Institutional Index Mean Reversion (IIMR)
Family: mean_reversion · Regime: trending · Complexity: high · Asset classes: Forex · Timeframes: H1, H4
Thesis
The strategy hypothesizes that price mean-reversions are most profitable when they occur in the direction of a currency's aggregate momentum and are supported by institutional 'smart money' flow (measured by III), provided the broader macro-economic environment is stable. By entering at Bollinger Band extremes during quiet news periods, we capture the temporary exhaustion of retail-driven pullbacks within a institutional trend.
Components
- Darwinex Labs Currency Index (regime) — Defines the currency-specific regime, ensuring we only trade the asset when the base currency has aggregate strength/weakness across the market.
- Intraday Intensity Index (III) (direction) — Confirms institutional accumulation or distribution within the specific pair, providing a volume-based 'inner-market' direction.
- Bollinger Bands (Standard) (entry) — Acts as the trigger; uses volatility extremes to identify entry points where price has deviated significantly from the mean.
- Risk Reward Indicator Tool (exit) — Provides a static structural exit based on a fixed risk-to-reward ratio determined at entry.
- Macro Risk Dashboard v8.2 (risk) — Aggregates cross-market stress; used to scale down or halt trading when systemic risk is high.
- AlgoMaster News Indicator (NNFX-style) (volatility_filter) — Excludes entries during high-impact news windows to avoid slippage and non-technical price shocks.
Known failure conditions
- Systemic failure of third-party data feeds for the Macro Risk Dashboard.
- Protracted periods of low volatility where price remains pinned to the Bollinger Band midline (SMA).
- Currency index divergence where the individual pair moves opposite to the aggregate currency strength for >10 bars.
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