Fractal Matrix Confluence Alpha
Family: trend_following · Regime: trending · Complexity: high · Asset classes: Equities, Forex, Crypto · Timeframes: 4H, 1D
Thesis
Market trends are most sustainable when the underlying price action matrix exhibits mathematical symmetry (stability) and the asset demonstrates relative outperformance against its benchmark. By combining Ehlers' fractal adaptation with a high-confluence scoring engine, we can filter out 'fake' breakouts and only participate in high-velocity, structurally sound trends.
Components
- Matrix Predicate Property Tester (regime) — Acts as a structural stability filter; we hypothesize that trend persistence is higher when the covariance/correlation matrix of price action exhibits mathematical symmetry, indicating balanced distribution of returns.
- Ehlers Fractal Adaptive Moving Average (FRAMA) (direction) — Provides the primary trend direction by adjusting smoothing based on fractal dimension, allowing for faster reaction to breakout momentum than standard EMAs.
- IAE — Technical Confluence Score (entry) — Aggregates 10 layers of technical data to ensure the entry signal is supported by volume, volatility, and momentum confluence.
- SuperTrend (exit) — Provides a trailing stop-loss that adapts to volatility, exiting the trade when the local trend structure breaks.
- Performance Table (risk) — Uses relative performance data to determine position sizing; only assets outperforming the benchmark (SPY/QQQ) on a 3M/6M basis receive full risk allocation.
Known failure conditions
- Matrix Predicate Property Tester returns 'False' for symmetry over 20+ bars, indicating erratic structural noise.
- IAE Confluence Score fails to exceed 50 despite price being above FRAMA, suggesting a 'hollow' trend driven by low volume.
- Asset underperforms the SPY benchmark on a 12M basis while signals are long.
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