USF-TSI Efficiency Momentum

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: Equities, Forex, Crypto · Timeframes: H1, H4, D1

Thesis

Market trends are most tradable when price momentum is confirmed across three distinct domains: time-domain smoothing (USF), oscillator-domain strength (ASH), and statistical-domain efficiency (ROC/HV). By requiring a 'triple confirm' and using a low-lag IIR filter for regime detection, the strategy identifies the start of high-probability expansion phases while filtering out low-conviction 'drifts' where volatility exceeds the rate of capital appreciation.

Components

• Ehlers Ultimate Smoother Filter (USF) (regime) — Acts as the primary trend filter. The IIR-based zero-lag smoothing identifies the dominant trend direction without the significant lag of standard EMAs.
• Absolute Strength Histogram (ASH) (direction) — Filters for positive bullish or bearish momentum bias. By using the RSI mode, it ensures the trend has underlying strength beyond mere price position.
• TSI Convergence Divergence (TSI_CD) (entry) — Provides the final entry trigger. It identifies acceleration in momentum via the histogram color change, capturing the meat of a move after the regime is established.
• UT Bot Alerts (MQL5) (exit) — Used for dynamic exits. The ATR-based trailing stop adjusts to volatility, closing the position when the immediate momentum shift invalidates the trade.
• Annualized ROC / HV Ratios (risk) — Used for risk-filtering and volatility-based position sizing. It ensures trades are only taken when the 'Sharpe-like' ratio of the price action is favorable.

Known failure conditions

• The ROC/HV ratio remains below 0.2 for extended periods despite trending price action.
• UT Bot trailing stops are triggered immediately after entry due to ATR(1) sensitivity.
• The TSI_CD histogram exhibits high-frequency 'color flipping' during the USF-confirmed trend.

Explore the full interactive blueprint, parameter ranges and evidence on WOBR StrategyVerse, or generate this strategy as an MT4/MT5 Expert Advisor with QuantMogul AI Engine.