HAC-Drift Adaptive Momentum System

Family: trend_following · Regime: trending · Complexity: high · Asset classes: Equities, FX Major Pairs, Gold · Timeframes: H4, D1

Thesis

Market prices exhibit periods of 'statistical drift' where price movement is non-random due to institutional accumulation or macroeconomic shifts. By identifying these drift regimes through HAC-variance tests (ADM) and entering only when adaptive momentum (SAM) aligns with structural supply/demand zones (Order Blocks), we can capture the core of a trend with a high reward-to-risk ratio. The edge exists because drift persistence is often ignored by traders using simple moving averages, and the adaptive trigger minimizes the lag typically associated with trend-following systems.

Components

• Asset Drift Model (ADM) (regime) — Filters for periods where the asset exhibits statistically significant drift (t-stat > |1.96|) and non-random walk behavior (VR > 1), ensuring we only trade persistent trends.
• TopTrend (BBands Stop) (direction) — Provides the primary trend bias and volatility-adjusted trail to ensure entries align with the prevailing medium-term momentum.
• Smoothed Adaptive Momentum (entry) — Identifies entry points by detecting momentum shifts tuned to the market's dominant cycle, reducing lag compared to fixed-period oscillators.
• MA Channel (Framework Version) (exit) — Acts as a dynamic exhaustion boundary; the strategy exits when price mean-reverts through the opposite side of the high/low channel.
• Sonarlab - Order Blocks (risk) — Contextualizes entries by requiring price to be near or interacting with a high-momentum supply/demand zone, improving risk/reward.
• TMA Risk Panel (volatility_filter) — Calculates position size based on volatility (ATR) and equity risk, ensuring consistent drawdown management.

Known failure conditions

• Asset Drift Model t-statistic remains between -1 and 1 for more than 20 consecutive sessions (regime loss).
• Realized volatility exceeds ATR-based stops consistently leading to >5 consecutive losses.
• Order Block zones fail to show price rejection, indicating 'liquidity hunts' rather than structural support/resistance.

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