Causal HP-RSX Cyclical Trend Strategy

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: Forex, Equities, Crypto · Timeframes: M15, H1

Thesis

Market cycles can be decomposed into trend and noise using HP filters. By entering only when price shows volume-supported momentum (VWAP/RSX) in the direction of the macro-cycle (HP) and multi-timeframe confirmation (Dashboard), we capture the most efficient portion of a price move while exiting near exhaustion (RSI) or volatility shifts (Chandelier).

Components

• Hodrick-Prescott Filter (HP) (regime) — Determines the macro-cyclical regime by analyzing if the source price is above or below the HP trend line.
• Corrected RSX (direction) — Filters high-frequency noise from momentum to provide a directional bias; seeks values above/below the 50 midline.
• Daily Volume-Weighted Average Price (VWAP) (entry) — Identifies high-liquidity mean-reversion points; entries occur on price cross/rebound from VWAP within the trend.
• RSI Area (Histogram) (exit) — Identifies exhaustion points when RSI reaches overbought/oversold levels (70/30) to trigger exits.
• Chandelier Exit (risk) — Provides a volatility-adjusted trailing stop to protect capital and lock in profits.
• ProfitRobots Dashboard Template (confirmation) — Ensures multi-timeframe alignment by verifying that the H1 trend matches the execution timeframe.

Known failure conditions

• Extended periods of low volatility where price oscillates tightly around the VWAP.
• Large overnight gaps that invalidate the Daily VWAP reset logic.
• Correlation breakdown where multi-timeframe dashboard signals lag significantly behind price action.

Explore the full interactive blueprint, parameter ranges and evidence on WOBR StrategyVerse, or generate this strategy as an MT4/MT5 Expert Advisor with QuantMogul AI Engine.