Log-Cycle Structural Hybrid Strategy

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

Thesis

Price action follows a fractal structure where cyclical oscillations (measured by DSP) occur within directional regimes. By requiring both market structure (ZigZag) and moving averages (SMA) to align, we filter for high-probability cycles. The addition of the Mean Squared Logarithmic Error (MSLE) provides a 'sanity check,' ensuring that we do not enter when the price has moved so far in log-terms that a mean-reversion event is statistically more likely than a cycle continuation.

Components

• ZigZag (regime) — Used to identify the last 'locked' market structure pivot (Swing High/Low) to ensure we are trading in the direction of the macro structural break.
• Simple Moving Average (SMA) (direction) — Acts as a secondary trend filter to ensure the cycle-based entry aligns with medium-term momentum.
• Ehlers Detrended Synthetic Price (DSP) (entry) — Extracts the dominant cycle component; the zero-line crossover serves as the primary entry trigger once trend and structure are aligned.
• RSI Area (Histogram) (exit) — Identifies overextended momentum conditions for profit taking, providing a counter-cyclical exit signal.
• TMA Risk Panel (risk) — Standardizes risk by calculating position size based on ATR-derived volatility, ensuring equity protection.
• Mean Squared Logarithmic Error (MSLE) (volatility_filter) — Filters out entries during periods of extreme log-price dislocation (tail risk) where cyclical assumptions typically fail.

Known failure conditions

• ZigZag pivots constantly being invalidated (choppy/sideways structure).
• DSP producing high-frequency zero-line oscillations without price follow-through.
• MSLE remaining at extreme highs during sustained parabolic runs, causing missed entries.

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