Lorentzian USD Macro-Regime Hybrid
Family: hybrid · Regime: trending · Complexity: high · Asset classes: FX Major Pairs, Gold (XAUUSD) · Timeframes: H1, H4
Thesis
The strategy hypothesizes that currency pair trends are most persistent when aligned with the US Dollar Index (USDX) macro regime and confirmed by the Accumulation Swing Index's 'true' direction. By applying a Lorentzian Classification (ML) to this filtered environment, we can identify historical price patterns that have a statistical edge during volume expansions (RVOL), while utilizing the Relative Vigor Index (RVI) to exit as momentum conviction reaches a mathematical exhaustion point.
Components
- USDX (US Dollar Index) Tracker (regime) — Provides the global macro regime. If the US Dollar is trending, it increases the probability of sustained moves in constituent pairs (USD-denominated assets).
- Accumulation Swing Index (ASI) (direction) — Acts as a filter for 'true' price direction, filtering out noise by comparing price relationships across two bars.
- Lorentzian Classification (entry) — Uses non-Euclidean distance (Lorentzian) to identify recurring historical patterns in a multi-dimensional feature space, providing a high-probability entry trigger.
- Relative Vigor Index (RVI) (exit) — Identifies exhaustion in momentum; when the close relative to the range begins to falter, it signals a high-probability exit point before a full reversal.
- RVOL (Relative Volume) (risk) — Ensures that entries and stop-loss placement are adjusted for market participation levels, preventing entry on low-liquidity noise.
- DEMA 200 & ADX Combined HUD (confirmation) — Provides multi-timeframe trend confirmation. DEMA reduces lag while the ADX threshold ensures we only enter during periods of high trend strength.
Known failure conditions
- Constituent currency pairs of the USDX become un-correlated (regime breakdown).
- Market enters a prolonged tight range where Lorentzian distance features produce conflicting K-NN results.
- High volatility without volume (RVOL < 1.0) leads to widening stops and whipsaws.
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