L'mas-Ichimoku Trend-Liquidity Hybrid

Family: hybrid · Regime: trending · Complexity: medium · Asset classes: FX, Indices, Liquid Equities · Timeframes: 15m, 1H

Thesis

Market trends are most tradable when price momentum (Ichimoku) aligns with a structural shift in both price and average value (L'mas) relative to long-term volatility. By exiting at the VWAP (the daily 'fair value' anchor), the strategy captures the momentum burst while avoiding the late-stage trend decay often caught by trailing stops alone.

Components

• Max Bars Back Function Contexts Test (regime) — Ensures the historical buffer (t-100+) is populated to prevent calculation errors in the L'mas and Ichimoku systems.
• MA Channel Band (L'mas System) (direction) — Provides the primary directional filter; price and a secondary MA must both exit the 100-period channel to confirm a non-random trend.
• Ichimoku Kinko Hyo (entry) — Acts as the high-probability trigger; wait for a Tenkan/Kijun cross in alignment with the L'mas direction.
• Daily Volume-Weighted Average Price (VWAP) (exit) — Used for 'soft' profit taking or exhaustion exits; institutional mean-reversion levels often occur at intraday VWAP.
• Chandelier Exit (risk) — A volatility-based trailing stop that adjusts to market expansion/contraction for trade protection.
• ATR SL Finder (volatility_filter) — Filter to ensure the current candle volatility justifies entry (e.g., entry candle must not have a range significantly smaller than the ATR SL projection).

Known failure conditions

• Price remains range-bound within the MA Channel for > 50 bars, causing indicator convergence and lag.
• VWAP resets at session open causing immediate exit of positions held overnight due to price gaps.
• L'mas trend flips (histogram changes color) more than 3 times in 10 bars (high-noise environment).

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