KNN-MESA Cycle Pathfinder
Family: hybrid · Regime: trending · Complexity: high · Asset classes: Equities, Forex, Crypto · Timeframes: 1H, 4H, Daily
Thesis
The hypothesis is that financial markets exhibit 'path similarity' where current price formations resemble specific historical clusters. By identifying these clusters with KNN to determine directional bias and overlaying Ehlers' cycle analysis (MSTOCH) to time the entry, we can enter trades with a higher probability of catching the momentum before volatility reaches its climax (NNFX ATR). The edge relies on the non-random nature of price drift following cyclical corrections.
Components
- Matrix Int Support Test (regime) — Used as a data integrity/structural stability regime check; the strategy only operates when price data satisfies the matrix dimension requirements for KNN calculations.
- AI Trend Navigator [K-Neighbor] (direction) — Determines the probabilistic direction by comparing the current local price distribution to historical 'neighbors', identifying the path of least resistance.
- Ehlers MESA Stochastic (MSTOCH) (entry) — Filters out trend noise via Roofing Filter to provide a precise entry point when the market is at a cyclical low within a KNN-confirmed trend.
- Average True Range (NNFX Version) (exit) — Used to detect volatility exhaustion; trades are closed if ATR exceeds a standard deviation threshold of its own average.
- ATR Stop Loss Finder (risk) — Provides a dynamic, volatility-adjusted safety net that scales with market noise to prevent premature stop-outs.
- Keltner Channels (volatility_filter) — Acts as a 'squeeze' and exhaustion filter; entries are only valid if price is within the bands to avoid chasing parabolic moves.
Known failure conditions
- KNN prediction flip-flops rapidly in a low-volatility environment (Keltner Squeeze).
- MSTOCH remains pinned at 0 or 100 for more than 15 bars, indicating a trend strength that the highpass filter cannot normalize.
- Average True Range (NNFX) remains below 20-period average for extended durations, leading to stagnant trades.
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