GARCH-Fractal Liquidity Expansion Strategy

Family: hybrid · Regime: mixed · Complexity: high · Asset classes: FX Majors, Equities (Large Cap), Gold · Timeframes: M15 (Execution), H1 (Regime), H4 (HTF Sweep)

Thesis

Market expansions are preceded by volatility clustering (GARCH) and localized liquidity sweeps (Fractals). By entering on momentum confirmation (AF/TII) after a sweep during an active volatility regime, we capture the displacement towards psychological round numbers and pivot levels. The edge lies in filtering structure shifts with statistical risk estimates.

Components

Conditional Volatility (CV) (regime) — Defines the volatility regime; trades are only taken when annualized conditional volatility is expanding but not yet parabolic, ensuring sufficient 'meat' in the move.
Open Source Fractal Model (direction) — Identifies institutional 'sweep' zones and sub-structure shifts (CISD) which indicate the probable direction of the next expansion.
Average Force (entry) — Provides the final execution trigger by confirming that momentum has crossed the zero-line relative to the recent high-low range.
Pivot Points (Classic) (exit) — Provides objective, non-repainting horizontal targets based on the previous session's price action.
Grid Points Utility (risk) — Uses fixed psychological point intervals (30-point increments) to set hard stop losses and calculate position size based on round-number liquidity.
Trend Intensity Index (TII) (confirmation) — Filters out low-conviction structure shifts by requiring that price deviation from the 60-period MA (2*30) confirms a high-intensity directional trend.
Linefill All Visualizer (volatility_filter) — Used to visualize the 'delta' between entry and the target Pivot level to ensure trade-to-target space is clear.

Known failure conditions

If Conditional Volatility stays above 40% (annualized) for >5 bars (volatility explosion/climax).
If TII oscillates between 45 and 55 repeatedly, indicating a low-volatility 'sawtooth' market.
If the distance to the nearest Pivot Point target is less than 1.5x the distance to the Grid Point SL.

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