SSL-Ichimoku Integrity Trend Strategy

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

Thesis

Sustainable market trends occur when price structure (SSL) and institutional volume (CMF) align, but only if the trend is not yet statistically 'overextended' (RMSE). By entering on a secondary momentum trigger (Ichimoku) and exiting via a price-adaptive moving average (McGinley), we can capture the meat of a trend while avoiding extreme volatility blowouts.

Components

• UDT Array Push Identity Test (regime) — Acts as a data integrity filter; ensures the platform's UDT handling and array manipulation are functioning before executing logic.
• SSL Channel (direction) — Provides the primary trend bias using high/low SMA envelopes to reduce noise from median price fluctuations.
• Ichimoku Kinko Hyo (entry) — The Tenkan/Kijun cross serves as the momentum trigger for entry within the SSL-defined trend.
• McGinley Dynamic (exit) — A dynamic trailing exit that adjusts its 'speed' based on market volatility, aiming to stay closer to price than a standard EMA.
• Point Based Grid (risk) — Provides a non-volatile, fixed structural reference for stop-loss placement and position sizing.
• Chaikin Money Flow (CMF) (confirmation) — Confirms that price movement is backed by actual accumulation/distribution volume.
• Root Mean Squared Error (RMSE) (volatility_filter) — Filters out 'blow-off top' or 'flash crash' regimes where price dispersion from the EMA is statistically excessive.

Known failure conditions

• CMF remains near zero for extended periods, suggesting lack of institutional participation.
• SSL Channel whipsaws continuously within a range smaller than the Point Based Grid increment (30 points).
• The UDT Identity Test fails due to memory/runtime errors on specific high-frequency timeframes.

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