Slope Failure (Momentum Stall) STRATEGY by AJSwogger

By AJSwogger

Performance Metrics

Description

Dec 12//======================================================================================// SLOPE FAILURE (MOMENTUM STALL) STRATEGY//--------------------------------------------------------------------------------------// WHAT THIS STRATEGY DOES// -----------------------// This strategy trades **momentum failure**, not trend direction.//// Instead of predicting where price will go, it detects when **momentum can no longer// continue in its current direction** and briefly fades that failure.//// Core idea:// - Momentum expands → slope grows// - Momentum stalls → slope collapses or flips// - That stall represents **state transition**, not noise//// The system exploits these transitions repeatedly at short horizons.////--------------------------------------------------------------------------------------// HOW MOMENTUM IS MEASURED// ------------------------// 1. Source price (optionally smoothed)// 2. First derivative (slope = price[t] - price[t-1])// 3. Optional smoothing of the slope itself//// The slope represents **instantaneous directional force**, not trend bias.////--------------------------------------------------------------------------------------// ENTRY LOGIC (SLOPE FAILURE)// ---------------------------// • Bull Slope Failure (SHORT):// - Prior slope was sufficiently positive// - Current slope collapses to zero or below// → Upward momentum failed → enter SHORT//// • Bear Slope Failure (LONG):// - Prior slope was sufficiently negative// - Current slope rises to zero or above// → Downward momentum failed → enter LONG//// Optional:// - Minimum slope band can be enforced to avoid weak/noisy failures////--------------------------------------------------------------------------------------// EXIT LOGIC// ----------// Primary exits are **force-based**, not price-based://// • Longest Slope Local Turn (optional):// - Detects when the strongest slope in a recent window has occurred// - Exits when momentum starts decaying from that extreme//// • Percent Stop Loss (optional):// - Fixed % protection relative to entry price//// The strategy does NOT rely on profit targets.// Winners are exited when **momentum decays**, not when price "looks good".////--------------------------------------------------------------------------------------// POSITION SIZING// ---------------// This strategy supports **percent-of-equity sizing**, computed dynamically://// position size = (account equity × % allocation) / price//// This allows:// - P&L to scale smoothly// - Drawdowns to remain proportional// - The same logic to work across symbols and account sizes////--------------------------------------------------------------------------------------// STRATEGY CHARACTERISTICS// ------------------------// • High trade count// • Win rate near ~45–50%// • Small, fast losers// • Slightly larger winners// • Very low drawdown//// This profile is intentionally designed for **scalability**, not prediction.////--------------------------------------------------------------------------------------// IMPORTANT NOTES// ---------------// • This is NOT a trend-following strategy// • This is NOT a mean-reversion guess// • This is a momentum **state-transition detector**//// The edge comes from structure + exits + sizing — not indicators.////======================================================================================Dec 12Release Notes//======================================================================================// SLOPE FAILURE (MOMENTUM STALL) STRATEGY//--------------------------------------------------------------------------------------// WHAT THIS STRATEGY DOES// -----------------------// This strategy trades **momentum failure**, not trend direction.//// Instead of predicting where price will go, it detects when **momentum can no longer// continue in its current direction** and briefly fades that failure.//// Core idea:// - Momentum expands → slope grows// - Momentum stalls → slope collapses or flips// - That stall represents **state transition**, not noise//// The system exploits these transitions repeatedly at short horizons.////--------------------------------------------------------------------------------------// HOW MOMENTUM IS MEASURED// ------------------------// 1. Source price (optionally smoothed)// 2. First derivative (slope = price[t] - price[t-1])// 3. Optional smoothing of the slope itself//// The slope represents **instantaneous directional force**, not trend bias.////--------------------------------------------------------------------------------------// ENTRY LOGIC (SLOPE FAILURE)// ---------------------------// • Bull Slope Failure (SHORT):// - Prior slope was sufficiently positive// - Current slope collapses to zero or below// → Upward momentum failed → enter SHORT//// • Bear Slope Failure (LONG):// - Prior slope was sufficiently negative// - Current slope rises to zero or above// → Downward momentum failed → enter LONG//// Optional:// - Minimum slope band can be enforced to avoid weak/noisy failures////--------------------------------------------------------------------------------------// EXIT LOGIC// ----------// Primary exits are **force-based**, not price-based://// • Longest Slope Local Turn (optional):// - Detects when the strongest slope in a recent window has occurred// - Exits when momentum starts decaying from that extreme//// • Percent Stop Loss (optional):// - Fixed % protection relative to entry price//// The strategy does NOT rely on profit targets.// Winners are exited when **momentum decays**, not when price "looks good".////--------------------------------------------------------------------------------------// POSITION SIZING// ---------------// This strategy supports **percent-of-equity sizing**, computed dynamically://// position size = (account equity × % allocation) / price//// This allows:// - P&L to scale smoothly// - Drawdowns to remain proportional// - The same logic to work across symbols and account sizes////--------------------------------------------------------------------------------------// STRATEGY CHARACTERISTICS// ------------------------// • High trade count// • Win rate near ~30%// • Small, fast losers// • Slightly larger winners// • Very low drawdown//// This profile is intentionally designed for **scalability**, not prediction.////--------------------------------------------------------------------------------------// IMPORTANT NOTES// ---------------// • This is NOT a trend-following strategy// • This is NOT a mean-reversion guess// • This is a momentum **state-transition detector**//// The edge comes from structure + exits + sizing — not indicators.////======================================================================================

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