HP-KNN Structural Volume Scalper

Family: hybrid · Regime: trending · Complexity: high · Asset classes: Equities, Forex, Crypto · Timeframes: 15m, 1H

Thesis

The strategy operates on the hypothesis that institutional order flow manifests as volume-backed trends (PVT) that oscillate around a long-term 'fair value' trend (HP Filter). Market structure shifts (ICT) during volatility expansions (NNFX) mark the points where retail liquidity is purged and institutional momentum resumes, providing an edge for intra-day trend following.

Components

• Hodrick-Prescott Filter (HP) (regime) — Used as the primary regime filter to ensure trades are aligned with the low-frequency structural trend of the asset.
• Price and Volume Trend (PVT) (direction) — Confirms that the price movement is supported by cumulative volume flow, filtering out 'hollow' price moves.
• ICT Mitigation Block Scanner (entry) — Provides the precise entry trigger based on market structure reversals and liquidity voids.
• Trepidity Opening Range with Extensions (exit) — Provides fixed horizontal price targets based on session volatility to capture intra-day momentum extensions.
• SuperTrend (risk) — Defines the hard stop-loss and trailing mechanism, as well as the volatility-adjusted position size.
• AI Trend Navigator [K-Neighbor] (confirmation) — Serves as a predictive smoothing filter to confirm that local momentum is aligned with historical patterns.
• NNFX Squeeze (Volatility Breakout) (volatility_filter) — Ensures that entries only occur during periods of volatility expansion (Bollinger > Keltner).

Known failure conditions

• Price consistently hits SuperTrend stops before reaching Extension_1 profit targets.
• HP Filter shows a trend while the KNN Navigator predicts a reversal, leading to signal paralysis.
• ICT Mitigation blocks appear frequently in low-volume sessions, leading to whipsaws.

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).