Recursive Volume Momentum Alpha

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

Thesis

True market trends are characterized by 'Informed Volume' (Rank 1/4) and low relative prediction error (MAPE). By using a recursive filter to identify the heavy inertia of the trend and Laguerre RSI to time the momentum 'kick,' we can enter high-probability moves and exit using momentum exhaustion (MACD Histogram) before the trend fully reverses. Structural levels (Q-Levels) provide the necessary 'fear/greed' anchors for stop placement that purely mathematical stops lack.

Components

• Price Volume Rank (PVR) (regime) — Identifies 'High Interest' regimes (Rank 1 for long, Rank 4 for short) where volume confirms the price move, filtering out low-conviction fluctuations.
• Recursive Moving Average Unlimited (direction) — Provides the primary trend filter. The recursive smoothing creates a 'heavy' baseline that requires significant momentum to cross, preventing whipsaws in minor pullbacks.
• Laguerre RSI (entry) — Uses the 'Gamma' dampening effect to provide an entry trigger that is less laggy than standard RSI but more stable than a simple price crossover.
• GoldenChart MACD (exit) — The color-coded histogram serves as a momentum exhaustion signal, exiting the trade when the difference between MACD and Signal lines begins to collapse.
• Q-Levels V2.2 (risk) — Acts as the structural anchor. Stop losses are placed at the nearest horizontal level parsed from the text input, providing 'institutional' context for risk.
• Mean Absolute Percentage Error (MAPE) (volatility_filter) — Filters out trades during periods of extreme price-to-model deviation, which often signal blow-off tops or unsustainable volatility.

Known failure conditions

• If the Q-Levels text string is not updated, the risk management reverts to a fixed percentage, potentially leading to stops too wide for current volatility.
• In high-frequency noise environments, the Laguerre RSI may pin at 0 or 1, missing entries entirely.
• If volume data is unavailable or synthetic (some FX brokers), the PVR regime filter becomes arbitrary.

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