GARCH-Fractal Liquidity Expansion Strategy

Family: hybrid · Regime: mixed · Complexity: high · Asset classes: FX Majors, Equities (Large Cap), Gold · Timeframes: M15 (Execution), H1 (Regime), H4 (HTF Sweep)

Thesis

Market expansions are preceded by volatility clustering (GARCH) and localized liquidity sweeps (Fractals). By entering on momentum confirmation (AF/TII) after a sweep during an active volatility regime, we capture the displacement towards psychological round numbers and pivot levels. The edge lies in filtering structure shifts with statistical risk estimates.

Components

• Conditional Volatility (CV) (regime) — Defines the volatility regime; trades are only taken when annualized conditional volatility is expanding but not yet parabolic, ensuring sufficient 'meat' in the move.
• Open Source Fractal Model (direction) — Identifies institutional 'sweep' zones and sub-structure shifts (CISD) which indicate the probable direction of the next expansion.
• Average Force (entry) — Provides the final execution trigger by confirming that momentum has crossed the zero-line relative to the recent high-low range.
• Pivot Points (Classic) (exit) — Provides objective, non-repainting horizontal targets based on the previous session's price action.
• Grid Points Utility (risk) — Uses fixed psychological point intervals (30-point increments) to set hard stop losses and calculate position size based on round-number liquidity.
• Trend Intensity Index (TII) (confirmation) — Filters out low-conviction structure shifts by requiring that price deviation from the 60-period MA (2*30) confirms a high-intensity directional trend.
• Linefill All Visualizer (volatility_filter) — Used to visualize the 'delta' between entry and the target Pivot level to ensure trade-to-target space is clear.

Known failure conditions

• If Conditional Volatility stays above 40% (annualized) for >5 bars (volatility explosion/climax).
• If TII oscillates between 45 and 55 repeatedly, indicating a low-volatility 'sawtooth' market.
• If the distance to the nearest Pivot Point target is less than 1.5x the distance to the Grid Point SL.

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