Lorentzian Cycle-Grid Displacement Strategy

Family: hybrid · Regime: trending · Complexity: high · Asset classes: Forex, Crypto, Indices · Timeframes: 15m, 1h, 4h

Thesis

Institutional displacement (manifesting as Order Blocks or FVGs) carries higher predictive value when occurring at psychological round numbers (Grid Levels) during a favorable market cycle (TBF). By validating these structural breaks with machine-learned historical patterns (Lorentzian) and synthetic volume flow (Footmap), we can isolate 'Smart Money' entries from retail noise. The edge exists because the strategy requires the convergence of three independent market dimensions: Time (Cycles), Price (Structure), and Sentiment (ML/Volume).

Components

• Ehlers Truncated Bandpass Filter (TBF) (regime) — Identifies the specific market cycle phase; entry is permitted only when the cycle momentum is positive for longs or negative for shorts to avoid trading into cycle exhaustion.
• Lorentzian Classification (direction) — Acts as a high-dimensional momentum filter, ensuring that the historical neighborhood of similar price features supports the trade direction.
• OrderBlock FVG Detector (entry) — Provides the structural trigger. A Fair Value Gap (FVG) or Order Block (OB) signifies institutional displacement, creating a 'zone' for entry.
• Commodity Channel Index (CCI) (exit) — Used to identify momentum exhaustion for exits, specifically looking for reversals from extreme levels (+/- 100).
• Grid Points Utility (risk) — Uses psychological 'round number' levels for hard stop-loss placement and position sizing, grounding the risk in market-structural reality.
• Footmap – Heat & Volume [v1] (confirmation) — Filters entries by ensuring the synthetic volume delta aligns with the price move, verifying the 'aggression' of the candle forming the OB or FVG.

Known failure conditions

• Price action becomes 'compressed' where the TBF oscillates rapidly around zero without significant amplitude.
• Lorentzian KNN results fluctuate between bullish and bearish on every candle (model noise).
• The distance between Grid Points is significantly smaller than the average daily range, leading to premature stops.

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).