SuperSmoother Mitigation Impulse

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

Thesis

Market trends are most tradable when a structural displacement (Mitigation Block) is confirmed by low-lag digital filters (SSF/ALMA). The hypothesis is that entering on a Rate of Change (ROC) zero-cross following these conditions captures the 'meat' of the trend while using volatility-adjusted bands (Grid Bot) accounts for varying market noise levels, providing an edge over static-stop trend strategies.

Components

• Ehlers SuperSmoother Filter (regime) — Provides a lag-reduced trend regime filter. Only permits trades in the direction of the low-pass filter's slope to avoid counter-trend noise.
• Arnaud Legoux Moving Average (ALMA) (direction) — Acts as the directional anchor. By using a Gaussian distribution, it identifies the immediate trend direction with higher fidelity than a standard EMA, ensuring momentum is aligned with the 'mean' flow.
• Rate of Change (ROC) (entry) — Provides the high-velocity execution signal. A zero-line cross indicates a shift from negative to positive momentum, acting as a tactical trigger once the higher-level filters are met.
• Sherif Hilo (exit) — A trailing trend-stop mechanism that locks in profits based on the lowest low (for longs) or highest high (for shorts) over a significant lookback, preventing premature exits during minor retracements.
• Grid Bot [Grid range plugin] Two Moving Avarages [psyll] (risk) — Calculates a dynamic volatility band. The 'Base' (average of two MAs) minus 'Deviation' provides a statistically significant stop-loss level and determines position sizing based on current market expansion/contraction.
• ICT Mitigation Block Scanner (volatility_filter) — Ensures the trade occurs following a market structure shift. It filters out trades that lack a 'mitigation block'—a price action pattern signifying institutional displacement.

Known failure conditions

• Prolonged sideways 'crab' markets where SSF and ALMA produce oscillating slopes without price expansion.
• Frequent 'Stop Runs' where price breaches the Sherif Hilo exit only to immediately resume the prior trend.
• Low volume environments where ICT Mitigation Blocks are formed by noise rather than institutional displacement.

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