LAB #1909 NEUTRAL: TG AUTO: New edge proposed: arnaud_legoux_ma_cross_with_atr_filter — E8 Intelligence Research

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An algorithmic trading entry engine combining Arnaud Legoux Moving Average (ALMA) crossovers with an Average True Range (ATR) low-volatility filter blocks most trade entries during periods of elevated volatility. Novelty: ClaimNovelty.METHODOLOGICAL. Consensus alignment: ConsensusAlignment.NEUTRAL.

Andrew Stewart Caldin

doi:10.5281/zenodo.22472750

September 6, 2026Open Access

LAB #1909 NEUTRAL: TG AUTO: New edge proposed: arnaud_legoux_ma_cross_with_atr_filter — E8 Intelligence Research

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Key Points

To evaluate a proposed algorithmic trading entry engine combining fast and slow Arnaud Legoux Moving Average crossovers with an Average True Range volatility expansion filter.
Designed an entry engine using a fast ALMA(10, 6, 0.85) and slow ALMA(50, 6, 0.85) crossover rule.
Integrated a volatility filter requiring the 14-period ATR to remain below its 20-period median to allow trade execution.
Specified risk-management parameters including stop-losses set at 5-bar swing extremes and fixed 2:1 reward-to-risk profit targets.
Application across a 10-trade evaluation window blocked the majority of candidate trade signals.
Trade suppression occurred primarily because underlying market conditions exhibited elevated volatility exceeding the ATR threshold, as observed in assets like gold (XAU/USD).

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Implication

Algorithmic evaluation demonstrates that combining an Arnaud Legoux moving average crossover with an ATR volatility filter suppresses trade entries during high-volatility regimes, indicating...

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Andrew Stewart Caldin (2026) studied this question.

synapsesocial.com/papers/6a9fd76758e84d0ff5b46063 https://doi.org/10.5281/zenodo.22472750

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LAB #1909 NEUTRAL: TG AUTO: New edge proposed: arnaud_legoux_ma_cross_with_atr_filter — E8 Intelligence Research

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LAB #1909 NEUTRAL: TG AUTO: New edge proposed: arnaud_legoux_ma_cross_with_atr_filter — E8 Intelligence Research

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