Gaussian McGinley Rank-Correlation Trend Hunter

Family: trend_following · Regime: trending · Complexity: high · Asset classes: FX (Major Pairs), Equities (High Volume) · Timeframes: H1, H4

Thesis

Trend-following strategies fail when noise is mistaken for momentum. By using Ehlers NET to measure rank correlation (noise) and the McGinley Dynamic to track price without the lag of standard EMAs, one can isolate high-probability trend entries. This is further filtered by a global volatility basket to ensure the trade is taken in an active market environment.

Components

• ALMA with Floating Levels (regime) — Identifies the trend regime and exhaustion points; the floating levels prevent entering at the end of a Gaussian-smoothed expansion.
• McGinley Dynamic (direction) — Provides the primary directional filter by adjusting its tracking speed to market volatility, reducing lag compared to EMAs.
• Arrows Indicator Template (entry) — Serves as the signal execution layer, triggering alerts and visual arrows when all technical conditions are met.
• MACD (exit) — Signals the end of momentum via histogram reversals or signal line crosses to initiate exit.
• iExposure Utility (risk) — Tracks net exposure and average entry prices to manage position sizing and hard stops relative to account equity.
• Ehlers Noise Elimination Technology (NET) (confirmation) — Confirms trend quality by measuring the Kendall Tau rank correlation between price and time, ensuring entry only occurs during low-noise movements.
• Range Volatility Monitor (volatility_filter) — Filters out low-volatility 'theta' regimes by comparing local range to a global FX basket average.

Known failure conditions

• Price remains bound within the McGinley Dynamic and ALMA Floating Levels for >20 bars (sideways consolidation).
• Range Volatility Monitor fails to trigger 'Volatile' status during historical high-range days due to its internal point-to-percentage logic error.
• Ehlers NET remains near 0 during a visible trend, indicating the move is too chaotic for rank correlation.

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