Cyclical Momentum Adaptive Trend System (CMATS)

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

Thesis

Market trends do not move in straight lines but in impulsive cycles. By filtering for a high-momentum regime (CCI) and a dominant trend (SMA), we can enter at the start of a cycle thrust (DSP) once internal momentum acceleration is confirmed (TSI_CD), using an adaptive exit (McGinley) that adjusts to price velocity to minimize 'give-back' during reversals.

Components

• Commodity Channel Index (CCI) (regime) — Used to identify high-momentum regimes (CCI > 100 or < -100), ensuring the strategy avoids low-volatility, range-bound 'noise'.
• Simple Moving Average (SMA) (direction) — Provides the primary trend filter to ensure trades are only taken in the direction of the dominant market bias.
• Ehlers Detrended Synthetic Price (DSP) (entry) — Identifies the cyclical turning points by stripping away the trend, allowing for entry on the 'thrust' of a market cycle.
• McGinley Dynamic (exit) — Acts as an adaptive trailing exit that tracks price more closely during acceleration and stays distant during noise, avoiding premature exits.
• ATR Stop Loss Finder (risk) — Provides a volatility-adjusted floor (for longs) or ceiling (for shorts) to protect capital based on current market expansion.
• TSI Convergence Divergence (TSI_CD) (confirmation) — Confirms that momentum is accelerating in the trade direction, preventing premature entry on cycle resets.

Known failure conditions

• Strategy produces consecutive losses when CCI oscillates between -100 and 100, indicating a lack of clear momentum regime.
• The McGinley Dynamic trailing stop is frequently hit by minor retracements in a trending market, suggesting the length is too short for the asset volatility.
• DSP cycles fail to correlate with price action during fundamental 'black swan' events where technical cycles break down.

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