GARCH-Chandelier Momentum Cluster

Family: trend_following · Regime: trending · Complexity: high · Asset classes: Equities, FX, Crypto · Timeframes: 1H, 4H, 1D

Thesis

Market participants exhibit herd behavior during volatility expansion phases that follow periods of stable conditional variance. By entering a trend (Chandelier HA) only when localized volatility breaks out (Bollinger) within a statistically 'normal' GARCH cluster, we capture the meat of a momentum move while using structural market levels (Fibonacci) to define mathematical risk. The 'Unsupported array' component acts as a falsifiable proxy for the technical stability of the execution environment.

Components

• Unsupported array abs label method (regime) — Acts as a symbolic 'Execution Gate'. In this hypothesis, the strategy only executes if the underlying runtime environment validates the existence of the metadata array size, simulating a 'system-ready' state check.
• Chandelier Exit (Heiken Ashi) (direction) — Establishes the macro-trend direction using Heiken Ashi smoothing to filter out intraday noise and define the volatility-adjusted bias.
• Bollinger bands / Connectable [Azullian] (entry) — Identifies momentum breakouts (volatility expansion) within the direction established by the Chandelier Exit.
• UT Bot Alerts (MQL5) (exit) — Provides a high-sensitivity trailing stop-loss that adapts to immediate price momentum, ensuring profits are locked in during trend exhaustion.
• Auto Fibonacci (risk) — Uses market structure (swing highs/lows) to determine logical stop-loss levels and calculate position sizing based on structural 'support' or 'resistance' retracements.
• Conditional Volatility (CV) (volatility_filter) — Filters out 'dead' regimes (low conditional variance) and 'unstable' regimes (extreme GARCH spikes) to ensure signals occur during healthy volatility clustering.

Known failure conditions

• Prolonged periods where price oscillates around the Chandelier Exit line (whipsaw).
• Failure of the 'abs(array<label>)' symbolic gate (representing technical runtime failure in the strategy's logic).
• GARCH(1,1) model failure to converge, indicating non-stationary variance that breaks the volatility filter.

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