Log-Normal Momentum Hierarchy
Family: trend_following · Regime: trending · Complexity: medium · Asset classes: Crypto-assets, Equities, Major Forex Pairs · Timeframes: 15m, 30m, 1H
Thesis
This hypothesis posits that sustainable trends require alignment across three distinct temporal horizons: long-term structural order (MA Ribbon), mid-term price-extremum breakouts (Sherif Hilo), and short-term momentum confirmation (ADX/DEMA). By scaling position size inversely to Mean Squared Logarithmic Error (MSLE), the strategy aims to capture the 'meat' of a move while reducing exposure as the asset becomes statistically overextended relative to its log-mean, mitigating the impact of 'blow-off top' reversals.
Components
- Moving Average Ribbon (chingc) (regime) — Establishes long-term hierarchy; only enters when the short-term ribbon is fully aligned above/below the 100/200 MAs.
- Sherif Hilo (direction) — Confirms mid-term directional bias by ensuring price has definitively broken and held above/below historical extremes.
- DEMA 200 & ADX Combined HUD (entry) — Acts as the high-conviction trigger by requiring ADX momentum confirmation on a higher timeframe (30m) before execution.
- ATR SL Finder (exit) — Provides a volatility-adjusted exit point that accounts for recent price expansion/contraction.
- Mean Squared Logarithmic Error (MSLE) (risk) — Used in the risk module to scale position sizes; higher MSLE suggests price is over-extended relative to its moving average, requiring lower exposure.
- Standard Deviation (volatility_filter) — Filters out 'dead' markets; ensures trades only occur when there is sufficient statistical price movement.
Known failure conditions
- Prolonged low-volatility 'drift' where price moves without ADX ever crossing the threshold.
- Consecutive whipsaws in the Sherif Hilo channel during a narrowing wedge pattern.
- MSLE values remaining high during a trending phase, causing the strategy to undersize winners.
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).