ADM-Index Mean Reversion Framework

Family: mean_reversion · Regime: ranging · Complexity: high · Asset classes: Forex (Major Pairs) · Timeframes: H1, H4

Thesis

Currency strength is often mean-reverting when analyzed through a basket-weighted index (Darwinex Index). By filtering for assets that exhibit low statistical drift (ADM VR < 1.05), we can exploit short-term volatility extremes (Bollinger Bands) while ensuring that trade exits are governed by historical supply/demand clusters (SML Matrix) rather than arbitrary targets. The edge exists in the convergence of currency-specific strength and local-pair mean reversion.

Components

• MQL5 Structural Sample Logger (regime) — Uses the OnCalculate meta-data to ensure the expert only processes signals when 'prev_calculated' is valid and 'rates_total' meets the minimum sample requirements for the ADM model.
• Darwinex Labs Currency Index (direction) — Provides the directional bias by determining if the base currency is outperforming the quote currency on a basket-weighted basis.
• Bollinger Bands (entry) — Acts as the trigger for mean-reversion entries when price reaches statistical extremes relative to the recent moving average.
• SML — SUPPORT/RESISTANCE MATRIX (exit) — Identifies high-probability structural exit points based on historical pivot clusters and candlestick reactions.
• Asset Drift Model (ADM) (risk) — Statistically filters for mean-reverting regimes (low Variance Ratio) and scales position size based on the HAC-adjusted variance.
• ATR Fib (volatility_filter) — Prevents entry during 'volatility blowouts' by ensuring the price is within symmetrical Fibonacci extension boundaries relative to the session open.

Known failure conditions

• Market enters a 'random walk' state where Variance Ratio (VR) stays at 1.0 for extended periods.
• Component currency pairs in the Darwinex Index become delisted or lose liquidity, causing index calculation errors.
• Intraday volatility exceeds the static ATR input by >300%, rendering the session Fib levels irrelevant.

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