Efficient Squeeze Error-Adjusted Trend

Family: volatility · Regime: trending · Complexity: medium · Asset classes: FX Majors, Gold, Equity Indices (DAX, SPX) · Timeframes: H1, H4

Thesis

The strategy assumes that high 'Efficiency Ratio' values combined with a 'Squeeze' release identify the start of sustainable directional moves. By using Median Absolute Error (MdAE) for risk, the strategy filters out idiosyncratic bar noise that often triggers standard ATR stops, theoretically allowing for tighter, more statistically robust positioning during efficient trends.

Components

• Moving Averages (Multi-Method) (regime) — Provides the 'Golden Rule' filter; ensures trades are only taken in the direction of the long-term structural trend to avoid counter-trend traps.
• MultiKAMA (TyphooN) (direction) — Acts as an adaptive medium-term trend filter. By adjusting to volatility, it filters out noise during the early stages of a breakout.
• Williams %R (entry) — Used as a timing trigger to enter on pullbacks within the established trend, ensuring the trade is not entering at a local price exhaustion point.
• Equity Line Projection (exit) — Used to define a hard take-profit target based on a projected account equity milestone (e.g., 2.5:1 Reward-to-Risk ratio) visible on the chart.
• Median Absolute Error (risk) — Quantifies the median 'noise' or forecast error of the current bars. Used to set a dynamic stop loss that scales with current market error rates rather than just raw range.
• NNFX Squeeze (Volatility Breakout) (confirmation) — Confirms that a volatility expansion (breakout) is occurring by verifying that Bollinger Bands have expanded outside Keltner Channels.
• Efficiency Ratio (Kaufman) (volatility_filter) — Filters out 'messy' breakouts. Only permits entries when price displacement is efficient relative to total movement, avoiding choppy 'fakeouts'.

Known failure conditions

• Efficiency Ratio stays below 0.25 for extended periods while price drifts, indicating a low-liquidity environment where the strategy will over-trade.
• Price repeatedly crosses the 200 SMA (Mean Reversion regime), leading to high-frequency SL hits.
• MdAE values spike significantly higher than the 50-period average, indicating erratic news-driven volatility.

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).