BPF-MACD Cyclical Volume Cluster Strategy
Family: hybrid · Regime: trending · Complexity: medium · Asset classes: Equities, Forex, Commodities · Timeframes: H1, H4, D1
Thesis
The strategy hypothesizes that sustainable market trends occur only when price cycles (BPF), momentum (MACD), and trend strength across multiple timeframes (ETV) align simultaneously with high relative volume (RVOL). By filtering for these 'confluence clusters,' we eliminate low-participation noise and enter only when the market exhibits strong directional consensus, using smoothed volatility (ATR-HA) to stay in the trade through minor retracements.
Components
- Bandpass Filter (BPF) (regime) — Acts as a regime filter to isolate the primary cyclical component of price, ensuring we only trade during phases of cyclical expansion.
- MACD Classic (direction) — Provides the core directional bias and momentum confirmation to ensure the cycle isolated by the BPF is moving in a trending direction.
- Easy Trend Visualizer (ETV) (entry) — Provides a high-conviction entry signal by requiring three different ADX timeframes to align in strength, filtering out weak or premature breakouts.
- ATR Heiken Ashi (exit) — Used for dynamic volatility-based exits. The HA smoothing reduces 'noise' exits compared to standard ATR trailing stops.
- RVOL (Relative Volume) (risk) — Validates the trend strength. Trends occurring on low relative volume are treated as 'exhaustion' or 'false' moves and are filtered out.
Known failure conditions
- The Bandpass Filter's frequency band becomes misaligned with the actual market cycle (e.g., cycle period shifts from 20 to 60).
- Market remains in a low-volatility 'grind' where RVOL never exceeds 1.0, leading to zero trade execution despite price movement.
- High correlation across multiple ADX periods causes ETV to trigger late in the trend's life cycle.
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