The Autocorr Gate filter is a pass/block gate on lag-1 autocorrelation of simple returns. When autocorr meets your compare condition against a threshold, the filter passes; otherwise it blocks. It never fires a buy or sell by itself.
Positive lag-1 autocorr often accompanies momentum; negative or near-zero favors noise or mean-reversion. Defaults use autocorr > 0.
When to use it
- Only allow momentum entries while lag-1 autocorr stays positive
- Block trend bots when returns look like white noise
- A cheaper companion to Hurst for dependence checks
What you’ll set in the app
Add Autocorr gate under filters.
- Window — return bars in the sample (default 64)
- Compare — autocorr >, <, ≥, ≤, or ≈
- Threshold — e.g.
0(default)
Warm-up history or zero return variance blocks the gate. Disabled passes.
Tips
- Same window family as Hurst (default 64).
- There is no “side when true”—pair with crossover, MACD, or other signal rules.
- For path persistence, also see Hurst Gate.
Example
Entry filters: Autocorr gate, window 64, autocorr > 0. A MACD long only passes when recent returns show positive lag-1 dependence.