Gaussian-SSF Confluence Breakout

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: Equities, Forex, Crypto · Timeframes: H1, H4, D1

Thesis

Trading edges are found when structural market confluence (IAE) aligns with low-lag momentum signals. While standard moving averages suffer from the 'lag vs. smoothness' tradeoff, ALMA and SSF utilize Gaussian and 2nd-order filtering to isolate the signal from noise. By entering only during volatility breakouts (UTBot) and exiting when the price's cyclic balance point shifts (CG), the strategy aims to capture the 'meat' of the trend while using robust error-based risk (MdAE) to avoid outlier-induced stop-outs.

Components

• IAE — Technical Confluence Score (regime) — Filters for high-probability regimes where 10 layers of technical data (volume, breadth, structure) align, reducing trades in low-conviction environments.
• Arnaud Legoux Moving Average (ALMA) (direction) — Provides a lag-reduced trend baseline using Gaussian distribution to define the primary trade direction without the 'sawtooth' noise of simple MAs.
• UTBot Alerts (entry) — Acts as the execution trigger by identifying volatility-backed breakouts from a Chandelier-style trailing stop.
• Ehlers Center of Gravity (CG) (exit) — Identifies the exhaustion of cyclic momentum; used for exits before the trend mean-reverts or enters a choppy phase.
• Median Absolute Error (risk) — Provides a robust measure of 'noise volatility' (Open vs Close error) to set stops that are resilient to outliers.
• Ehlers SuperSmoother Filter (confirmation) — A 2nd-order low-pass filter used to confirm that the UTBot breakout is not an aliased high-frequency noise spike.

Known failure conditions

• IAE Score remains in the 40-60 range for extended periods (regime paralysis).
• Median Absolute Error (MdAE) compresses to near-zero, leading to unsustainably tight stops and immediate whipsaws.
• Price continuously oscillates around the SSF and ALMA during low-volatility drift.

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).