Recursive Momentum Trend Filter

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

Thesis

Market trends are most tradable when structural time-highs/lows (Aroon) converge with price-inertia (Recursive MA) and momentum (MACD) under high-participation (Volume). The recursive smoothing is hypothesized to provide a 'cleaner' trend bias than standard moving averages, reducing false signals during minor pullbacks.

Components

• Aroon (regime) — Acts as the primary regime filter to ensure the strategy only operates when a fresh trend is newborn (AroonUp > 70).
• Recursive Moving Average Unlimited (direction) — Provides the 'Trend Bias' direction. Because it is highly smoothed, it prevents entering against the primary inertia of the market.
• MACD (entry) — Provides the execution trigger via momentum. The zero-line cross confirms the trend has enough velocity to overcome the recursive MA smoothing lag.
• ATR Heiken Ashi (exit) — Used for dynamic Take Profit based on smoothed volatility. Exit occurs when price reverts beyond a trailing volatility threshold defined by ATHA.
• TopTrend (BBands Stop) (risk) — Acts as the hard stop-loss and trailing mechanism. It uses Bollinger Band volatility to set a structural floor/ceiling for the trade.
• Volume Moving Average (VOLMA) (volatility_filter) — Filters out low-liquidity/low-participation moves, ensuring momentum triggers are backed by rising tick volume.

Known failure conditions

• Recursive MA exhibits 'overshoot' where price reverses 5% while the MA continues to rise.
• Aroon remains above 70 for extended periods while price trades in a tight, declining channel (divergence).
• Frequent stopped-out trades during periods of low Volume (VolMA declining) despite MACD crosses.

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