Multi-Period Quantitative Structure Engine · Taiwan Futures Auto Trading System

Structure Reversal & Distribution Phase A quantitative decision engine built for market phase identification

In markets, the real risk isn't a falling price — it's failing to recognize what phase the market is in.
Integrating momentum, volume-price dynamics, volatility modeling, and extreme-value contrarian logic —
trade on structural recognition, not intuition.

Explore Market Phases View Strategy Engine

10Market Phase States

21+Quantitative Indicators

4Core Strategy Layers

Multi-TFCross-Period Validation

|Z|>2Extreme Value Trigger

MACD-Z Momentum Acceleration ADX Trend Strength ▲ STRONG VWAP-DiffRatio Cost Structure Analysis VolumeDelta-Z Active Order Imbalance ▼ DIST GARCH-zscore Volatility Regime Model BipowerVariance Jump Component Isolation PivotPoints Pivot Deviation Ratio KD-Contrarian Overbought/Oversold Extreme ▲ SIGNAL RSI-Z Relative Strength Normalized EWMA-zscore Recent Volatility Weighted VAD-zscore Capital Flow Standardized ReversalPhase Structure Reversal Confirmed ▼ ALERT MACD-Z Momentum Acceleration ADX Trend Strength ▲ STRONG VWAP-DiffRatio Cost Structure Analysis VolumeDelta-Z Active Order Imbalance ▼ DIST GARCH-zscore Volatility Regime Model BipowerVariance Jump Component Isolation PivotPoints Pivot Deviation Ratio KD-Contrarian Overbought/Oversold Extreme ▲ SIGNAL RSI-Z Relative Strength Normalized EWMA-zscore Recent Volatility Weighted VAD-zscore Capital Flow Standardized ReversalPhase Structure Reversal Confirmed ▼ ALERT

Not Predicting the Market —
Identifying Its Structure

Traditional technical analysis attempts to predict price direction. But markets are always more complex than any prediction. The core philosophy of this system is: first identify the market's structural phase, then determine whether a high-probability entry exists.

By integrating quantitative models — from momentum indicators to econometric volatility forecasting, from VWAP cost structure to Z-score extreme value detection — the system constructs a comprehensive market state model, ensuring every entry is logic-driven.

Don't guess the direction. Wait for conditions to mature.
In the Distribution Phase, only trade in high-edge territory.

The system integrates a "1D–2D Long-Period Judge Core" that continuously outputs internal structural state, combined with short-period reversal signals, forming a complete decision chain of Long-Period Structure × Short-Period Entry.

SYSTEM ARCHITECTURE

LAYER 1 — Trend Acceleration

MACD · ADX · PivotPoints-DiffRatio

LAYER 2 — Volume Flow Confirmation

VolumeDelta · VAD · VWAP · VolumeMA-Ratio

LAYER 3 — Momentum Oscillation

KD · RSI · Bollinger Bands · Contrarian Logic

LAYER 4 — Volatility Regime

GARCH · EWMA · RealizedVar · BipowerVariance

↓ OUTPUT

Phase Identification × Structural Entry Decision

SIMULATED PHASE TRANSITION · TXFB2025

Market Phase Classification

10 Market Phase States

Know what phase the market is in before deciding whether to trade. This is the foundation of every strategy decision in the system.

TrendPhase

Trend Stage

Price moves persistently in a clear direction. Bullish: Higher High + Higher Low. Bearish: Lower High + Lower Low. ADX > 25 and rising, moving averages in trend alignment.

Trend Following

ExpansionPhase

Expansion Stage

Energy release from low to high volatility. MACD histogram surges, Z-score spikes, VolumeDelta single-sided dominance, ATR rises sharply. Often the ignition point of a new trend.

Breakout Strategy

BalancePhase

Consolidation Stage

Supply and demand in equilibrium, price ranging laterally. ADX below 20, MACD near zero axis, KD oscillating in neutral zone. Volume contracts. No structural HH/LL extension.

Range Trading

AccumulationPhase

Accumulation Stage

Institutional players quietly building positions at low levels. VolumeDelta bullish but price stagnant. MACD bullish divergence, KD low-level divergence. Selling pressure weakens gradually.

