Regex-Filtered Volume Momentum Breakout

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

Thesis

Price moves supported by high tick volume and positive momentum are more likely to persist through the Bollinger Mid-line. By filtering for low-spread environments and validating symbol naming conventions via regex, the strategy ensures it only operates on high-liquidity, standardized assets where transaction costs do not exceed the momentum edge.

Components

• String match invalid regex Test (regime) — Acts as a symbol-validity and metadata regime filter; only executes on symbols matching the naming convention (e.g., standard 6-character FX pairs), simulating a universe selection logic.
• Momentum (Example) (direction) — Establishes the directional bias (bullish/bearish) by comparing current price to historical price.
• Bollinger Bands (entry) — Triggers entry on a mean-reversion cross of the middle band (SMA) following volatility contraction.
• Relative Vigor Index (RVI) (exit) — Identifies when price conviction is waning via signal line crossovers to exit positions before reversals.
• Spread Display and Alert (risk) — Determines trade viability and position sizing based on real-time transaction costs to prevent trading in illiquid gaps.
• Volume Moving Average (VOLMA) (volatility_filter) — Filters for 'true' moves by requiring that price action is supported by tick volume higher than the recent average.

Known failure conditions

• Momentum remains pinned at extreme levels (overbought/oversold) while price oscillates within Bollinger Bands.
• Spread stays consistently above the threshold, preventing all entries during high-volatility events.
• Tick volume on the specific broker fails to correlate with actual market liquidity.

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