MTF Structural Pullback with MdAE Risk Scaling

Family: pullback · Regime: trending · Complexity: medium · Asset classes: Equities, Forex, Commodities · Timeframes: M30, H1, H4

Thesis

Price trends are persistent across timeframes; by entering during a short-term momentum pullback (Stochastic) that aligns with long-term structural trendlines (Multi-MA) and positive momentum (ROC), we capture the resumption of the primary trend while using median-based volatility (MdAE) to filter out noise-induced stop-outs.

Components

• MA(x6) Multi-Timeframe Visualizer (regime) — Defines the structural regime by requiring current price to be on the correct side of the long-term (Daily/Weekly) trend projections.
• Rate of Change (ROC) (direction) — Ensures momentum is aligned with the regime to avoid entries during exhaustive 'blow-off' phases or mean-reversion counter-trends.
• Stochastic Oscillator (entry) — Provides tactical entry timing by identifying short-term pullbacks (oversold/overbought) within the established trend.
• McGinley Dynamic (exit) — Acts as an adaptive trailing stop/exit that adjusts its 'speed' based on price volatility, locking in gains better than a standard MA.
• Median Absolute Error (risk) — Measures recent price stability (unpredictability); used to scale position size and set initial stop distance based on robust volatility.

Known failure conditions

• Strategy fails if price consistently oscillates around the MA6 (Monthly) and MA5 (Weekly) projections without direction.
• Fails if MdAE spikes significantly during entries, indicating the 'actual-predicted' error is too high for the tactical entry to hold.

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