USF-IAE Institutional Flow Confluence System

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

Thesis

Institutional 'smart money' trends leave a footprint of high intraday intensity and price smoothing. By waiting for a multi-modal confluence (IAE) and ensuring the price has not deviated too far from its mean error (MAPE), we enter trends during their most stable phase of expansion, exiting only when momentum (CCI) shows clear signs of exhaustion.

Components

• Ehlers Ultimate Smoother Filter (USF) (regime) — Identifies the underlying trend regime with minimal lag, ensuring entries are aligned with immediate price momentum.
• Intraday Intensity Index (III) (direction) — Confirms institutional accumulation/distribution by measuring where the close falls relative to the range-volume profile.
• IAE — Technical Confluence Score (entry) — Aggregates 10 layers of data; acts as the final 'go/no-go' trigger when multiple technical factors align.
• CCI / Connectable [Azullian] (exit) — Used to detect momentum exhaustion for exits before a full trend reversal occurs.
• FractalScanner (risk) — Provides objective, market-structure-based levels for stop-loss placement based on local swing highs/lows.
• Mean Absolute Percentage Error (MAPE) (volatility_filter) — Filters out regimes where the price has deviated too far from its rolling average (overextension), preventing 'buying the top'.

Known failure conditions

• IAE score remains high during a protracted sideways grind, leading to multiple whipsaws.
• Low volume environments render the Intraday Intensity Index (III) data noisy and non-predictive.
• MAPE threshold is breached constantly in high-volatility regimes, preventing any entries during strong parabolic moves.

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