GEX-Float Regression Trend System

Family: trend_following · Regime: trending · Complexity: high · Asset classes: Equities (QQQ), Futures (NQ) · Timeframes: 15m, 1H

Thesis

The system hypothesizes that Nasdaq trends are most persistent when institutional gamma positioning (GEX) aligns with retail momentum (MACD/Aroon) and is confirmed by high-quality structural regression (Ghost Channels). The 'Float Indicator' adds a layer of behavioral validation, suggesting that a trend only has 'legs' once a sufficient portion of the float has changed hands, indicating a transition from weak to strong holders or vice versa near key liquidity levels.

Components

• Aroon (regime) — Filters for high-conviction trend states where a new cycle has recently begun (Aroon Up > 70).
• Chandelier Exit (direction) — Provides the directional bias based on volatility-adjusted price extremums to prevent trading against the primary trend.
• MACD EMA Crossover Visualizer (entry) — Serves as the tactical execution trigger when short-term momentum aligns with the broader regime.
• HiLo Activator 02 (exit) — A staircase-style trailing exit that responds to price high/low averages, providing a structural buffer for profit taking.
• GEX Levels + Breakout Structure + Session AVWAP — NQ/NDX/QQQ (risk) — Uses Zero Gamma as a pivot point for risk; positions are only taken when price is on the 'correct' side of gamma-induced volatility.
• Ghost Channels [mph1nance] (confirmation) — Validates that the trend is within a high-quality linear regression fit (R2) and isn't overextended (Urgency Score).
• Float Indicator (volatility_filter) — Ensures sufficient volume turnover has occurred to support a trend continuation, filtering out low-liquidity spikes.

Known failure conditions

• Price oscillates around the Zero Gamma level, causing frequent risk-based stops.
• Aroon Up and Aroon Down both remain below 50 for extended periods, indicating a total lack of trend.
• Ghost Channel R2 drops below 0.3, signifying market chaos where linear models fail.

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