DLCI-MAPE Geometric Trend Master

Family: trend_following · Regime: trending · Complexity: high · Asset classes: Forex · Timeframes: H1, H4

Thesis

The strategy assumes that currency trends are most persistent when a specific pair's movement is confirmed by the base and quote currencies' aggregate strength across all their respective pairs (DLCI). By further filtering for 'smooth' trends (Low MAPE) and using Ichimoku for structural confirmation, we enter only when the market exhibits high predictability and broad-based momentum.

Components

• Darwinex Labs Currency Index (regime) — Determines the macroeconomic 'regime' by ensuring the base currency is strengthening relative to a global basket while the quote currency is weakening.
• Multi-Type Moving Average Sticker (direction) — Provides the core trend filter; we only trade in the direction of the EMA50 to ensure alignment with medium-term momentum.
• Ichimoku Kinko Hyo (entry) — The Tenkan/Kijun cross serves as the precise execution trigger within the established regime.
• Average True Range (NNFX) (exit) — Determines dynamic exit points based on current market volatility to avoid being stopped out by noise.
• iExposure (risk) — Used to calculate total portfolio risk and ensure net exposure does not exceed account limits.
• Average Force (confirmation) — Filters out low-momentum Ichimoku crosses by requiring price to be in the upper/lower half of its recent range.
• Mean Absolute Percentage Error (MAPE) (volatility_filter) — Acts as a 'calmness' filter; entries are only permitted when price deviation from its model is low, avoiding high-volatility blow-off phases.

Known failure conditions

• Prolonged periods of low volatility where MAPE stays extremely low but price oscillates within the Ichimoku cloud.
• Sudden decoupling of a currency pair from its respective DLCI baskets due to idiosyncratic news.
• Execution failure during high-latency periods caused by the heavy computational load of DLCI.

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.