Ordered Volatility Force Strategy

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: FX, Equities, Crypto · Timeframes: M5, M15

Thesis

Intraday price momentum is only tradable when it is 'orderly'—defined as volume-backed movement that exceeds a force threshold (TDFI) and stays outside of immediate historical price boxes. By triggering on a hyper-sensitive ATR crossover but filtering for structural order, the strategy seeks to enter at the earliest possible moment of a session-level trend while using session-start volatility as an anchor for risk.

Components

• Unsupported array.sort_indices Order (regime) — Used to define the 'Orderliness' of price. We interpret the failed sorting logic as a requirement for non-random price structure: entering only when current price exceeds the 'box' range of the previous N periods (ordered expansion).
• Supported indicator max boxes count (direction) — Provides the visual price trend baseline to ensure the UT Bot signal aligns with the broader visual 'box' (price channel) structure.
• UT Bot Alerts (MQL5) (entry) — The primary execution trigger. It uses a hyper-sensitive ATR-1 trailing stop to catch the immediate genesis of a momentum shift.
• Equity Line Projection (exit) — A dynamic trailing exit mechanism. Positions are closed if the projected account equity (based on the current floating P&L) hits a pre-defined Fibonacci expansion level calculated by the ATR Fib tool.
• ATR Fib (risk) — Sets the structural boundaries for the trade. Uses session-based ATR levels to determine the 'gravity' of the current price relative to the daily open.
• Volume Accumulation (VA) (confirmation) — Acts as a volume-weight filter. Ensures that the UT Bot signal is supported by 'Accumulation' (price closing above the bar midpoint) rather than low-volume noise.
• Trend Direction and Force Index (TDFI) (volatility_filter) — Filters out low-velocity environments where the ATR-1 UT Bot signal would otherwise generate excessive whipsaws. Entry occurs only when force exceeds the dead_zone.

Known failure conditions

• ATR Fib levels remain static across multiple sessions (indicating a failure in session logic/volatility collapse).
• UT Bot signals occur more than 5 times in a 20-bar window (regime is too choppy for the ATR-1 sensitivity).
• Volume Accumulation remains flat while price trends (divergence indicating lack of liquidity).

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