Statistical Drift & Momentum Hybrid (ADM-CCI)

Family: hybrid · Regime: trending · Complexity: high · Asset classes: Equities, Forex, Commodities · Timeframes: H1, H4, D1

Thesis

Markets exhibit periods of 'drift' where price moves are not random walks but driven by underlying economic momentum. By using a HAC-based Asset Drift Model to identify these phases and a CCI to time entries during momentum corrections, we can capture sustained trends. The edge exists because retail traders often enter on momentum alone (ignoring statistical drift), while institutional models often ignore tactical momentum entry points.

Components

• Unsupported array.sum UDT method (regime) — Acts as a conceptual 'Market Structure' filter; if market points cannot be aggregated into a coherent array (high entropy), the regime is deemed unsuitable for trend-following.
• Unsupported table.new modes (direction) — Provides the raw price feed ('close') intended for table visualization, used here as the primary price-action direction component.
• Commodity Channel Index (CCI) (entry) — Identifies tactical entry points by spotting momentum shifts within the larger drift-defined trend.
• SuperTrend (exit) — Serves as a trailing exit mechanism that accounts for volatility-adjusted trend exhaustion.
• Asset Drift Model (ADM) (risk) — Quantifies statistical drift and variance ratios to validate if a move is a genuine trend or just noise, while setting position size based on variance.

Known failure conditions

• ADM Variance Ratio (VR) consistently stays below 1.0 (indicating mean reversion) while the strategy attempts trend entries.
• High frequency of CCI whipsaws despite positive ADM Drift.
• Price remains bound within the SuperTrend ATR bands for extended periods (low volatility crunch).

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