Hull-Ehlers Drift Persistence Strategy

Family: trend_following · Regime: trending · Complexity: high · Asset classes: Equities, Forex, Indices · Timeframes: M5, M15

Thesis

Price trends are most exploitable when the underlying asset exhibits statistical drift and high autocorrelation (persistence), suggesting that momentum is not random noise. By filtering for these conditions using the Asset Drift Model and ACF, and timing entries with Ehlers DSP cycle-crosses in the direction of a smoothed HMA trend, we can capture high-probability intraday expansions beyond the opening range.

Components

• Hull Moving Average (HMA) (regime) — Acts as a low-lag trend filter to ensure entries are aligned with the immediate price slope.
• ProfitRobots Dashboard Template (direction) — Provides multi-timeframe confluence; entry is only permitted when the HMA trend is aligned on both the trading timeframe and the next higher timeframe.
• Ehlers Detrended Synthetic Price (DSP) (entry) — Identifies the cyclical turning point within the broader trend; entry occurs when the cycle component crosses the zero line.
• Trepidity Opening Range with Extensions (exit) — Provides fixed intraday structural targets (Extensions) and ensures trading only occurs after the initial morning volatility settles.
• Asset Drift Model (ADM) (risk) — Determines position sizing and stop-loss placement based on the statistical variance and drift of log-returns to ensure risk is adapted to the asset's current volatility regime.
• Autocorrelation Function (ACF) (confirmation) — Filters for trend persistence; trades are only taken if the ACF is positive, indicating that price movements are likely to continue in the same direction rather than mean-revert.

Known failure conditions

• The ADM Variance remains extremely high (volatility expansion) while Drift approaches zero, indicating a random walk regime.
• Trepidity Extensions are reached within the first 5 minutes of the session, suggesting exhausted volatility.
• The ACF remains negative (mean-reverting) for more than 10 consecutive bars during a purported trend.

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.