Savitzky-Laguerre Adaptive Trend System

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

Thesis

Trend inertia is most profitable when caught early after a congestion phase. By using Savitzky-Golay filters to define the trend regime, we reduce the lag typically found in moving averages. The hypothesis is that entering on a Laguerre RSI 'recovery' signal within a verified VHF trend provides a higher win rate than blind trend-following, as it captures the resumption of momentum after a brief pause.

Components

• Savitzky-Golay Filter (SGF) (regime) — Provides a denoised trend slope that preserves local price peaks better than EMA, serving as the primary regime filter.
• Momentum (direction) — Confirms that the short-term price velocity aligns with the SGF trend direction.
• Laguerre RSI (entry) — Provides the tactical entry signal; its low-lag nature captures the exact moment momentum resumes after a minor consolidation.
• SuperTrend (exit) — A robust trailing stop that adapts to volatility, closing the trade when the trend structure breaks.
• Constant Range Channel (risk) — Defines the initial risk envelope and position sizing based on a fixed price structural boundary rather than lagging indicators.
• Vertical Horizontal Filter (VHF) (volatility_filter) — Acts as a gatekeeper to ensure the strategy only operates when the market is sufficiently trending (VHF > threshold), avoiding whipsaws in ranging markets.

Known failure conditions

• Prolonged periods of 'staircase' price action where CRC resets frequently without trend follow-through.
• Market regimes where high-frequency noise exceeds the SGF polynomial order, leading to false trend slopes.
• VHF staying persistently below 0.3 while price drifts slowly, preventing entry into 'creeping' trends.

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