Institutional Volatility Expansion Scalpel
Family: hybrid · Regime: trending · Complexity: high · Asset classes: FX, Equities, Crypto · Timeframes: H1, H4, D1
Thesis
The strategy assumes that price breakouts are only sustainable if they occur with positive momentum (REI), rising volatility (BB/KC squeeze), and an absence of institutional distribution (CCC D-Days). By filtering for low-spread environments, it seeks to exploit 'true' momentum shifts while avoiding the 'fakeouts' common in low-liquidity or high-distribution phases. The core edge lies in the combination of a high-level trend regime with micro-level volume-price structure validation.
Components
- Sherif Hilo (regime) — Establishes the macro-regime. We only trade in the direction of the HHV/LLV switch to ensure we are aligned with a confirmed trend break.
- Combined Candle Counter (CCC) Dev (direction) — Acts as a structural filter to ensure we aren't buying into institutional distribution (D-Days) or selling into exhaustion (Climaxes).
- Range Expansion Index (REI) (entry) — Provides the momentum trigger. By filtering out non-trending noise, it identifies the high-velocity phase of a move.
- Bollinger Bands (Standard) (exit) — Serves as the volatility-based exit. Reaching the outer bands suggests mean reversion or exhaustion is imminent.
- Spread Display and Alert (risk) — Controls execution risk. It prevents entries during periods of low liquidity or high volatility where slippage negates the REI's precision.
- Keltner Channels (volatility_filter) — Used for 'Squeeze' detection. We look for entries when Bollinger Bands are expanding out of Keltner Channels, indicating a volatility breakout.
Known failure conditions
- Consecutive 'Distribution Days' in the CCC indicator during an 'UpTrend' regime, suggesting trend exhaustion.
- Spread exceeds 2x the 24-hour average during REI signal generation.
- Price remains pinned between the Keltner Mid-line and Sherif Hilo LineUp for > 50 bars (stagnation).
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