Spearman Breadth & Sweep Hybrid

Family: hybrid · Regime: trending · Complexity: high · Asset classes: Equities, Forex, Crypto · Timeframes: 15M

Thesis

Market trends are most likely to persist when they exhibit high 'internal breadth' (ADR_B) and follow a local liquidity-cleansing event (RES Sweep). By utilizing Spearman Rank Correlation (RCI) to enter when price and time are temporarily decoupled during a sweep, we gain an edge by entering at the moment of peak exhaustion within a broader trend, using the McGinley Dynamic to capture the trend's velocity without the lag of a standard moving average.

Components

• Advance/Decline Ratio (Bars) (regime) — Establishes the internal 'breadth' of the current trend; ensures the move is supported by a majority of bars rather than one or two volatile spikes.
• Sherif Hilo (direction) — Provides the primary directional bias using a high-period channel (HHV/LLV) to avoid noise.
• Rank Correlation Index (entry) — Identifies cyclical extremes; enters when price structure is highly correlated with a local time-based trend, seeking 'mean reversion' within the primary trend.
• McGinley Dynamic (exit) — Acts as a dynamic trailing exit that adjusts its speed based on price acceleration, preventing premature exits in slow markets.
• Chandelier Exit Heiken Ashi Variant (risk) — Calculates hard stop-loss levels and position size based on Heiken Ashi volatility, providing a tighter floor than standard candles.
• Reversal Engine Score v1 (volatility_filter) — Filters for liquidity sweeps; ensures entry occurs after a local grab of liquidity to improve the probability of an immediate follow-through.

Known failure conditions

• Protracted sideways 'choppy' regimes where ADR_B oscillates around 1.0 and RES produces frequent low-quality sweeps.
• Sharp V-reversals that breach the McGinley Dynamic and Chandelier Exit simultaneously, causing maximum drawdown.
• Asset classes with low liquidity where the RCI remains pinned at extremes for several weeks.

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