Log-Variance Adjusted Body Momentum Trader

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: Equities, FX, Crypto · Timeframes: H4, D1

Thesis

Market trends are most sustainable when characterized by low logarithmic variance (MSLE) and 'physical' buying pressure (candle body size dominance). By filtering for assets with high relative performance and entering on tactical stochastic pullbacks, the strategy captures the core of a trend while using structural breakouts (Donchian) to protect capital.

Components

• Size Highs and Lows 2 (regime) — Identifies a 'momentum regime' by ensuring the net delta of candle body sizes is expanding in the direction of the trade.
• Bears Power (direction) — Provides the directional filter; if Bulls are stronger than the 13-EMA (Bears Power > 0) or vice versa, it defines the bias.
• Stochastic Oscillator (entry) — Used to time entries on local mean-reversion pullbacks within the established trend.
• Donchian Channels (exit) — Acts as a trailing stop and exit mechanism based on breach of local price extremes.
• Performance Table (risk) — Filters assets based on relative strength (YTD/1M) and dictates position sizing based on performance-weighted conviction.
• Mean Squared Logarithmic Error (MSLE) (volatility_filter) — Filters out high-variance/erratic noise; entries are only permitted when MSLE is below a threshold, indicating stable price growth.

Known failure conditions

• Price action becomes dominated by gaps rather than candle body sizes, rendering the Regime indicator useless.
• High correlation across the Performance Table symbols leads to simultaneous liquidations.
• MSLE remains perpetually high during 'fast' trending markets, causing the strategy to miss the bulk of the move.

Explore the full interactive blueprint, parameter ranges and evidence on WOBR StrategyVerse, or generate this strategy as an MT4/MT5 Expert Advisor with QuantMogul AI Engine.