Autocorrelated Ichimoku Pullback Strategy

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

Thesis

Market trends exhibit serial correlation (autocorrelation); when this correlation is positive, price is more likely to continue in its current direction. By using Ichimoku for structural direction and Bollinger Bands to time entries during temporary mean-reversion pullbacks, we can enter persisting trends at advantageous prices, using psychological 'round number' grid levels as final support for risk management.

Components

• Autocorrelation Function (ACF) (regime) — Acts as a regime filter to ensure the market is in a 'trending' state (positive autocorrelation) rather than mean-reverting or noise-dominated.
• Ichimoku Kinko Hyo (direction) — Defines the core trend direction and provides a 'thick' support/resistance zone via the Kumo (Cloud).
• Bollinger Bands (Standard) (entry) — Identifies mean-reversion pullbacks within the established trend by looking for price touches of the SMA (Middle Band).
• Pivot Points (Classic) (exit) — Provides objective, non-dynamic targets for profit taking based on prior session liquidity.
• Grid Points Utility (risk) — Uses psychological round numbers to define hard stop-loss levels and calculate position sizing, assuming these levels act as ultimate structural barriers.

Known failure conditions

• ACF remains negative or near zero for extended periods, indicating a random walk or choppy market.
• Price oscillates through the Ichimoku Cloud without clear direction.
• Volatility collapses to the point where Pivot levels are narrower than the Grid Point spacing.

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