SAK-Squeeze Adaptive Extrapolator

Family: volatility · Regime: trending · Complexity: high · Asset classes: Equities, Forex, Crypto · Timeframes: 1H, 4H, 1D

Thesis

Momentum breakouts are most sustainable when they emerge from a volatility 'squeeze' (Carter Ratio) and are supported by both relative performance (Performance Table) and a smoothed second-order trend (SAK). By using linear BB extrapolation (GOM BB) to filter for expansion and the McGinley Dynamic to adaptively trail exits, the strategy captures the 'meat' of a move while avoiding late-stage volatility traps.

Components

• Max Bars Back Function Contexts Test (regime) — Ensures the historical data buffer is sufficient for the second-order IIR filters (SAK) and McGinley Dynamic to stabilize before signal generation.
• Swiss Army Knife Indicator (SAK) (direction) — Provides a smoothed, lag-reduced trend direction using a 2nd-order IIR filter, filtering out high-frequency noise that triggers false CCI entries.
• CCI / Connectable [Azullian] (entry) — Captures momentum-based entries when price recovers from oversold levels or breaks the zero-line during volatility expansions.
• McGinley Dynamic (exit) — Acts as an adaptive trailing exit that adjusts its speed based on price velocity, theoretically reducing lag during parabolic moves compared to EMAs.
• Performance Table (risk) — Used for asset selection (relative strength) and to derive stop-loss distance based on the asset's recent weekly volatility/performance percentage.
• TTM Squeeze (Carter Ratio version) (confirmation) — Confirms entries only during or immediately after a 'squeeze' (volatility compression), increasing the probability of a sustained momentum move.
• GOM BB Prediction (300 bars) (volatility_filter) — Filters out trades where the projected Bollinger Band slope indicates imminent contraction or mean-reversion, ensuring we trade into expansion.

Known failure conditions

• CCI signals fail to trigger within 5 bars of a TTM Squeeze release.
• Performance Table shows negative 3-month momentum for the asset, indicating a long-term bear regime.
• The GOM BB Prediction slope is flat (abs < 0.01), suggesting a dead-market or ranging environment.

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