Dynamic Liquidity Expansion System
Family: hybrid · Regime: trending · Complexity: high · Asset classes: FX, Indices, Commodities · Timeframes: M15, H1
Thesis
This strategy hypothesizes that significant price movements are preceded by liquidity-clearing events (sweeps) that trap counter-trend participants. By using the Moving Average Ribbon to define the dominant trend and the CCI to detect momentum return after a sweep, we capture the high-velocity 'expansion' phase of the market. The McGinley Dynamic is used because standard MAs lag too much during these expansions, whereas the McGinley adjusts its speed to the market's volatility, protecting the captured liquidity-driven alpha.
Components
- Linefill Array Slice History Test (regime) — Used as a 'Structural Persistence' filter to ensure the current price action is part of a mathematically consistent historical structure before allowing signal execution.
- Arrows Base Template (direction) — Acts as the logic aggregator, hosting the primary boolean conditions for UpCondition and DownCondition based on trend alignment.
- Commodity Channel Index (CCI) (entry) — Provides the precision trigger by identifying momentum recovery (cross from extremes) following a liquidity sweep.
- McGinley Dynamic (exit) — Provides an adaptive trailing exit that reacts to market speed, protecting gains during volatile expansions.
- The Daily Sweep (risk) — Determines the trade's structural validity via liquidity sweeps and provides the hard stop-loss based on the sweep low/high.
- Moving Average Ribbon (chingc) (confirmation) — Ensures entry is taken in the direction of the broader established trend (MA 20-50 vs MA 100-200 alignment).
Known failure conditions
- Daily Bias from the Sweep component flips three times within a 5-day window, indicating a lack of structural trend.
- Price maintains a position below the 200 EMA while the Sweep component suggests a Bullish Bias for more than 48 hours.
- Realized volatility drops below the 'min_atr_pct' threshold for more than 3 consecutive NY sessions.
Explore the full interactive blueprint with parameter ranges and evidence on WOBR StrategyVerse, or generate this strategy as an MT4/MT5 Expert Advisor with QuantMogul AI Engine (free download).