MAPE-Risk Volume Consensus Trend

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

Thesis

Trends are most tradable when price action consensus (BB/SSL) is supported by institutional volume (MFI) and sufficient volatility (PAM), while trade risk is best managed by the statistical deviation of price from its rolling mean (MAPE), exiting as the short-term cycle exhausts (DSP).

Components

• Bollinger Bands (Standard) (regime) — Establishes the macro-regime; price must be trending outside or on the directional side of the median (SMA) to avoid range-bound noise.
• SSL Channel (direction) — Determines the immediate momentum direction based on high/low price SMA flips, a classic NNFX-style direction filter.
• Legacy Trading Connector (OptionX) (entry) — Acts as the execution trigger, capturing specific 'arrow' signals that emerge when the underlying momentum conditions are met.
• Ehlers Detrended Synthetic Price (DSP) (exit) — Identifies cycle exhaustion; when the detrended cycle reverses or crosses the zero line, the trend-following entry is likely exhausted.
• Mean Absolute Percentage Error (MAPE) (risk) — Quantifies the current 'model error' or price instability. Used to scale stop-loss distance based on recent deviation from the mean forecast.
• Money Flow Index (MFI) (confirmation) — Provides volume-weighted confirmation; price movement without corresponding money flow is treated as a low-conviction fakeout.
• PAM (Price Action Master) - Volatility Filter Version (volatility_filter) — A hard filter to prevent trading during 'dead zones' where ATR is too low to cover spreads or commissions.

Known failure conditions

• MAPE levels remain consistently below 0.1%, indicating a market so stagnant that stop-losses are triggered by noise before the DSP cycle can exit.
• SSL Channel flips frequently (3+ times in 10 bars), signaling a high-frequency ranging environment where SMA-based indicators fail.
• MFI stays strictly between 45 and 55 for extended periods, suggesting a lack of volume participation.

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