SGF-DSP Polynomial Cycle Trader
Family: hybrid · Regime: trending · Complexity: medium · Asset classes: FX, Equities, Indices · Timeframes: H1, H4
Thesis
The strategy assumes that price cycles within a smoothed polynomial trend (SGF) are most reliable when confirmed by volume (A/D) and occurring within the context of the previous day's high/low range. By entering at momentum extremes (CCI) and exiting at cyclical exhaustion (DSP), we exploit the tendency of markets to mean-revert to a local regression line before the broader cycle terminates.
Components
- Daily High Low MTF (regime) — Defines the structural boundaries of the previous day to establish if the current price is operating within or outside of historical value zones.
- Savitzky-Golay Filter (SGF) (direction) — Provides a low-lag, smoothed trend direction by using local polynomial regression, filtering out noise without the phase lag of a standard SMA.
- Commodity Channel Index (CCI) (entry) — Identifies momentum-based entry points where price is recovering from an oversold/overbought extreme within the established trend.
- Ehlers Detrended Synthetic Price (DSP) (exit) — Identifies the exhaustion of the short-term cycle to time exits before a mean-reversion reversal occurs.
- Q-Levels V2.2 (risk) — Utilizes externally sourced structural levels (gamma walls, expected moves) to set hard stop-loss and take-profit targets based on market structure.
- Accumulation/Distribution (A/D) Index (confirmation) — Confirms that price movement is supported by volume flow, ensuring that trend direction has institutional backing.
Known failure conditions
- SGF slope remains flat for extended periods (low volatility chop).
- Q-Levels data is stale or not updated to reflect current session expectations.
- A/D Index moves in opposite direction of SGF, indicating divergence and trend exhaustion.
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