Sigmoid-KAMA Activation Trend-Follower

Family: trend_following · Regime: trending · Complexity: high · Asset classes: Equities (specifically US30/DJIA) · Timeframes: H1, H4

Thesis

Trends are only tradeable when they achieve a specific 'activation energy'—defined here by a logistic transformation of price momentum (Sigmoid) and an efficiency-adjusted trend (KAMA). By only entering when volume (MFI) confirms the move and price structure (t_ma) shows inertia, we filter out the noise inherent in ATR-based trailing stops. The reliance on hardcoded structural levels (Probable High/Low) assumes that markets operate within predictable volatility bands during specific macro cycles.

Components

• MultiKAMA (TyphooN) (regime) — Acts as the primary regime filter; the Efficiency Ratio (ER) ensures the market is in a 'efficient' trending state rather than a low-liquidity 'stair-stepping' state.
• t_ma (Smoothed LWMA) (direction) — Provides secondary trend confirmation by comparing a linear weighted average to its own 6-period smoothing, ensuring the trend has sufficient inertia.
• UTBot Alerts (entry) — Generates the execution signal based on an ATR trailing stop crossover, capturing the moment volatility-adjusted momentum shifts.
• Money Flow Index (MFI) (exit) — Used to exit positions when volume-weighted momentum reaches exhaustion levels (overbought/oversold) or loses strength.
• Probable High Low (risk) — Provides hardcoded structural boundaries for stop-loss placement and position sizing, specifically tuned for the US30 index.
• Logistic Function (SIGMOID) (volatility_filter) — Filters out entries where price acceleration hasn't reached a critical 'activation' threshold (sigmoid value) to avoid low-energy whipsaws.

Known failure conditions

• Price permanently breaches the hardcoded Probable High/Low range (32889 - 33678), rendering the risk component obsolete.
• Indicator lag from double-smoothed t_ma exceeds the average trend duration, leading to late entries.
• Market enters a low-volume regime where MFI fails to reach exhaustion levels, trapping the strategy in 'zombie' trades.

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