Truncated Cycle Fractal Expansion System

Family: hybrid · Regime: trending · Complexity: high · Asset classes: FX, Equities, Crypto · Timeframes: H1, H4

Thesis

The strategy bets that price follows a dominant cycle that can be isolated by the TBF. Edge is found by entering only when short-term market structure (Fractals) aligns with the medium-term momentum (RSIOMA) during the expansion phase of the cycle. The MSLE acts as a safety valve, ensuring that entries do not occur during log-volatility extremes where price discovery is chaotic rather than structural. Market participants' behavioral tendency to return to mean-log-values provides the rationale for the MSLE filter.

Components

• Ehlers Truncated Bandpass Filter (TBF) (regime) — Isolates the dominant cycle to ensure the strategy operates during the 'upward' or 'downward' phase of a specific frequency, avoiding trend-less noise.
• RSIOMA (RSI of Moving Average) (direction) — Provides a smoothed momentum orientation; requires the RSI of the MA to be on the correct side of the 50-level to confirm directional bias.
• Open Source Fractal Model (entry) — Identifies the specific execution trigger via 'Change in Sub-structure' (CISD) or Market Structure Shifts after a liquidity sweep.
• Connect MACD (Azullian) (exit) — Used for momentum exhaustion exits when the modular MACD line crosses its signal line against the trade direction.
• Supply & Demand Zones (NNFX) (risk) — Defines the hard stop-loss based on the outer edge of the most recent valid supply or demand zone.
• Mean Squared Logarithmic Error (MSLE) (volatility_filter) — Filters out hyper-volatile 'black swan' candles where the log-deviation from the mean is too high to provide a reliable structural setup.

Known failure conditions

• Price action remains consistently outside the TBF bandwidth, rendering the cycle filter useless.
• Market volatility drops to a level where MSLE stays below the 10th percentile for extended periods, indicating no tradable expansion.
• Fractal 'CISD' signals occur predominantly within high-volume news events, leading to slippage that negates the structural edge.

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