Cyclical Momentum Bandpass Hybrid
Family: hybrid · Regime: trending · Complexity: medium · Asset classes: Equities, Forex, Commodities · Timeframes: H1, H4, D1
Thesis
The strategy hypothesizes that market trends are not linear but composed of cyclical 'pulses'. By using a Bandpass Filter to isolate the 10-20 bar frequency, we identify the 'heartbeat' of the trend. Entering when the Absolute Strength Histogram confirms a directional shift within this frequency band—while aligned with a 50-period SMA—allows us to capture the meat of a move. The exit relies on the Relative Vigor Index, which measures the closing price's position within its recent range to detect momentum exhaustion before the cyclical phase reverses.
Components
- Bandpass Filter (BPF) (regime) — Acts as a frequency-domain regime filter, isolating price cycles within the 10-20 bar range to avoid noise and slow-moving trend exhaustion.
- Simple Moving Average (SMA) (direction) — Provides the directional bias; ensures that cyclical momentum trades are only taken in the direction of the primary trend.
- Absolute Strength Histogram (ASH) (entry) — Identifies the specific moment bullish momentum overpowers bearish momentum (or vice versa) within the isolated frequency band.
- Relative Vigor Index (RVI) (exit) — Measures the conviction of the move by comparing closing prices to the daily range; a crossover indicates waning 'vigor' before price reversal.
- ATR SL Finder (risk) — Provides dynamic, volatility-adjusted stop-loss levels to protect capital against sudden market expansion.
Known failure conditions
- The market enters a 'trending-parabolic' state where price moves faster than the BPF higher cutoff, causing the filter to suppress the signal.
- Asset volatility drops significantly below the ATR Multiplier, leading to death by a thousand commissions.
- ASH values become stagnant near zero, indicating a total loss of directional momentum.
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