MAPE-Filtered Volatility Trail with Synthetic Delta Confirmation

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: Forex, Equities, Crypto · Timeframes: H1, H4, D1

Thesis

Persistent trends are characterized by price action that 'efficiently' follows a mean (low MAPE) while being driven by aggressive market-taker pressure (Footmap Delta). By entering when momentum accelerates (TSI_CD) and exiting when price velocity stalls (MOM), we can capture the core of a trend while minimizing exposure to the low-momentum decay phases.

Components

• TopTrend (BBands Stop) (regime) — Establishes the macro trend bias using volatility bands to filter out counter-trend noise.
• Footmap – Heat & Volume [v1] (direction) — Uses synthetic delta to ensure that price movement is supported by volume-at-price distribution rather than thin liquidity.
• TSI Convergence Divergence (TSI_CD) (entry) — The entry trigger; detects momentum acceleration in the direction of the macro trend.
• Momentum (MOM) (exit) — Captures the exhaustion of price velocity to exit before a volatility-based stop is hit.
• ATR Projection (risk) — Provides a volatility-adjusted floor for risk, ensuring stops are not hit by standard market noise.
• Mean Absolute Percentage Error (MAPE) (volatility_filter) — Filters out regimes where price deviates too wildly from its EMA, signaling unstable 'broken' price action.

Known failure conditions

• Extended periods of MAPE > 0.05 (asset specific) suggesting the EMA model cannot track price.
• Consecutive TopTrend flips within 5 bars indicating a 'choppy' regime.

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