Dynamic IIR Persistence Trend System

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

Thesis

Market trends are most tradable when short-term cycles (Stochastic) align with medium-term momentum persistence (ACF) and have cleared historical volatility boundaries (Daily High/Low). By using a Dynamic EMA that grows in length, we filter for 'mature' regimes where the barrier to reversal is statistically higher, while MultiKAMA and Murrey Math provide adaptive exits based on efficiency and structural support/resistance.

Components

• Unsupported Dynamic EMA Length Test (regime) — Establishes the macro-regime. By using the bar_index as the period, it creates a 'memory' filter that becomes progressively more difficult to trend-shift as the series matures, filtering for only the most significant structural moves.
• Swiss Army Knife Indicator (SAK) (direction) — Filters noise using second-order IIR logic to determine the immediate trend direction without the lag of a standard SMA.
• OTLIB Stochastic Oscillator (entry) — Provides timing by identifying cycle-based mean-reversion entries (oversold/overbought) within the established trend.
• MultiKAMA (TyphooN) (exit) — Acts as an adaptive trailing exit that tightens during high-efficiency moves and widens during noise, protecting gains based on Kaufman's efficiency ratio.
• Murrey Math Line X (risk) — Provides structural price levels (1/8th octaves) for mathematically sound stop-loss placement and profit targets.
• Autocorrelation Function (ACF) (confirmation) — Confirms that price movement is not random noise; a positive ACF suggests trend persistence, while negative suggests mean reversion.
• Daily High Low MTF (volatility_filter) — Filters out 'inside day' noise by ensuring the entry occurs after a breakout of the previous day's volatility boundaries.

Known failure conditions

• Bar index exceeds 10,000, causing the Dynamic EMA to become a flat line unresponsive to any price action.
• Murrey Math levels fail to recalculate during high-volatility spikes, leading to stale SL/TP levels.
• ACF remains near zero for extended periods, indicating a random walk where the SAK direction is meaningless.

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