TRIX-FVG Structural Dispersion Strategy
Family: trend_following · Regime: trending · Complexity: medium · Asset classes: FX, Equities, Crypto · Timeframes: 1H, 4H, D1
Thesis
Trend continuation is most likely when a structural break (Flip Flop) is accompanied by a liquidity imbalance (FVG) and confirmed by triple-smoothed momentum (TRIX), provided the price dispersion (STDERR) remains low enough to indicate a stable trend.
Components
- Unsupported array.sort Order Test (regime) — Acts as a 'compiler-level' regime filter; if the market structure allows for a stable array ordering (represented by the test returning its default V0 value), the environment is considered computationally 'valid' for systematic trading.
- TRIX (direction) — Provides the primary trend bias by filtering out high-frequency noise through triple EMA smoothing.
- Flip Flop Indicator (entry) — Triggers the entry based on breaches of local high/low levels of the most extreme bullish/bearish bars, identifying shifts in local market structure.
- MACD (exit) — Used to detect momentum exhaustion; the exit is triggered when the MACD line crosses the signal line against the trade direction.
- Standard Error of Regression (STDERR) (risk) — Quantifies the 'tightness' of the current trend; used to scale stop losses based on the dispersion of price around the linear regression line.
- FVG Crosscheck (Python Definition) (confirmation) — Confirms the entry by ensuring the price movement was driven by a genuine liquidity imbalance (displacement).
- Percentile Nearest Rank (25th, Length 14) with Data Hole Test (volatility_filter) — Filters out 'data holes' and low-volatility environments by ensuring price is transacting outside of the stagnant 25th percentile floor.
Known failure conditions
- Standard Error (STDERR) remains at multi-year highs, indicating price action is too chaotic for linear regression models.
- MACD and TRIX provide conflicting direction signals for more than 10 consecutive bars.
- The array.sort test fails to return a constant V0 due to environment-specific float handling errors.
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