RAE-Persistent Gator Momentum

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

Thesis

Market trends are most tradable when price movement exhibits statistical persistence (ACF) and volatility is in an 'expanding' phase (Gator). By using Relative Absolute Error (RAE) to measure the reliability of our SMA trend-model, we can dynamically reduce exposure when price deviates from the model in an erratic, non-persistent fashion. The entry is timed via momentum (CCI) to ensure participation only as the trend regains velocity.

Components

• Unsupported array.range UDT method (regime) — Acts as a 'logic-gate' regime filter; the strategy only operates if the system diagnostic (attempting to calculate ranges on user-defined types) returns a null/stable state, implying a specific computational environment.
• Simple Moving Average (SMA) (direction) — Provides the primary directional filter, ensuring trades are only taken in the direction of the established medium-term trend.
• CCI Arrows (entry) — Identifies momentum shifts as price crosses the zero-line, serving as the immediate trigger for market entry.
• SuperTrend (exit) — A trailing stop-and-reverse mechanism that captures the bulk of a trend move while accounting for ATR-based volatility.
• Relative Absolute Error (RAE) (risk) — Quantifies the 'model failure' risk; high RAE suggests price is deviating unpredictably from its mean, necessitating smaller positions.
• Autocorrelation Function (ACF) (confirmation) — Confirms trend persistence (positive autocorrelation) versus mean-reversion (negative autocorrelation) to filter out noise.
• Gator Oscillator (volatility_filter) — Filters for 'active' market phases (eating) where volatility is expanding, avoiding 'sleeping' sideways markets.

Known failure conditions

• If ACF remains near zero for extended periods, the strategy will enter late or get whipsawed.
• RAE values approaching 1.0 indicate the trend model (SMA) has no more predictive power than a simple mean.
• Logic errors in the UDT diagnostic (Regime) preventing execution in modern compilers.

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