Triple-Trend REI Momentum Strategy

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: Forex, Indices, Commodities · Timeframes: M15, H1, H4

Thesis

Sustainable market trends are characterized by a confluence of moving average direction, volatility-based support, and positive momentum. By requiring the HiLo Activator (trend) and SuperTrend (volatility/direction) to align with DeMark's REI (momentum) after a volatility expansion (ATR filter), we enter during the 'meat' of the trend while using a non-adaptive structural stop (Constant Range Channel) to avoid ATR-based stop-loss compression.

Components

• HiLo Activator (Pandini Version) (regime) — Provides the primary trend regime filter by tracking the moving average of highs/lows to identify the dominant market bias.
• SuperTrend & Pivots (direction) — Acts as a secondary trend confirmation and structural filter; the Daily Pivot ensures entries align with higher-timeframe value levels.
• Range Expansion Index (REI) (entry) — Identifies momentum shifts within the established trend, filtering out noise in non-trending phases via DeMark's price-action logic.
• SuperTrend (exit) — Provides a trailing stop-loss mechanism and trend-flip signal for hard exits.
• Constant Range Channel (risk) — Defines the hard stop-loss level and position sizing based on a fixed-volatility structural boundary.
• ATR SL Finder (volatility_filter) — Filters entries by ensuring volatility is expanding but not exhausted (ATR must be above its recent average).

Known failure conditions

• Successive 'staircase' shifts in the Constant Range Channel without price progress, leading to multiple stop-outs.
• Protracted sideways price action where the HiLo Activator and SuperTrend provide conflicting signals.
• Price oscillating around the Daily Pivot level (P) during low-liquidity sessions.

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