframe Moving Average Dashboard (direction) — Determines the structural 'path of least resistance' by aggregating SMAs across multiple timeframes, preventing trading against dominant trends.
- Rate of Change (ROC) (entry) — Provides the specific execution trigger when momentum shifts from negative to positive (or vice versa) in alignment with the higher-order trend.
- Heiken Ashi (exit) — Used for trend-following exits to prevent premature closure during minor counter-trend retracements.
- SuperTrend & Pivots (risk) — SuperTrend provides a dynamic trailing stop-loss, while Daily Pivots provide institutional supply/demand zones for profit target placement.
- Bears Power (confirmation) — Confirms that selling pressure is actually diminishing (rising Bears Power) before entering a long, or increasing before a short.
Known failure conditions
- Strategy fails in 'volatility clusters' where the reference FX basket expands significantly more than the target asset, causing the Regime filter to stay 'False' during valid trends.
- The logic error in the Range Volatility Monitor (absolute points vs percentages) makes the strategy inapplicable to assets with high nominal prices like BTCUSD or DJI.
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