Kalman-Filtered Structural Trend Scalper

Family: hybrid · Regime: trending · Complexity: high · Asset classes: Equities, FX, Crypto · Timeframes: 15M, 30M

Thesis

Intraday trends are most likely to persist when an asset demonstrates statistical outperformance against a benchmark (Pair Spread) while simultaneously breaking out from a high-volume structural zone (SML) in the direction of the higher-timeframe trend (DEMA 200). The confluence of relative strength, institutional trend alignment, and volume confirmation provides a falsifiable edge against random price walk.

Components

• Multi-Type Moving Average Sticker (regime) — Established the primary trend regime using Linear Weighted Moving Average (LWMA) to prioritize recent price action while maintaining a visual buffer.
• Oracle Probes 15M Intraday Suite (direction) — Provides the intraday directional bias; signals are only valid when price maintains posture relative to the VWMA and DMA5 proxies.
• SML — SUPPORT/RESISTANCE MATRIX (entry) — Identifies high-probability entry 'nests' where price has previously clustered, reducing the risk of entering in no-man's land.
• ATR Fib (exit) — Sets objective volatility-based targets based on the session's range expansion potential.
• RVOL (Relative Volume) (risk) — Filters for institutional participation; entries are only sized fully when current volume exceeds the historical average.
• DEMA 200 & ADX Combined HUD (confirmation) — Filters for trend strength (ADX) and prevents trading against the long-term institutional trend (DEMA).
• AI Pair Trading System v1.0 (volatility_filter) — Ensures the asset is outperforming its benchmark (e.g., ETH vs BTC) to increase the probability of a successful breakout.

Known failure conditions

• Extended periods of ADX < 15 indicating a total loss of trend conviction.
• Price oscillating across the DEMA 200 on the 30M timeframe, signaling a high-level ranging market.
• Statistical decoupling where the Spread Z-Score remains neutral despite price movement, suggesting the move is idiosyncratic and low-quality.

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