Gradual Position Build

DistributionPhase

Distribution Stage

Smart money unloading at elevated price levels. High-level consolidation, heavy volume without continuation. MACD bearish divergence, KD overbought then curling down. Core short-entry zone.

Core Short Zone

DistributionDivergence

Distribution Divergence

Hidden pre-reversal warning. Price still making marginal new highs but internal momentum decaying. MACD histogram shrinks despite new price highs. Z-score retreating from >2 to 0–1. More insidious than pure distribution.

Scale Down Alert

TrendExhaustion

Trend Exhaustion

Late-stage trend burning out. Advancing waves shorten, pullbacks deepen. MACD histogram contracting in same direction, ADX rolling over from highs. VWAP deviation converging. Momentum decay without reversal yet.

Profit Protection

FalseBreakout

False Breakout

The most powerful counter-directional signal. Price breaks support/resistance then rapidly reverts — a stop-hunt and liquidity grab. MACD expansion insufficient, ADX fails to rise, VolumeDelta inconsistent.

Await Confirmation

ReversalPhase

Reversal Stage

Market officially changes direction. HH/HL structure shifts to LH/LL (or vice versa). MACD zero-line crossover, ADX rising in new direction, VolumeDelta dominance reverses. Requires structural confirmation before entry.

Right-Side Entry

VolatilitySpike

Volatility Spike

Sudden large expansion of price volatility. ATR skyrockets, Bollinger Bands gap open rapidly, GARCH-zscore > 2. Intraday range can be 2–5× normal. Thin liquidity, extreme slippage risk.

Extreme Risk

Multi-Layer Strategy Architecture

Theme Strategy: Structure First, Not Indicator Stacking

Each indicator is not a standalone signal — together they form the components of a unified market state model.

Trend Acceleration Layer

MACDHistogram / Z-score / Contrarian — Momentum acceleration and extreme detection
ADXAverage Directional Index — Trend strength quantification; >25 enters strong-trend mode
PIVOTPivotPoints-DiffRatio — Pivot deviation ratio; identifies cost displacement

Volume Flow Confirmation Layer

VWAPVolume-Weighted Average Price DiffRatio — Institutional average cost structure
VDLTVolumeDelta Z-score — Standardized active buy/sell order imbalance
VADVADZ — Williams Volume Accumulation/Distribution Z-score
VOLRVolumeMA-Ratio — Current vs. average volume ratio with directional weighting

Momentum Oscillation Layer

KDStochastic / Contrarian — Overbought/oversold extremes with reversal logic
RSIRelative Strength Index / Contrarian — Momentum quality and divergence detection
BBBollinger Bands / Contrarian — Volatility channel mean-reversion signals
Z>2All three indicators extreme simultaneously → Contrarian sell trigger activated

Volatility Regime Layer · Core Edge

GARCHGeneralized Autoregressive Model — Volatility clustering forecast; pre-collapse detection
EWMAExponentially Weighted Moving Average — Rapid response to recent volatility shifts
MADMean Absolute Deviation — Robust volatility, resistant to extreme outliers
RVRealized Variance — Actual realized volatility; the ground truth benchmark
BVBipowerVariance — Separates continuous volatility from jump components

CONTRARIAN TRIGGER CONDITION

Z-score > +2.0 or Z-score < −2.0

When volatility and momentum indicators simultaneously reach Z > 2 → market sentiment reaches a statistical extreme → Contrarian logic activates

Distribution Phase Core Logic

Reversal Strategy Entry Decision Chain

Entry is only permitted when all three conditions align simultaneously: Structure Weakening + Momentum Confirmation + Cost Destruction.

Phase Identification

Confirm market has entered DistributionPhase or DistributionDivergence

MarketPhase = Distribution ADX flat or declining

Long-Period Judge

1D–2D long-period core outputs internal structural state confirmation

EarlyWeakening LateWeakening Transition

Short-Period Trigger

Short-period indicators synchronously confirm the reversal signal

VWAP_VeryShort 1H/2H MACD_VeryShort_Auto KD_VeryShort_Auto

Cost Destruction

Price breaks below key cost structure confirming bearish bias

PivotPoints_Short 1D Below VWAP confirmed

Execute Entry

Probe position → Structure confirmation add → Momentum continuation expand

Scaled Entry System Structural Stop Loss

1D–2D Long-Period Judge Core

Five Internal Structure States

The system continuously outputs long-period market structural states — serving as the "entry license" for short-period triggers.

