MSLE-MACD Session Expansion System

Family: trend_following · Regime: trending · Complexity: high · Asset classes: Forex, Indices, Crypto · Timeframes: M5, M15

Thesis

Intraday trend expansions occur when micro-momentum (MACD 2,3,2) aligns with institutional session levels and a broad multi-timeframe consensus. By filtering these moves with MSLE, we identify 'log-normal' price shocks that are statistically likely to continue rather than immediately mean-revert.

Components

• Session Range (High/Low/Mid) (regime) — Establishes the intraday bias (Regime) based on whether price is trading in the upper or lower half of the session's developed range.
• MA(x6) Multi-Timeframe Visualizer (direction) — Provides a 'Trend Web' filter; entry is only permitted if the majority of MTF MAs are aligned with the trade direction.
• Moving Average Convergence Divergence (MACD) (entry) — Acts as a hyper-sensitive momentum trigger to capture the exact moment of price expansion following a consolidation.
• Qualitative Quantitative Estimation (QQE) (exit) — Uses a smoothed trailing volatility band to exit trades before mean reversion fully exhausts the trend.
• ATR Heiken Ashi (risk) — Provides a volatility-adjusted stop loss based on 'smoothed' price action, reducing premature exits from standard OHLC noise.
• Mean Squared Logarithmic Error (MSLE) (volatility_filter) — Filters out 'flat' market regimes where the log-difference between price and its mean is too low to sustain a momentum breakout.

Known failure conditions

• MACD (2,3,2) produces more than 5 consecutive whipsaws in a 24-hour period.
• Price remains tightly coiled within the middle 25% of the Session Range for over 4 hours.
• The MA(x6) cluster spreads across more than 2% of the asset price (trend fragmentation).

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