Ehlers-HA Imbalance Expansion Trader

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

Thesis

Market expansion begins when institutional imbalances (FVG) occur in alignment with high-order trend regimes. By using Heiken Ashi to smooth the broad regime and Ehlers SuperSmoother to validate immediate direction, we can isolate high-probability liquidity voids. The edge is maintained by using a volatility-adjusted trailing stop (Chandelier HA) to capture the meat of the trend while exiting before the momentum reversal (Stochastic).

Components

• Heiken Ashi (regime) — Defines the underlying regime; entries are only permitted in the direction of the synthetic trend to filter noise.
• Combined Candle Counter (CCC) Dev (direction) — Provides a macro-contextual overlay, ensuring trade direction aligns with S&P 500 VIX mean reversion and EMA structural alignment.
• FVG Crosscheck (Python Definition) (entry) — Acts as the execution trigger by identifying significant liquidity imbalances (FVGs) that suggest institutional momentum.
• Stochastic Oscillator (exit) — Provides a tactical exit signal when momentum becomes overstretched, preventing give-back during trend exhaustions.
• Chandelier Exit Heiken Ashi Variant (risk) — Determines dynamic stop-loss levels based on Heiken Ashi volatility, allowing the trade room to breathe while protecting capital.
• Ehlers SuperSmoother Filter (confirmation) — A low-lag 2nd-order filter that confirms the micro-trend direction, ensuring the FVG trigger is not a momentary spike against the grain.
• ATR Projection (volatility_filter) — Filters out entries during periods of extreme volatility compression or expansion that exceed the NNFX-inspired threshold.

Known failure conditions

• Historical backtest results are significantly inflated due to the CCC indicator's 'barmerge.lookahead_on' logic.
• Price enters a low-volatility 'chop' regime where FVGs are frequently mitigated (filled) immediately without follow-through.
• The Chandelier Exit (ATR 1) causes premature exits (whipsaws) in assets with high noise-to-signal ratios.

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