SGF Polynomial-Momentum Trend Sync

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

Thesis

The strategy operates on the hypothesis that sustainable market trends are characterized by the synchronization of three distinct factors: price discovery (Aroon reaching new cycle highs), structural evolution (Elliott Wave pivots), and momentum acceleration (MACD). By using a Savitzky-Golay Filter, we minimize the lag usually associated with trend-following while filtering out high-frequency noise that triggers false MACD entries. The edge exists because major market participants typically wait for these structural and momentum signals to align before committing significant liquidity.

Components

• Aroon (regime) — Provides a binary filter to ensure we are only entering when the market has recently established a new high (or low) within the lookback window, signifying a fresh trend.
• Savitzky-Golay Filter (SGF) (direction) — Acts as a direction filter by calculating a local polynomial regression. Unlike a moving average, it preserves the 'shape' of the trend, requiring the slope to be positive for longs and negative for shorts.
• MACD Classic (entry) — Provides the specific execution trigger when momentum aligns with the identified trend and regime.
• Stochastic Oscillator (exit) — Used to capture mean-reversion exits within a trend; specifically, exiting long positions when the oscillator suggests momentum is exhausted (overbought).
• Elliott Wave [LuxAlgo] (risk) — Uses the system's automated pivot identification to place stop-losses at structural 'Wave' lows/highs (e.g., Wave 2 or Wave 4 pivots) and scale position size based on the distance to these structural floors.

Known failure conditions

• Continuous oscillation of Aroon between 50 and 70 without clear breakouts.
• Price hitting the Elliott Wave pivot stop-loss before the MACD signal line is crossed by the MACD line.
• SGF slope inversion immediately following MACD entry (whipsaw).

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