GARCH-Ichimoku Fractal Momentum

Family: hybrid · Regime: trending · Complexity: high · Asset classes: FX, Indices, Commodities · Timeframes: H1, H4

Thesis

High-conviction trends are most tradable when (1) market risk is clustering but not exploding (GARCH regime), (2) volume-weighted pressure confirms price momentum (Volume Force), and (3) price breaks through structural equilibrium (Ichimoku). By using non-dynamic psychological levels (Grid) for exits and fractal-based support (Murrey) for stops, the strategy exploits the tendency of price to move between mathematical 'octaves' when volatility expands beyond its recent average (VR).

Components

• Conditional Volatility (CV) (regime) — Identifies the volatility regime; used to ensure we are trading in a 'sweet spot' of volatility clustering, avoiding periods of total stagnation or extreme tail-risk panic.
• Volume Force (VF) (direction) — Filters for volume-backed momentum. Ensures price movement is supported by liquidity rather than thin-market noise.
• Ichimoku Kinko Hyo (entry) — Provides the primary execution trigger based on Kijun-sen crosses and price location relative to the Kumo (Cloud).
• Grid Points Utility (exit) — Provides non-dynamic psychological targets based on round numbers where liquidity clusters for take-profit orders.
• Murrey Math Line X (risk) — Provides mathematical support/resistance intervals for stop-loss placement based on price fractals.
• Volatility Ratio (VR) (volatility_filter) — Ensures the entry candle exhibits a 'volatility expansion' (breakout) relative to the recent ATR, avoiding false starts in low-vol periods.

Known failure conditions

• Long-run Conditional Volatility remains consistently above the 90th percentile, indicating a regime shift toward permanent high-risk chaos.
• Price frequently oscillates through Grid Points without reaction, suggesting the chosen point interval is too small for the asset's current volatility.

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