McNicholl Liquidity Kalman Hybrid

Family: hybrid · Regime: trending · Complexity: high · Asset classes: Equities, Forex, Crypto · Timeframes: 15m, 1h

Thesis

Market trends are most reliable when the frequency of directional bars (ADR_B) confirms momentum, but only after a liquidity sweep (TDS) has trapped retail contrarians. By entering on a zero-lag trend indicator (MCNMA) while ensuring the asset is not statistically overextended relative to a peer (AIPTS), we exploit a window of institutional participation before mean reversion occurs.

Components

• Advance/Decline Ratio (Bars) (regime) — Defines the local regime by measuring the 'persistence' of bar direction, filtering for environments where one side of the market is dominant in frequency, not just magnitude.
• Buddha Price Line (direction) — Acts as a final micro-trend confirmation; ensures that the immediate tick-sentiment matches the larger McNicholl trend.
• McNicholl EMA (MCNMA) (entry) — Provides the primary entry trigger using its zero-lag TEMA-cascaded structure to capture fast-moving breakouts with minimal delay.
• MACD Classic (3-Line) (exit) — Used for profit-taking when momentum begins to diverge or the signal line crosses, capturing the meat of the move before MCNMA reflects a full reversal.
• The Daily Sweep (risk) — Identifies high-probability liquidity zones. Entry is only valid if a sweep has occurred, and the sweep low/high provides the hard stop-loss anchor.
• AI Pair Trading System v1.0 (volatility_filter) — Filters trades based on statistical relative value; avoids entering when the primary asset is too overextended relative to its benchmark (Kalman Z-Score).

Known failure conditions

• Correlation breakdown between the primary asset and the AIPTS pair symbol, rendering the Z-score filter meaningless.
• Consistently low-volatility environments where the ADR_B fluctuates around 1.0, leading to perpetual regime flipping.
• Price action consistently clearing both Daily Sweep high and low within the same session (broadening formations).

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