GARCH-Smoothed ICT Structural Reversal

Family: hybrid · Regime: trending · Complexity: high · Asset classes: Equities, FX, Crypto · Timeframes: M15, H1

Thesis

Market structure shifts (ICT Mitigation Blocks) are most reliable when they align with the underlying signal-processed trend (SAK) and occur within specific session-based volatility boundaries (Trepidity). By further adjusting risk for volatility clustering (GARCH), we account for the fact that risk is not constant, allowing for tighter stops during quiet regimes and wider berths during high-stress periods, thereby improving the Sharpe ratio over traditional fixed-stop structure trading.

Components

• MQL5 Structural Sample Logger (regime) — Used as a 'Data Integrity' regime filter, ensuring the OnCalculate loop has sufficient history (prev_calculated) for the GARCH model to stabilize.
• Swiss Army Knife Indicator (SAK) (direction) — Provides a smooth 2nd-order IIR trend direction, filtering out high-frequency noise that triggers false Mitigation Blocks.
• ICT Mitigation Block Scanner (entry) — Identifies structural failures (mitigation blocks) where price fails to make a new high/low and breaks structure, signifying a high-probability reversal.
• Bollinger Bands (Standard) (exit) — Standard volatility-based exit targets; captures the 'meat' of the move toward the outer standard deviation.
• Conditional Volatility (CV) (risk) — Dynamically adjusts stop-loss distance and position sizing based on volatility clustering (persistence of risk).
• Trepidity Opening Range with Extensions (volatility_filter) — Filters out trades during extreme volatility blowouts (beyond Extension 2) or within the low-liquidity mid-range.

Known failure conditions

• The GARCH model fails to converge (Alpha + Beta >= 1.0).
• Price remains pinned to Bollinger Bands for >10 bars without a mean-reversion touch of the SMA.
• Market structure 'ZigZag' legs become excessively large relative to ATR, indicating a regime shift to high-volatility chaos.

Explore the full interactive blueprint, parameter ranges and evidence on WOBR StrategyVerse, or generate this strategy as an MT4/MT5 Expert Advisor with QuantMogul AI Engine.