Triple-Smoothed Session Momentum Corridor
Family: trend_following · Regime: trending · Complexity: high · Asset classes: FX, Crypto (BTC/USD)快速回, Equity Indices · Timeframes: M15, H1
Thesis
This strategy assumes that the combination of a triple-smoothed momentum filter (TRIX) and a volatility-based regime filter (Chandelier) identifies high-probability 'trend corridors'. By entering only when price is on the trending side of the session's midpoint and the ADX directional indexes cross, we exploit the behavioral tendency of markets to maintain intraday direction once a session range has been significantly breached. The use of the Session High/Low for stop placement leverages local market structure to define 'the point of failure' for the intraday trend.
Components
- Chandelier Exit (regime) — Establishes the macro-volatility regime; ensures we only trade in the direction of the established volatility-adjusted trend.
- TRIX (direction) — Filters out minor noise via triple-smoothing to ensure momentum is structurally sound before entry.
- ADX Crossing INGM (entry) — Detects the specific moment of directional strength shift via +DI/-DI crossover.
- Parabolic SAR (exit) — Provides an accelerating trailing stop that tightens as the trend matures, protecting capital against sudden reversals.
- Session Range (High/Low/Mid) (risk) — Uses market structure levels (Session High/Low/Mid) to anchor stop losses and filter entries relative to intraday value.
- Scalping BTC/USD - EMA & RSI (confirmation) — Acts as a secondary confluence to ensure price action (EMA) and relative strength (RSI) support the entry signal.
Known failure conditions
- Indicator 'ADX Crossing INGM' displays hindsight bias in backtests due to i-1 buffer shifts, resulting in unrealistic historical performance.
- Prolonged periods of the 'Session Range' Midpoint acting as a magnet rather than a pivot, causing mean reversion losses.
- PSAR trailing stops being hit prematurely in high-volatility 'expanding triangle' formations.
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