Regex-Filtered Liquidity Gap Trend Follower
Family: trend_following · Regime: trending · Complexity: high · Asset classes: Equities, Forex, Crypto · Timeframes: H1, H4
Thesis
The strategy hypothesizes that significant price trends are initiated by momentum breakouts (CCI) from low-volume nodes (Supply/Demand 'Key Zones') where liquidity is sparse. By aligning these breakouts with a macro trend (PSAR) and filtering for 'computational stability' (Regex Test), the system enters when the path of least resistance is clearest. The use of a hyper-sensitive trailing exit (Chandelier ATR 1) acknowledges that these moves are often parabolic and prone to sharp reversals.
Components
- String match invalid regex Test (regime) — Acts as a 'complexity filter'. If the regex engine returns a non-zero match length on intentionally invalid syntax, it indicates an environment of high data entropy or non-standard string patterns in the symbol metadata, signaling a regime too unstable for technical patterns.
- Parabolic SAR (Standard) (direction) — Provides the primary trend bias. Only long trades are considered when price is above the SAR dots, and short trades when below.
- Commodity Channel Index (CCI) (entry) — Used to identify momentum breakouts. Crosses of the +/- 100 levels signal that price is deviating significantly from the mean, providing the entry trigger.
- Chandelier Exit Heiken Ashi Variant (exit) — Used as a hyper-sensitive trailing exit. The Heiken Ashi smoothing combined with a tight ATR multiplier (0.75) ensures capital is preserved at the first sign of trend exhaustion.
- Dynamic Supply and Demand Zones [AlgoAlpha] (risk) — Identifies low-volume 'Key Zones' representing liquidity gaps. These zones serve as the logical foundation for stop-loss placement and position sizing based on structural support/resistance.
Known failure conditions
- If price spends more than 50% of the lookback period within a single Dynamic Zone, indicating the 'liquidity gap' hypothesis is void.
- If the Chandelier Exit triggers more than 3 consecutive times within a single PSAR trend, indicating the ATR multiplier is too tight for the current volatility.
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