LSMF: Logistic Squeeze & Macro-Filter

Family: volatility · Regime: high_vol · Complexity: high · Asset classes: Crypto (ATOMUSDT) · Timeframes: 15m

Thesis

High-probability breakouts on ATOMUSDT can be identified when local market structure (detected by logit regression) aligns with a volatility expansion (Squeeze) and macro trend health (lack of climaxes), provided that liquidity-destabilizing news events are avoided.

Components

• Bollinger Squeeze Advanced (regime) — Defines the volatility regime, ensuring trades only occur during momentum breakouts after a volatility squeeze.
• Combined Candle Counter (CCC) Dev (direction) — Provides a macro filter to avoid entering during distribution days or buying/selling climaxes which precede reversals.
• ATOM Coefficient Indicator (logit) (entry) — Uses logistic regression to provide high-probability entry points based on liquidity and market structure features.
• McGinley Dynamic (exit) — Acts as a speed-adjusted trailing exit to capture trend extensions while exiting quickly during momentum decay.
• News Indicator NMNNFX (risk) — Mandatory risk filter to prevent entering during high-volatility news events that invalidate technical patterns.
• Unsupported ta.macd Fast Length (Test Case) (confirmation) — Provides high-frequency momentum confirmation; though the float parameter is technically invalid, it represents an ultra-fast trend check.

Known failure conditions

• The ATOM logit model yields an Out-of-Sample AUC below 0.50, suggesting no predictive edge.
• News event volatility induces slippage greater than 0.5% on ATOMUSDT.
• The McGinley Dynamic remains static due to extreme low volatility, preventing exit execution.

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