Triple-Trend REI Momentum Strategy

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: Forex, Indices, Commodities · Timeframes: M15, H1, H4

Thesis

Sustainable market trends are characterized by a confluence of moving average direction, volatility-based support, and positive momentum. By requiring the HiLo Activator (trend) and SuperTrend (volatility/direction) to align with DeMark's REI (momentum) after a volatility expansion (ATR filter), we enter during the 'meat' of the trend while using a non-adaptive structural stop (Constant Range Channel) to avoid ATR-based stop-loss compression.

Components

HiLo Activator (Pandini Version) (regime) — Provides the primary trend regime filter by tracking the moving average of highs/lows to identify the dominant market bias.
SuperTrend & Pivots (direction) — Acts as a secondary trend confirmation and structural filter; the Daily Pivot ensures entries align with higher-timeframe value levels.
Range Expansion Index (REI) (entry) — Identifies momentum shifts within the established trend, filtering out noise in non-trending phases via DeMark's price-action logic.
SuperTrend (exit) — Provides a trailing stop-loss mechanism and trend-flip signal for hard exits.
Constant Range Channel (risk) — Defines the hard stop-loss level and position sizing based on a fixed-volatility structural boundary.
ATR SL Finder (volatility_filter) — Filters entries by ensuring volatility is expanding but not exhausted (ATR must be above its recent average).

Known failure conditions

Successive 'staircase' shifts in the Constant Range Channel without price progress, leading to multiple stop-outs.
Protracted sideways price action where the HiLo Activator and SuperTrend provide conflicting signals.
Price oscillating around the Daily Pivot level (P) during low-liquidity sessions.

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