Sigmoid-Velocity Structural Breakout
Family: trend_following · Regime: trending · Complexity: medium · Asset classes: FX, Equities, Crypto · Timeframes: H1, M15
Thesis
Market trends do not move linearly; they undergo a phase transition from 'accumulation' to 'acceleration'. This strategy hypothesizes that the Sigmoid function can identify the acceleration phase, while the Flip Flop indicator captures the structural break. By only entering when tick-level velocity (Flexible Momentum) confirms participant urgency, we filter out low-conviction price movements that lead to whipsaws.
Components
- Logistic Function (SIGMOID) (regime) — Acts as a non-linear regime filter to identify when price has moved out of a mean-reverting state and into an acceleration phase (0.6+ for bulls, 0.4- for bears).
- Flip Flop Indicator (direction) — Establishes the structural direction by identifying when the market has breached the high/low of the previous opposing trend bars.
- TSI Convergence Divergence (TSI_CD) (entry) — Provides the tactical entry trigger when momentum acceleration (histogram color change) aligns with the primary trend.
- MACD Classic (3-Line) (exit) — Used for exit; specifically identifies trend exhaustion when the MACD line crosses the signal line in the opposite direction of the trade.
- ATR Heiken Ashi (risk) — Provides a smoothed volatility measure for stop-loss placement and dynamic position sizing, accounting for the reduced noise of HA candles.
- Flexible Momentum (volatility_filter) — Ensures the entry occurs during a high-velocity tick event, preventing entries during low-liquidity 'drift' phases.
Known failure conditions
- Consecutive periods where Sigmoid remains saturated at 0 or 1 while price reverses, indicating exhaustion not caught by the logistic curve.
- Market regimes where tick velocity (Flexible Momentum) remains below threshold despite significant price movement, suggesting high-slippage/thin order books.
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