Ordered Volatility Force Strategy

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: FX, Equities, Crypto · Timeframes: M5, M15

Thesis

Intraday price momentum is only tradable when it is 'orderly'—defined as volume-backed movement that exceeds a force threshold (TDFI) and stays outside of immediate historical price boxes. By triggering on a hyper-sensitive ATR crossover but filtering for structural order, the strategy seeks to enter at the earliest possible moment of a session-level trend while using session-start volatility as an anchor for risk.

Components

• Unsupported array.sort_indices Order (regime) — Used to define the 'Orderliness' of price. We interpret the failed sorting logic as a requirement for non-random price structure: entering only when current price exceeds the 'box' range of the previous N periods (ordered expansion).
• Supported indicator max boxes count (direction) — Provides the visual price trend baseline to ensure the UT Bot signal aligns with the broader visual 'box' (price channel) structure.
• UT Bot Alerts (MQL5) (entry) — The primary execution trigger. It uses a hyper-sensitive ATR-1 trailing stop to catch the immediate genesis of a momentum shift.
• Equity Line Projection (exit) — A dynamic trailing exit mechanism. Positions are closed if the projected account equity (based on the current floating P&L) hits a pre-defined Fibonacci expansion level calculated by the ATR Fib tool.
• ATR Fib (risk) — Sets the structural boundaries for the trade. Uses session-based ATR levels to determine the 'gravity' of the current price relative to the daily open.
• Volume Accumulation (VA) (confirmation) — Acts as a volume-weight filter. Ensures that the UT Bot signal is supported by 'Accumulation' (price closing above the bar midpoint) rather than low-volume noise.
• Trend Direction and Force Index (TDFI) (volatility_filter) — Filters out low-velocity environments where the ATR-1 UT Bot signal would otherwise generate excessive whipsaws. Entry occurs only when force exceeds the dead_zone.

Known failure conditions

• ATR Fib levels remain static across multiple sessions (indicating a failure in session logic/volatility collapse).
• UT Bot signals occur more than 5 times in a 20-bar window (regime is too choppy for the ATR-1 sensitivity).
• Volume Accumulation remains flat while price trends (divergence indicating lack of liquidity).

Explore the full interactive blueprint with parameter ranges and evidence on WOBR StrategyVerse, or generate this strategy as an MT4/MT5 Expert Advisor with QuantMogul AI Engine (free download).