GARCH-Filtered Pitchfork Expansion Strategy

Family: hybrid · Regime: trending · Complexity: medium · Asset classes: FX, Equities, Crypto · Timeframes: H1, H4, D1

Thesis

Market trends are initiated by institutional imbalances (FVG) that manifest during specific volatility regimes. By using GARCH to filter out 'volatility explosions' that precede reversals, and MACD/Alligator to confirm momentum, we can capture the meat of a trend expansion. The Pitchfork provides a non-linear container for price, respecting the frequency of market oscillations better than static horizontal levels.

Components

• Max Bars Back Function Contexts Test (regime) — Used as a 'system ready' check to ensure the historical buffer is sufficiently populated (t-3 availability) before executing logic.
• MACD & OSMA Cloud Hybrid (direction) — Provides the primary trend bias; entries are only permitted when the OsMA is in an accelerating state (Dark Green/Crimson).
• FVG Crosscheck (Python Definition) (entry) — Identifies institutional imbalances (Fair Value Gaps) as the trigger for entry, filtered by ATR to ignore noise.
• MACD Classic (3-Line) (exit) — Provides a standard momentum-based exit when the MACD line crosses the Signal line, indicating trend exhaustion.
• Auto Pitchfork (risk) — Used to define the structural boundaries for stop-loss placement and position sizing.
• Bill Williams Alligator (confirmation) — Acts as a secondary trend filter to ensure price is actively 'trending' away from smoothed averages.
• Conditional Volatility (CV) (volatility_filter) — GARCH-based filter to prevent entries during regime shifts where volatility is either too low for expansion or too high for reliable stops.

Known failure conditions

• If the Auto Pitchfork frequently redraws (pivots shifting) resulting in SL levels being moved mid-trade.
• In prolonged sideways markets where Alligator lines intertwine and FVG signals are countered immediately.
• If the GARCH CV remains consistently above the 90th percentile, indicating a permanent high-volatility regime unsuitable for trend-following.

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