Laguerre-Chandelier Structural Momentum Strategy

Family: trend_following · Regime: trending · Complexity: high · Asset classes: Forex, Equities, Crypto · Timeframes: H1, H4, D1

Thesis

Market trends persist due to institutional inertia, but entries are often mistimed; by using a low-lag Laguerre RSI to find pullbacks within a volatility-defined trend (Chandelier), and anchoring risk to structural reversal pivots (Engulfing), we can capture trend extensions with a high reward-to-risk ratio.

Components

• Type Declaration Coverage Template (regime) — Used as a structural logic framework to manage complex UDTs and collections for persistent state across bar updates.
• Chandelier Exit Heiken Ashi Variant (direction) — Determines the primary trend bias and provides dynamic volatility-adjusted trend-following filters.
• MACD (entry) — Identifies the impulsive momentum shifts required to enter a trade within the Chandelier trend.
• Stochastic Oscillator (exit) — Signals profit-taking points when short-term momentum becomes exhausted against the primary trend.
• Roshaneforde Pivot Levels (risk) — Provides structural price levels from engulfing patterns for hard stop-loss placement and risk-to-reward calculation.
• Laguerre RSI (confirmation) — Filters MACD signals to ensure entry occurs after a minor retracement (mean-reversion within a trend).

Known failure conditions

• Price fails to respect engulfing pivot levels, resulting in consecutive stop-outs regardless of trend.
• Laguerre RSI stays pinned at extremas for over 50 bars, indicating a trend momentum too strong for the MACD/Stochastic logic to catch pullbacks.
• ATR volatility collapses below the spread, making the Chandelier Exit (ATR 1.0) unmovable.

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