Fisher-Gann Volatility Filtered Breakout

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

Thesis

Strong market trends exhibit a 'calm' momentum profile where price follows a normalized distribution (Fisher) and maintains low prediction error relative to its mean (RMSE). By combining Gann-based trend filters with volume-validated structural pivots, we can identify entries where institutional participation (volume pivots) supports the momentum, while exiting when the long-term volatility envelope (Sherif Hilo) is breached.

Components

• HiLo Activator (Pandini Version) (regime) — Defines the primary trend regime; price must be above/below the HiLo line to permit trades.
• Simple Moving Average (SMA) (direction) — Provides a secondary trend filter to ensure the minor HiLo trend aligns with the intermediate-term price action.
• Qualitative Quantitative Estimation (QQE) (entry) — Acts as the momentum trigger when the smoothed RSI crosses its fast trailing volatility band.
• Sherif Hilo (exit) — Used as a wide trailing stop-loss or exit trigger to capture significant trend exhaustion.
• Volume and Pivot Points Correlation with Full Control (risk) — Determines stop-loss placement based on high-volume pivot zones (War Zones) and scales position size relative to distance from these zones.
• Fisher Transform (EarnForex) (confirmation) — Confirms momentum by ensuring the price distribution is reaching an extreme normalized state, filtering out weak QQE crosses.
• Root Mean Squared Error (RMSE) (volatility_filter) — Filters out periods of excessive 'noise' or volatility expansion where the SMA estimate error is too high to be reliable.

Known failure conditions

• Prolonged sideways price action causing the RMSE to remain low while HiLo and SMA frequently intersect.
• Systematic failure of high-volume pivots to act as support/resistance in high-frequency news environments.
• Fisher Transform providing frequent zero-line crosses without price follow-through.

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