EVZ-AGC Implied Volatility Trend Scout
Family: trend_following · Regime: trending · Complexity: high · Asset classes: Currencies (EUR/USD focus) · Timeframes: H1
Thesis
The hypothesis is that trend-following signals on EUR/USD are significantly more reliable when the 'Market Fear' (EVZ) is elevated and rising, as this provides the necessary liquidity and momentum for price to clear daily pivot levels and maintain a directional move. By using Ehlers AGC to normalize the cycle intensity, we avoid entering 'false' momentum moves that lack the cyclical backing to sustain a trend.
Components
- Ehlers Automatic Gain Control (AGC) (regime) — Determines the underlying cyclic regime by normalizing signal amplitude, ensuring momentum is measured relative to current cycle intensity.
- Average Force (direction) — Identifies directional momentum bias by smoothing price location within its recent range.
- SuperTrend & Pivots (entry) — Provides the execution trigger (SuperTrend flip) while ensuring market structure alignment (Pivot levels).
- Mass Index (MI) (exit) — Signals trend exhaustion through range expansion/contraction analysis, providing an 'early' exit before a full reversal.
- Chandelier Exit Heiken Ashi Variant (risk) — Provides a hyper-sensitive volatility-based stop-loss and trailing mechanism for tight risk control.
- Euro FX VIX (EVZ) Data Loader (volatility_filter) — Acts as a volatility regime gatekeeper, ensuring the strategy only enters when implied volatility (market expectation) is sufficient to sustain a trend.
Known failure conditions
- EVZ data remains stagnant or fails to update, causing the strategy to ignore implied volatility shifts.
- Price enters a low-volatility 'barbed wire' range where Average Force oscillates around zero without direction.
- The 0.75 ATR multiplier on the Chandelier Exit leads to excessive stop-outs during minor retracements.
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