Drift-Weighted Volume Gradient Trend Strategy

Family: trend_following · Regime: trending · Complexity: high · Asset classes: FX, Equities, Crypto · Timeframes: H1, H4, D1

Thesis

Sustainable market trends are characterized by a positive feedback loop between institutional volume and statistical drift; by entering when short-term momentum (Williams %R) recovers in the direction of high-volume HTF slopes (200-Day Background), we capture the highest-probability segments of a trend while using the Asset Drift Model to adjust risk for the presence of a random walk.

Components

• Unsupported array.sort Order (Diagnostic Test) (regime) — Acts as a 'Market Coherence' filter; if price series logic fails to produce a stable sort constant, the market is deemed too erratic for statistical modeling.
• FakeCandle (direction) — Provides the 'true' price bias by filtering out noise via the FakeCandle.mqh logic, ensuring the trade direction aligns with NNFX-style smoothed price action.
• Williams %R (entry) — Triggers entry on momentum recovery (cross above -80 for longs) within the established trend.
• Ichimoku Kinko Hyo (exit) — Uses the Kijun-sen (Base Line) as a dynamic trailing exit, as it represents the medium-term equilibrium.
• Asset Drift Model (ADM) (risk) — Provides the statistical basis for risk; position size is scaled by the Drift t-stat, and SL is set based on the Variance Ratio (VR).
• Bill Williams Alligator (confirmation) — Confirms that the trend is 'awake' and expanding before entry, reducing whipsaws in dormant markets.
• 200-Day Trend Background (Smoothed Volume Gradient) (volatility_filter) — Ensures trades are only taken in high-conviction environments where volume-weighted HTF slope exceeds the noise threshold.

Known failure conditions

• ADM Variance Ratio (VR) stays near 1.0 for extended periods, indicating a permanent random walk regime.
• Price consistently oscillates across the Kijun-sen without hitting the Williams %R extreme levels.
• Volume-weighted slope fails to exceed the threshold during 3 or more consecutive Williams %R signals.

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