Kalman-Seasonal StatArb Trend Follower

Family: hybrid · Regime: trending · Complexity: high · Asset classes: Equities, Crypto, FX Pairs (Crosses) · Timeframes: H1, H4

Thesis

Statistical deviations in the relative value of two correlated assets (spread) provide high-probability entry points when the deviation aligns with the dominant market trend. By filtering for institutional liquidity windows (Daily Seasonality) and confirming with local price structure (Pivot Levels), we can isolate mean-reversion moves that have momentum support, rather than catching falling knives in a decoupling event.

Components

• Daily Seasonality (regime) — Filters out low-liquidity weekend sessions and 'Friday-reversal' effects to focus on core mid-week institutional flows.
• SuperTrend MT5 (FxGeek) (direction) — Ensures the mean-reversion entry is taken in the direction of the macro-trend to increase the probability of a 'stretch' rather than a full reversal.
• AI Pair Trading System v1.0 (entry) — Uses a Kalman Filter to detect when the primary asset has statistically deviated from its relationship with a benchmark (the pair symbol), triggering an entry signal.
• Bollinger Bands (exit) — Provides a dynamic, volatility-adjusted profit target at the opposite band.
• Chandelier Exit Heiken Ashi Variant (risk) — Uses Heiken Ashi smoothed volatility to set a tight, trailing stop-loss that accounts for noise.
• Roshaneforde Pivot Levels (confirmation) — Provides price-action confirmation that a reversal from the spread deviation is actually occurring via candle engulfing structures.
• TimeBlocks (Multifunctional Period Separator) (volatility_filter) — Acts as a secondary volatility guard; entries are only permitted if the VWAP Balance is within the predicted range of the current 4-hour block.

Known failure conditions

• Correlation breakdown: If the primary asset and benchmark symbol (Pair Trading System) decouple permanently due to fundamental shifts.
• Flat ATR: Periods where Chandelier Exit stays horizontal for >20 bars, indicating a total loss of tradable volatility.

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