Gann-VHF Liquidity Gap Expander

Family: trend_following · Regime: trending · Complexity: high · Asset classes: Equities, FX, Crypto · Timeframes: 1H, 4H

Thesis

Market trends are most efficient when price transitions through 'liquidity gaps' (Key Zones) towards areas of high historical volume (POC). By identifying these gaps using dynamic volume binning and confirming the move with a trend activator (Gann HiLo) and a volatility filter (VHF), we enter trades at the point of maximum expansion potential. The inclusion of a data-sorting regime check ensures that the underlying price entropy is aligned with the trend direction before commitment.

Components

• Unsupported array.sort_indices Order (regime) — Used as a 'Logic Entropy' filter. Since the second argument takes a 'series close' instead of a constant, the strategy only executes when the local price directionality (momentum) matches the intended sort order of the underlying data structure.
• HiLo Activator (Gann Style) (direction) — Determines the core directional bias based on whether price is closing above the moving average of previous highs or below the moving average of previous lows.
• Volume Profile + Pivot Levels [ChartPrime] (entry) — Identifies price levels with significant historical volume (POC) and localized pivot-based supply/demand zones for entry execution.
• Pivot Points (Classic) (exit) — Provides fixed, non-repainting horizontal targets based on prior period price action to lock in profits.
• Dynamic Supply and Demand Zones [AlgoAlpha] (risk) — Identifies 'Key Zones' (liquidity gaps) where volume is lower than surrounding bins. These zones define the risk boundary and position size.
• Vertical Horizontal Filter (VHF) (volatility_filter) — Filters out ranging markets by ensuring the price range relative to the sum of absolute changes is high enough to support a trend-following approach.

Known failure conditions

• VHF stays below 0.3 for extended periods, indicating a permanent shift to low-volatility mean reversion.
• The Dynamic Supply/Demand Zones fail to provide a 'Key Zone' (liquidity gap) for more than 500 bars, leading to zero trade frequency.
• Execution engine fails due to the syntactic invalidity of the array.sort_indices component in production environments.

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