HP-Darvas Macro Expansion Scalper

Family: breakout · Regime: trending · Complexity: high · Asset classes: FX (Majors), Gold (XAU/USD), Crypto (BTC/ETH) · Timeframes: M15, H1

Thesis

Intraday price breakouts have a higher probability of sustaining momentum when they occur outside of the previous day's value area (Daily High/Low) and are aligned with the underlying structural growth trend identified by a Hodrick-Prescott filter. By combining these with an Ichimoku scoring system, we filter for high-conviction institutional flow while using tick-level spread monitoring to ensure execution quality in a scalping-style exit regime.

Components

• Daily High Low MTF (regime) — Establishes the daily volatility regime; price outside previous day's range indicates an expansion phase.
• Hodrick-Prescott Filter (HP) (direction) — Provides a lag-reduced trend bias by decomposing price into a smoothed 'growth' component.
• Darvas Boxes (Multi-Mode) (entry) — Identifies local consolidation and provides the high-conviction breakout trigger.
• Restu Kaioh Scalping Indicator (exit) — Used as an exhaustion exit; closes trades when momentum reaches extreme stochastic levels.
• Equity Line Projection (risk) — Standardizes risk by calculating position size based on the distance between entry and the projected SL price to ensure a fixed equity impact.
• MMT Ichi Workflow Overlay Profiles (confirmation) — Aggregates multiple Ichimoku components into a single confidence score for signal confirmation.
• Spread Monitor (Tick-Level) (volatility_filter) — Prevents entry during periods of illiquidity or high volatility spikes that erode the edge of a scalping exit.

Known failure conditions

• HP Filter lambda is improperly tuned, causing the trend line to oscillate wildly in ranging markets.
• Daily range remains extremely narrow (low ADR), causing the Daily High/Low filter to trigger on noise.
• Restu Kaioh indicator fails to reach extreme levels during a trending move, leading to massive profit give-back.

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