Tau-Trend Equilibrium Momentum

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: Equities, FX, Indices · Timeframes: 15M, 30M, 1H

Thesis

Strong market trends are characterized not just by price movement, but by high price-time correlation (NET) and expansion beyond equilibrium (Ichimoku). By entering on a momentum 'reset' (CCI) within a high-volatility regime (ADX), we capture the most efficient part of a trend. Using the opening range for exits aligns profit targets with that specific day's realized volatility.

Components

• Average Directional Index (regime) — Filters for periods of high trend intensity; we only enter when the market exhibits a non-random directional move (ADX > 25).
• Ichimoku Kinko Hyo (direction) — Establishes the macro-equilibrium bias. Price must be above/below the Kumo and Kijun-sen to define the trade direction.
• Commodity Channel Index (CCI) (entry) — Acts as a momentum trigger, catching 'pullbacks' or momentum surges when CCI crosses back from extreme levels into the trend direction.
• Trepidity Opening Range with Extensions (exit) — Provides structural profit targets based on the day's initial volatility expansion rather than arbitrary fixed percentages.
• Equity Line Projection (risk) — Calculates the stop-loss price and position size by finding the price point where the ProjectedEquity logic equals a 2% account drawdown.
• Ehlers Noise Elimination Technology (NET) (confirmation) — Confirms the quality of the trend using rank correlation, ensuring price movement isn't just noise or a single-bar anomaly.

Known failure conditions

• ADX remains below 20 for extended periods (chronic range-bound behavior).
• Opening range is consistently exceeded by 300%+ within the first hour (excessive volatility making extensions irrelevant).
• Projected equity calculations fail to find a valid stop-loss within 5 ATR of the entry price.

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