Smoothed Gap Momentum Filter
Family: trend_following · Regime: trending · Complexity: medium · Asset classes: FX, Equities, Crypto · Timeframes: H1, H4
Thesis
Price gaps in the direction of an established, smoothed trend represent a failure of the market to facilitate trade at previous prices, indicating a strong momentum imbalance. By entering these 'breakway' gaps only when multiple moving average horizons (Ribbon) and a low-lag digital filter (SuperSmoother) align, we capture the high-velocity phase of a trend while using volatility-based stops to manage the inherent risk of reversal after such a jump.
Components
- Ehlers SuperSmoother Filter (regime) — Determines the underlying price inertia. Long positions are only considered when price is above the SuperSmoother, short positions when below, filtering out noise in high-frequency fluctuations.
- Moving Average Ribbon (chingc) (direction) — Confirms trend alignment across multiple time horizons. Entry occurs only when the ribbon is fully expanded in the direction of the regime.
- MindTheGap (entry) — Acts as a volatility catalyst. Small gaps in the direction of the trend indicate strong immediate momentum and a lack of liquidity at the previous close, suggesting price 'wants' to move rapidly.
- ATR SL Finder (exit) — Used to set a dynamic Take Profit target based on a multiple of recent volatility to ensure exits are tied to current market ranges.
- Chandelier Exit Heiken Ashi Variant (risk) — Provides the hard stop-loss and trailing mechanism. By using HA values, it smooths out noise in the stop calculation and reacts to volatility-adjusted trend reversals.
Known failure conditions
- Gap occurrences become random noise without follow-through during low-volatility sessions.
- SuperSmoother period is too short, causing the regime to flip during minor pullbacks.
- ATR Multiplier is smaller than average spread/slippage, leading to negative expectancy.
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