Consistent Trend Volatility Arbitrage (CTVA)

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

Thesis

Market trends are most exploitable when price discovery is 'consistent' (low RMSE/MdAE) and momentum is structurally confirmed (ASI); entries during periods of high statistical error represent high-risk 'noise' rather than sustainable trends.

Components

• Root Mean Squared Error (RMSE) (regime) — Used as a regime filter to ensure the current price action is not deviating chaotically from its mean (EMA), identifying 'orderly' volatility environments.
• Accumulation Swing Index (ASI) (direction) — Provides the primary directional bias; its cumulative nature allows for identifying sustained trend pressure beyond simple price action.
• GoldenChart MACD (entry) — The histogram crossover serves as the high-sensitivity execution trigger once directional and regime filters are met.
• MACD Classic (3-Line) (exit) — Utilizes the Signal Line/MACD Line crossover for a slower, more robust exit than the histogram, aiming to capture the meat of the trend.
• Relative Absolute Error (RAE) (risk) — Used to scale the stop-loss; higher relative error between price and its mean necessitates wider stops to avoid premature stop-outs in 'loose' trends.
• XARD Channel (confirmation) — Acts as a secondary trend confirmation via the 144 EMA envelope to ensure the entry is in alignment with long-term momentum.
• Median Absolute Error (volatility_filter) — Filters out trades where the intra-bar 'noise' (Close vs. Open error) is excessively high, which often precedes reversals or whipsaws.

Known failure conditions

• ASI remains flat or oscillates narrowly despite price movement, suggesting the 'Limit Move' parameter is misconfigured for the asset.
• RAE values remain consistently above 1.0, indicating the underlying mean-reversion model (EMA) is completely decoupled from price action.
• Price perpetually straddles the XARD 144 EMA, leading to zero signals or rapid neutral-state flips.

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