New edge proposed: adaptive_market_model_filter — E8 Intelligence Research
Abstract
{ "name": "adaptive_market_model_filter", "source": "J. Welles Wilder Jr. - New Concepts in Technical Trading Systems (1978), adaptive trend filtering", "type": "filter_flag", "rule": "For each bar, compute the ADX(14) using Wilder's smoothing on the 14-bar average true range and directional movement; set a filter flag to true only if ADX > 25 and the absolute price change over the last 5 bars is greater than 0.3 * ATR(14) of the same bar.", "pseudocode": "for each bar i: \n ATR14 = WilderSmooth(TR, 14) at i\n +DM = max(high[i]-high[i-1], 0) if > (low[i-1]-low[i]) else 0\n -DM = max(low[i-1]-low[i], 0) if > (high[i]-high[i-1]) else 0\n Smooth +DM and -DM over 14 using Wilder\n +DI = 100 * Smooth(+DM)/ATR14, -DI = 100 * Smooth(-DM)/ATR14\n DX = 100 * |+DI - -DI| / (+DI + -DI)\n ADX = WilderSmooth(DX, 14)\n flag = (ADX > 25) AND (abs(close[i]-close[i-5]) > 0.3 * ATR14)", "why_it_works": "Strong trends (ADX > 25) with recent directional momentum (5-bar price change exceeding Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com
