Matrix-Linearity Momentum Framework

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

Thesis

Market trends are most tradable when price moves in a linear, monotonic fashion relative to time. By using the Spearman Rank Correlation (RCI) to filter MACD signals, we isolate 'structured' trends from random volatility spikes. Exits are timed using the low-lag RSX to capture the meat of the move before momentum fully reverses.

Components

• Matrix Shape Consistency Test (regime) — Acts as a structural gatekeeper; if the computational environment cannot maintain matrix integrity (shape_total != 3), the strategy halts to prevent execution on corrupted data states.
• MACD Demo Implementation (direction) — Provides the primary directional bias based on exponential moving average crossovers, filtering for medium-term momentum.
• Rank Correlation Index (entry) — Measures the linearity of the price move. Entry is triggered when price-time rank correlation confirms a structured trend rather than a noise-driven spike.
• Relative Strength Quality Index (RSX) (exit) — Uses Jurik-style smoothing to identify momentum exhaustion with minimal lag, serving as a sensitive exit trigger before price mean-reverts.
• ATR Stop Loss Finder (risk) — Calculates volatility-adjusted stop levels to account for current market noise and define risk-per-trade.

Known failure conditions

• RCI remains pinned at +/- 90 while price moves sideways (loss of rank-order significance).
• MACD signal line crossovers occur with zero slope (flat momentum).
• Matrix Shape Consistency Test fails (shape_total != 3), indicating structural runtime errors.

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