Session Momentum & Macro Risk Flow

Family: hybrid · Regime: trending · Complexity: high · Asset classes: FX Majors, Equity Indices (SPX500, GER40), Gold · Timeframes: M15, H1

Thesis

Intraday momentum is a function of institutional liquidity flow, which is most predictable when global macro stress (liquidity/volatility/credit) is low. By identifying the session 'value' (Midpoint) and entering only when momentum (MACD) and trend (PSAR) align outside this value zone during stable macro windows, we capture high-probability flow. The use of a zero-lag exit allows us to capitalize on trend exhaustion before it reverts to the session mean.

Components

• Session Range (High/Low/Mid) (regime) — Defines the intraday 'value area'. Trading above the mid-point in a bullish macro environment signifies institutional accumulation within the session.
• Parabolic SAR (Standard) (direction) — Ensures entry is aligned with the immediate directional trend and provides a secondary layer of trend persistence.
• MACD Classic (3-Line) (entry) — Provides the specific momentum trigger when the MACD line crosses the Signal line in the direction of the session bias.
• Zero Lag Least Squares Moving Average (ZLSMA) (exit) — Used as a sensitive trailing exit to capture the meat of the move while exiting before significant mean reversion to the session mid.
• Macro Risk Dashboard v8.2 (risk) — Calculates the 'safe-to-trade' window. If cross-market stress is too high (Z-score > 2), positions are either avoided or scaled down.
• Average Force (confirmation) — Confirms that price is currently positioned strongly relative to its recent High-Low range, filtering out weak MACD crosses.
• ATR SL Finder (volatility_filter) — Provides a volatility-adjusted floor (for longs) or ceiling (for shorts) to place initial technical stops.

Known failure conditions

• Macro Risk Dashboard remains in 'High Stress' (>75) for extended periods while price trends, indicating the dashboard is decoupled from the specific asset.
• The strategy produces >5 consecutive losses in a 'Ranging' session where price oscillates around the Session Midpoint.
• Price frequently hits ATR SL levels before moving toward the ZLSMA exit, indicating the ATR multiplier is too tight for the current regime.

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