CCI-Heiken Volatility Trend-Follower

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

Thesis

Market trends are more likely to be sustainable when price momentum (CCI) is aligned with synthetic-smoothed volatility (Chandelier HA) and confirmed by tick volume participation. By filtering for volatility expansion (ATR HA), we can avoid the typical whipsaws of ranging markets.

Components

• Commodity Channel Index (CCI) (regime) — Defines the trend regime; values above 0 indicate bullish momentum, while values below 0 indicate bearish momentum relative to the mean deviation.
• Chandelier Exit Heiken Ashi Variant (direction) — Determines the primary trend direction based on smoothed price action and ATR-based stops.
• Arrows Indicator Template (entry) — Acting as the execution trigger when 'direction' and 'regime' filters are met.
• Donchian Channels (exit) — Used for exit logic via trailing the opposite channel to capture extended trend runs.
• Williams Fractals (risk) — Provides structural price pivots for initial hard stop-loss placement, delayed by 2 bars for confirmation.
• Volume Moving Average (VOLMA) (confirmation) — Confirms entries by ensuring participation is higher than the recent average (SMA 5), reducing signals in illiquid periods.
• ATR Heiken Ashi (volatility_filter) — Filters out low-volatility 'noise' environments where the ATR is below its own recent baseline.

Known failure conditions

• ATR Heiken Ashi volatility drops below historic levels causing complete signal starvation.
• Chandelier HA Exit repeatedly flips in a tight range, inducing high transaction costs.
• Volume SMA fails to distinguish between institutional participation and retail noise in the specific broker tick data.

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