🟢 STRONG Bullish Continuation

Bullish structure intact. ADX elevated and rising, MACD-Z holding positive, cost structure solid. Counter-trend operations not advised.

🟡 EARLY WEAKENING Initial Deterioration

Momentum begins decaying. DistributionDivergence signals emerging, Z-score retreating from highs. Begin scaling down; probe short positions cautiously.

🟠 LATE WEAKENING Advanced Deterioration

Structure visibly breaking down, distribution characteristics clear, short-period signals can activate. This is the optimal entry window with best risk-reward.

🔴 TRANSITION Structural Transition

Long and short periods simultaneously confirm directional change; ReversalPhase likely confirmed. Hold short positions, activate layered trailing stop protection.

⚪ NEUTRAL Neutral Standby

Market in BalancePhase; direction unclear, bulls and bears in equilibrium. System does not recommend entry. Wait for phase confirmation before acting.

Volatility Risk Management

Volatility is not just risk — it is the catalyst for profit. Multi-model detection identifies abnormal regimes before they fully materialize.

📊

Abnormal Expansion Detection

Multiple volatility models detect when the market enters a statistically anomalous state — distinguishing between trend acceleration and irrational overshoot.

GARCH-zscore EWMA-zscore RealizedVariance

🔀

Jump Component Isolation

BipowerVariance separates continuous volatility from discrete jump events. If RV-z is high but BV-z is low, the spike is confirmed as a jump shock, not sustained trend volatility.

BipowerVariance-z Jump Detection MAD-zscore

⚡

Sentiment Extreme Contrarian

When Z-score exceeds the extreme threshold (|Z| > 2), market sentiment enters a statistically irrational peak. Contrarian logic activates to capture the subsequent mean reversion.

Z-score > ±2 Contrarian Trigger Mean Reversion

Structure Break

Stop Loss Trigger 01

Vol Expansion

Scale Reduction

Phase Change

Full Exit Signal

Trailing Stop

Layered Take Profit

Position Scaling System

Scaling In & Scaling Out

Not fixed-point risk management — structural position sizing that dynamically adjusts based on the active market phase.

Scaling In — Entry Mechanism

Probe Position

Distribution signals emerge; enter with small size to test market response. Stop placed beyond the structural invalidation point.

Structure Confirmation Add

Long-period judge confirms LateWeakening or Transition state; short-period signals resonate. Add to main position size.

Momentum Continuation Expand

ReversalPhase confirmed with expanding volume and clear directional conviction. Consider full or maximum position allocation.

Scaling Out — Exit Mechanism

Volatility Surge Reduction

GARCH-zscore or EWMA-z elevates; volatility expansion signals trigger. Reduce exposure to control risk concentration.

Phase Transition Full Exit

Market phase transitions from ReversalPhase to AccumulationPhase or BalancePhase. Full position liquidation triggered.

Extreme Value Profit Protection

Z-score < −2 triggers oversold extreme. Contrarian logic activates reversal warning — execute immediate profit-taking exit.

Core Value Proposition

What This System Is — And Isn't

× Not This

Predicting markets
Guessing direction
Stacking indicators
Fixed-point stops

→

✓ But This

Identifying structure
Waiting for conditions
Phase state modeling
Structural risk control

This is a quantitative decision system built on
"Market Phase Identification × Structural Reversal Capture."
In the Distribution Phase — only trade in high-edge territory.

System Navigation

All System Modules

The complete system comprises twelve functional modules covering the full trading workflow — from strategy formulation to live execution.

01 Introduction System Overview → 02 Features Capabilities → 03 Core Strategy Theme Strategy → 04 Trend Direction Trend Phase Analysis → 05 Reversal Strategy Distribution Core → 06 Volatility Risk GARCH / EWMA / BV → 07 Stop / Take Profit Structural Risk Control → 08 Scaling In Position Entry → 09 Scaling Out Position Exit → 10 Simulation Paper Trading → 11 Broker Setup Account Activation → 12 Technical Guide Education & Tutorials →