Ehlers-WAE Session Expansion Strategy
Family: hybrid · Regime: trending · Complexity: high · Asset classes: FX (Majors), Indices (NQ, DAX) · Timeframes: M5, M15, M30
Thesis
Intraday volatility breakouts are most sustainable when momentum (WAE) aligns with the low-frequency trend (SAK) and the current cycle phase (DSP) while price is expanding away from the session midpoint. By using RAE to quantify the predictability of the current price action, we can filter out chaotic volatility and focus on high-probability expansions toward structural pivot levels.
Components
- Session Range (High/Low/Mid) (regime) — Defines the intraday bias based on price location relative to the session midpoint. Entry is restricted to the side of the midpoint established during the first hour of volatility.
- Swiss Army Knife Indicator (SAK) (direction) — Provides a second-order smooth trend direction to ensure momentum trades are aligned with the dominant structural flow.
- Waddah Attar Explosion (WAE) (entry) — Acts as the trigger mechanism by identifying when MACD momentum 'explodes' past the current Bollinger Band-defined volatility threshold.
- Pivot Points (Classic) (exit) — Provides objective structural targets (R1/R2 or S1/S2) for exits, avoiding the lag of indicator-based trailing stops in fast moves.
- Relative Absolute Error (RAE) (risk) — Uses the ratio of actual price deviation vs. mean error to scale position size; high RAE implies unpredictable volatility, triggering smaller risk.
- Ehlers Detrended Synthetic Price (DSP) (confirmation) — Confirms that the momentum is occurring during a favorable cyclical phase (not at a cycle exhaustion point).
Known failure conditions
- Price repeatedly oscillating across the Session Middle level without hitting a Pivot target (choppy regime).
- RAE consistently stays above 1.0, indicating the 'prediction' (SMA) is worse than the mean, rendering volatility-based risk invalid.
- SAK Butterworth filter and DSP show persistent divergence (trend vs cycle mismatch).
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