DEMA-ROC Structural Momentum System

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: Forex, Indices · Timeframes: 30M, 1H

Thesis

The hypothesis is that sustainable trends are characterized by 'summable' price action—where data structure is orderly—and that entries are most effective when momentum (ROC) aligns with long-term trend filters (DEMA) outside of destabilizing fundamental events (News). By filtering for ADX strength and news-driven volatility, we avoid the 'noise' that leads to coding-style aggregation failures.

Components

• Unsupported Array Sum UDT Test (regime) — Acts as a theoretical 'Structure Filter.' Because the UDT sum fails in the script, the strategy defines a 'Valid Structure' regime only when price action escapes a zone of high-frequency noise that makes data aggregation (summing) mathematically meaningless.
• DEMA 200 & ADX Combined HUD (direction) — Provides the primary trend bias and ensures momentum is strong enough (ADX > 20) to justify a trend-following position.
• Rate of Change (ROC) (entry) — Used as the tactical entry trigger to ensure the position is opened as momentum is accelerating in the direction of the DEMA trend.
• MACD (exit) — Provides a multi-staged exit strategy based on signal line crossovers or histogram momentum decay.
• News Indicator NMNNFX (risk) — Functions as a 'Volatility Gate.' Entries are prohibited during high-impact windows, and the 'distance' parameters define the protective stop-loss buffer based on historical news-driven volatility.

Known failure conditions

• Extended periods of ADX values between 15-25 where the system generates multiple ROC triggers without a sustained trend.
• Failure of the NewsImport.mqh file resulting in trades being taken during high-slippage economic releases.
• Price hovering around the DEMA 200, causing the directional bias to flip frequently.

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