Triple-Filter Temporal Momentum Strategy

Family: trend_following · Regime: trending · Complexity: high · Asset classes: Equities, FX Major Pairs, Crypto Top 10 · Timeframes: M15, H1

Thesis

Trend-following profitability is maximized when structural breakouts (Three-Line Break) coincide with the statistical 'birth' of a new trend (Aroon) and positive momentum (ADX). By filtering for high-liquidity sessions, we avoid noise-induced false signals, and by using volatility-adjusted stops (Chandelier) alongside exhaustion exits (Bollinger Bands), we capture the most efficient portion of a trend move before reversal.

Components

• Aroon (regime) — Serves as the primary regime filter to ensure the trend is 'fresh' (AroonUp > 70) rather than exhausted.
• Three-Line Break (TLB) with MA (direction) — Filters noise via non-time-based price action (TLB) and provides a secondary trend direction via the EMA.
• ADX / Connectable [Azullian] (entry) — Requires positive momentum (ADX rising) and directional strength (DI+ vs DI-) to confirm entries.
• Bollinger bands / Connectable [Azullian] (exit) — Identifies volatility exhaustion; used as a mean-reversion exit to lock in profits before reversals.
• Chandelier Exit (Heiken Ashi) (risk) — Provides a volatility-sensitive trailing stop and hard stop-loss based on smoothed Heiken Ashi price action.
• Calendar Session Utility (volatility_filter) — Restricts trading to high-liquidity hours where trend-following signals are more reliable and spreads are tighter.

Known failure conditions

• If Aroon remains below 50 for extended periods, the strategy will fail to enter any trades (regime lock).
• Consecutive 'three-line' reversals in the TLB indicator without price follow-through (whipsaw).
• ADX rising during a period of decreasing volatility (volatility divergence).

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