Matrix Stability Momentum Filter

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

Thesis

Market momentum is only exploitable when the underlying data structure is stable (Regime) and micro-directional velocity (Direction) aligns with smoothed momentum (Confirmation). By filtering MACD signals through these layers, we avoid 'false starts' in choppy matrices.

Components

• Matrix Predicate Property Tester (regime) — Used to filter out periods of 'structural instability.' A True Range of 0 on the boolean property test suggests a consistent data state, while TR > 0 indicates rapid state changes (noise).
• Profile dynamic series history for-in result miss (direction) — Acts as a high-frequency directional filter, ensuring the current price is physically above/below where it was 3 bars ago to prevent entering against micro-momentum.
• Moving Average Convergence Divergence (MACD) (entry) — Provides the primary execution trigger via signal line crossovers when momentum aligns with the broader filters.
• ADX / Connectable [Azullian] (exit) — Used to detect trend exhaustion. When the ADX slope turns negative, it signifies the trend is losing strength, triggering a defensive exit.
• Average True Range (NNFX) (risk) — Provides a volatility-adjusted foundation for stop-loss placement and position sizing to maintain constant dollar-risk.
• Average Force (confirmation) — Confirms that the close is positioned favorably within the recent high-low range, filtering out MACD signals that occur during weak price action.

Known failure conditions

• Strategy enters a 'no-trade' vacuum if the Matrix Tester TR remains > 0 for extended periods during valid trends.
• MACD signals frequently occur exactly as ADX hits exhaustion, leading to immediate exits.
• 3-bar lag filter creates excessive friction in slow-moving markets, missing the start of major moves.

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