Matrix-Filtered Momentum Drift Strategy

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

Thesis

Price trends exhibit structural integrity when the diagonal sum of a price matrix (Trace) expands; by filtering MACD entries with this trace expansion, we isolate high-probability momentum bursts while using McGinley Dynamic's adaptive nature to exit before the trend exhausts.

Components

• Matrix Trace Utility (regime) — Acts as a structural regime filter; an increasing trace of a price matrix suggest diagonal price persistence (trend structural integrity).
• Momentum Oscillator (direction) — Confirms the primary price velocity matches the structural regime.
• MACD Classic (entry) — Provides the tactical trigger for entries when the fast trend accelerates away from the mean.
• McGinley Dynamic (exit) — Serves as a dynamic profit-taking threshold that adjusts for market speed better than standard MAs.
• Chandelier Exit (Heiken Ashi) (risk) — Used for hard stop placement and volatility-adjusted position sizing; uses HA prices to smooth noise.

Known failure conditions

• Matrix Trace remains flat or oscillates narrowly, indicating a lack of structural data drift.
• Price repeatedly crosses the McGinley Dynamic without reaching the Chandelier trailing stop, suggesting high-frequency noise.

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