Truncated Cycle Fractal Expansion System

Family: hybrid · Regime: trending · Complexity: high · Asset classes: FX, Equities, Crypto · Timeframes: H1, H4

Thesis

The strategy bets that price follows a dominant cycle that can be isolated by the TBF. Edge is found by entering only when short-term market structure (Fractals) aligns with the medium-term momentum (RSIOMA) during the expansion phase of the cycle. The MSLE acts as a safety valve, ensuring that entries do not occur during log-volatility extremes where price discovery is chaotic rather than structural. Market participants' behavioral tendency to return to mean-log-values provides the rationale for the MSLE filter.

Components

• Ehlers Truncated Bandpass Filter (TBF) (regime) — Isolates the dominant cycle to ensure the strategy operates during the 'upward' or 'downward' phase of a specific frequency, avoiding trend-less noise.
• RSIOMA (RSI of Moving Average) (direction) — Provides a smoothed momentum orientation; requires the RSI of the MA to be on the correct side of the 50-level to confirm directional bias.
• Open Source Fractal Model (entry) — Identifies the specific execution trigger via 'Change in Sub-structure' (CISD) or Market Structure Shifts after a liquidity sweep.
• Connect MACD (Azullian) (exit) — Used for momentum exhaustion exits when the modular MACD line crosses its signal line against the trade direction.
• Supply & Demand Zones (NNFX) (risk) — Defines the hard stop-loss based on the outer edge of the most recent valid supply or demand zone.
• Mean Squared Logarithmic Error (MSLE) (volatility_filter) — Filters out hyper-volatile 'black swan' candles where the log-deviation from the mean is too high to provide a reliable structural setup.

Known failure conditions

• Price action remains consistently outside the TBF bandwidth, rendering the cycle filter useless.
• Market volatility drops to a level where MSLE stays below the 10th percentile for extended periods, indicating no tradable expansion.
• Fractal 'CISD' signals occur predominantly within high-volume news events, leading to slippage that negates the structural edge.

Explore the full interactive blueprint with parameter ranges and evidence on WOBR StrategyVerse, or generate this strategy as an MT4/MT5 Expert Advisor with QuantMogul AI Engine (free download).