Lorentzian ICT Sweep Hybrid

Family: hybrid · Regime: high_vol · Complexity: high · Asset classes: FX, Indices, Crypto · Timeframes: M5, M15

Thesis

The strategy operates on the hypothesis that price action during the New York session open is driven by 'liquidity hunting' where price briefly breaches structural levels to trigger stops before reversing. By filtering these 'sweeps' with a Lorentzian ML classifier (to ensure historical context similarity) and ALMA-smoothed momentum (Trendilo/MACD), we can differentiate between true breakouts and manipulative sweeps. The exit relies on Ehlers' Center of Gravity to identify the mathematical exhaustion of the ensuing correction.

Components

• Lorentzian Classification (regime) — Determines the probability of trend continuation vs. reversal by finding historical price action clusters using non-Euclidean distance.
• Fisher Transform (EarnForex) (direction) — Normalizes price distribution to flag extreme momentum extensions and potential cycle turns.
• The Daily Sweep (entry) — Identifies price action 'manipulation' where liquidity is taken above/below previous highs/lows during high-volume hours.
• Ehlers Center of Gravity (CG) (exit) — Provides a zero-lag identifier of the cycle balance point to exit before a reversal occurs.
• Roshaneforde Pivot Levels (risk) — Uses price action engulfing/reversal structures to provide hard horizontal support/resistance for stop placement.
• MACD (confirmation) — Confirms that the momentum is accelerating in the direction of the sweep recovery.
• Trendilo MT5 (volatility_filter) — Filters out low-volatility 'noise' by ensuring price movement exceeds a smoothed cumulative variance threshold.

Known failure conditions

• Successive failures of Daily Sweep entries where price does not return to the FVG but continues to trend through the liquidity pool.
• Lorentzian Classification confidence drops below 50% for extended periods (unclassified regime).
• Market enters a 'Limit Up/Limit Down' or extremely low volatility state where Trendilo stays flat.

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.