Efficient Volatility Momentum (EVM) Framework

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

Thesis

Market 'efficiency' isn't constant; trends that exhibit a high Rate of Change relative to their Historical Volatility (ROC/HV) are more likely to persist than noisy, high-volatility spikes. By identifying these efficient regimes and confirming them with volume-weighted machine learning (KNN) and multi-timeframe structure (Ichimoku), we can enter trends at the point of maximum momentum with a high signal-to-noise ratio.

Components

• Sherif Hilo (regime) — Acts as the primary macro-trend filter to ensure trades are only taken in the direction of long-term structural momentum.
• Ichimoku Kinko Hyo (direction) — Provides intermediate market structure confirmation; ensures price is outside the Kumo cloud and momentum (Tenkan/Kijun) aligns with the macro trend.
• Fisher Transform (EarnForex) (entry) — Identifies cyclical extremes and turns; used as the precise entry trigger when momentum shifts back in alignment with the trend.
• Gator Oscillator (exit) — Used to detect trend exhaustion; exit signals are generated when the 'Gator' becomes 'sated' (histogram contraction).
• ATR Stop Loss Finder (risk) — Calculates dynamic, volatility-adjusted stop-loss levels and provides the basis for position sizing.
• Volume SuperTrend AI (Expo) (confirmation) — Filters entries using volume-weighted price action and KNN classification to ensure volume supports the price movement.
• Annualized ROC / HV Ratios (volatility_filter) — Filters out 'low quality' or 'noisy' trends by ensuring the rate of change is significantly higher than the underlying volatility.

Known failure conditions

• The Annualized ROC/HV Ratio persists between -0.2 and 0.2 for extended periods, indicating a lack of trend efficiency.
• Frequent 'whipsaw' state changes in the Sherif Hilo indicator despite price remaining within the Ichimoku Kumo cloud.
• Fisher Transform triggers occur frequently during low-volatility 'sleeping' phases of the Gator Oscillator.

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