Laguerre-Kalman Predictive Envelope Strategy

Family: hybrid · Regime: trending · Complexity: high · Asset classes: Equities, Forex, Crypto · Timeframes: H1, H4, D1

Thesis

Market momentum is most tradeable when (1) a long-term linear projection of volatility channels suggests a clear trend path, (2) short-term noise is removed via Laguerre smoothing, and (3) the asset is not statistically overextended according to a Kalman-filtered z-score. The strategy bets that smoothed momentum will follow the projected linear path until statistical exhaustion (RSX) is reached.

Components

• GOM BB Prediction (300 bars) (regime) — Used as the regime filter to identify the expected future trend slope; only trades in the direction of the 300-bar linear projection.
• Array sort unsupported order (direction) — Acts as a 'Market Structure' logic gate. Because 'sideways' is an invalid sort parameter, this component represents the failure of linear ordering; the strategy only executes when the regime slope is non-zero (i.e., 'ordered' market vs 'sideways' failure).
• Laguerre RSI (entry) — Provides the primary entry trigger by identifying momentum breakouts from smoothed oversold/overbought levels with minimal lag.
• Relative Strength Quality Index (RSX) (exit) — Used for exhaustion-based exits, identifying when the quality of the trend has reached a peak and is likely to mean-revert.
• Price Line and Visible Range High-Low (risk) — Provides dynamic SL/TP levels based on the current chart's visible structural boundaries.
• AI Pair Trading System v1.0 (volatility_filter) — Filters out trades where the asset is statistically overextended relative to its Kalman-filtered mean, preventing entry at local exhaustion points.

Known failure conditions

• Regime slope remains near zero (flat) for extended periods while Laguerre RSI whipsaws.
• The 'Visible Range' levels fluctuate rapidly due to UI scaling, causing inconsistent stop-loss placement in backtests.
• High correlation between the primary asset and the Kalman pair asset breaks down permanently.

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