Gaussian REI Expansion Strategy

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

Thesis

The strategy bets that 'clean' momentum (filtered by REI) following a Gaussian-smoothed trend alignment (ALMA) identifies the start of a high-probability impulse wave toward the next major liquidity gap (Supply/Demand zone). By filtering out low-volatility 'noise' candles and over-extended 'exhaustion' moves, the strategy attempts to capture the 'meat' of a trend.

Components

• Range Expansion Index (REI) (regime) — Used as a regime filter to ensure price action is not in a 'zeroed out' noise state; only active when REI > 0 (bullish regime) or < 0 (bearish regime).
• Arnaud Legoux Moving Average (ALMA) (direction) — Provides the primary trend bias with reduced lag, ensuring entries are aligned with the Gaussian-smoothed price flow.
• Rate of Change (ROC) (entry) — Acts as the tactical entry trigger when momentum crosses the zero-threshold, signifying a fresh velocity shift in the direction of the ALMA trend.
• MACD (exit) — Used for exit timing; specifically, the histogram reversal suggests momentum exhaustion before a full trend reversal occurs.
• Dynamic Supply and Demand Zones [AlgoAlpha] (risk) — Defines the structural invalidation point (Stop Loss) based on low-volume liquidity gaps rather than arbitrary pip distances.
• Gain Loss Info (Visual Overlays) (volatility_filter) — Functions as a volatility floor/ceiling; prevents entry during 'dead' markets (< 0.1% move) or 'exhausted' markets (> 1.5% move).

Known failure conditions

• REI remains at zero for extended periods, indicating a permanent shift to high-noise, low-velocity price action.
• Price frequently oscillates around the ALMA, indicating a range-bound environment where Gaussian smoothing fails to provide a lead.
• Supply/Demand zones are too wide, resulting in sub-1:1 Reward-to-Risk ratios.

Explore the full interactive blueprint, parameter ranges and evidence on WOBR StrategyVerse, or generate this strategy as an MT4/MT5 Expert Advisor with QuantMogul AI Engine.