Savitzky-Golay Structural Trend System

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: FX, Equities, Indices · Timeframes: M15, H1

Thesis

Market trends are most tradable when high-frequency noise is smoothed without introducing the lag of traditional averages, and when participation (volume) confirms the validity of a macro-trend breakout. By using Savitzky-Golay filtering for regime detection and MFI for volume-weighted momentum, we can enter during pullbacks in a high-conviction trend.

Components

• Savitzky-Golay Filter (SGF) (regime) — Filters noise to determine the primary trend regime without the typical lag of an SMA.
• 200-Day Trend Background (Smoothed Volume Gradient) (direction) — Filters for high-confidence institutional directionality confirmed by volume intensity at a macro level.
• Money Flow Index (MFI) (entry) — Provides the trigger by identifying temporary volume-weighted exhaustion within the macro trend.
• Heikin-Ashi Candles (exit) — Filters out counter-trend noise; trend reversal in HA candles provides an objective exit for mean-reversion trades.
• Boxline (Dynamic Range Breakout) (risk) — Sets hard stops and risk-per-trade based on the most recent structural breakout levels.
• ProfitRobots Dashboard Template (confirmation) — Ensures the signal is not an isolated anomaly by checking trend alignment on M30/H1 timeframes.

Known failure conditions

• Persistent low-volume environments where MFI fails to reach extreme levels.
• Whipsaw markets where Boxline levels are breached immediately after formation.
• Timeframe mismatch where HTF slope is positive but local SGF is negative.

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