Excellent breakdown of the HL → HH structure! I've been trading trend-following systems for years and this minimal approach resonates - waiting for complex patterns often means you're buying after most of the move is gone. What I appreciate most is the discipline around end-of-day closes rather than intraday noise. The 0.25× ATR buffer for the HH close is smart risk managment - it prevents chasing false breaks that reverse within the day's normal volatility range. Your point about TQQQ only paying when drift exists is crucial, and HL → HH is indeed the earliest observable signal of constructive drift. The worked example showing Day 6 hold confirmation (or invalidation if below HL low) is exactly the kind of cheap failure structure that keeps risk tight while letting winners run. One question: in your backtests, did you find that HL → HH performs better when the 50-DMA is already rising, or is the pattern standalone robust enough regardless of longer-term MA slope? 27% CAGR since 1999 on a simple structure-first approach is impressive - complexity isn't alpha. Thanks for the detailed write-up!
Excellent breakdown of the HL → HH structure! I've been trading trend-following systems for years and this minimal approach resonates - waiting for complex patterns often means you're buying after most of the move is gone. What I appreciate most is the discipline around end-of-day closes rather than intraday noise. The 0.25× ATR buffer for the HH close is smart risk managment - it prevents chasing false breaks that reverse within the day's normal volatility range. Your point about TQQQ only paying when drift exists is crucial, and HL → HH is indeed the earliest observable signal of constructive drift. The worked example showing Day 6 hold confirmation (or invalidation if below HL low) is exactly the kind of cheap failure structure that keeps risk tight while letting winners run. One question: in your backtests, did you find that HL → HH performs better when the 50-DMA is already rising, or is the pattern standalone robust enough regardless of longer-term MA slope? 27% CAGR since 1999 on a simple structure-first approach is impressive - complexity isn't alpha. Thanks for the detailed write-up!