XAU Vol-Stable Session Mean-Reversion

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: Gold (XAU/USD), Major FX (EUR/USD, GBP/USD) · Timeframes: H1, M15

Thesis

Intraday trends are most tradeable when 'Volatility Pressure' (ADX/ATR ratio) is stable rather than peaking, allowing for Stochastic mean-reversion entries that use structural session extremes as logical stop-loss zones.

Components

• XAU Trend Volatility Filter (XAU_TVF) (regime) — Establishes if the market is in a high-conviction trend while filtering out 'exhaustion volatility' where VolPressure is too high.
• Chandelier Exit Heiken Ashi Variant (direction) — Provides the structural bias; we only trade in the direction of the Chandelier stop to ensure alignment with Heiken Ashi smoothed momentum.
• Stochastic Oscillator (entry) — Identifies local mean-reversion opportunities (oversold/overbought) within the larger trend context.
• Bears Power (exit) — Used to detect the 'exhaustion' of the trend-aligned push. For longs, a sharp drop in Bears Power indicates selling pressure is overwhelming the EMA support.
• Session Range (High/Low/Mid) (risk) — Defines the structural boundaries for risk; stops are placed at session extremes to respect intraday liquidity zones.
• BB edge cases (volatility_filter) — Acts as a volatility 'ceiling'; entries are invalidated if price is outside the bands, preventing buying the 'top' of a volatility expansion.

Known failure conditions

• TrendScore remains near zero for extended periods, indicating a total lack of directional conviction.
• Session range is narrower than the average spread, making the Risk component's stop-loss levels mathematically unviable.
• Price consistently trades outside Bollinger Bands without mean-reverting, suggesting a 'runaway' regime the strategy cannot capture.

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