Rank-Efficiency Momentum Scalpel

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

Thesis

Market trends are most tradable when price appreciation is consistent (measured by RCI) and provides high returns relative to its volatility (ROC/HV). By aligning these factors with a multi-pair regime, we filter for 'high-quality' momentum moves that have a higher probability of follow-through than raw price breakouts.

Components

• ProfitRobots Dashboard Template (regime) — Provides a multi-symbol filter to ensure the trade is taken in the direction of broad USD strength or weakness (basket regime).
• CCI Arrows (direction) — Identifies the moment momentum shifts from negative to positive (midline cross) relative to the recent mean.
• Rank Correlation Index (entry) — Uses Spearman's Rank Correlation to confirm that price is not just moving, but trending in a statistically consistent relationship with time.
• CCI / Connectable [Azullian] (exit) — Provides a secondary, slower CCI calculation to identify momentum exhaustion for exit signals.
• Support and Resistance (Fractal-based) (risk) — Uses market structure (Bill Williams Fractals) to set hard stops at the last established swing high/low.
• Annualized ROC / HV Ratios (volatility_filter) — Filters for periods where the rate of change is high relative to historical volatility, identifying 'efficient' moves over 'noisy' ones.

Known failure conditions

• The ROC/HV ratio remains near zero for extended periods, indicating a low-volatility environment where momentum signals fail.
• Fractal levels are too far from entry, resulting in unfavorable R:R ratios (>1:1 initial).
• RCI remains pinned at +/- 90 for entire moves, preventing entry on strong breakouts.

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