Cumulative Anchor Momentum Strategy

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

Thesis

Market trends are most robust when momentum (ROC) aligns with volatility breakouts (UTBot) and price is moving away from institutional liquidity pools (SNAP). By using a Dynamic EMA that grows with the asset's history, we filter for trends that have enough strength to stay above their cumulative historical average, thereby avoiding 'noisy' short-term movements.

Components

• Unsupported Dynamic EMA Length Test (regime) — Acts as an ultra-slow 'anchor' regime filter; since length grows with bar_index, it represents the cumulative price mean, requiring price to be on the 'correct' side of its entire history to trade.
• Rate of Change (ROC) (direction) — Confirms that the short-term momentum is aligned with the UTBot entry signal to avoid low-velocity entries.
• UTBot Alerts (entry) — Provides the specific execution trigger based on ATR-trailing stop crossovers.
• ATR SL Finder (exit) — Provides a volatility-adjusted exit level to capture trends while protecting capital.
• SNAP HTF_LTF Indicator (risk) — Used to filter trades occurring directly into institutional supply/demand zones and to define position sizing based on proximity to major liquidity.

Known failure conditions

• Dynamic EMA length exceeding platform limits (e.g., 100,000 bars) causing calculation failure.
• Price remains trapped between Weekly Liquidity Pools for extended periods, causing ROC whipsaws.
• High-volatility news events that bypass ATR-based stops via slippage.

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