TLB-Kalman Hybrid Cycle Trader

Family: hybrid · Regime: trending · Complexity: high · Asset classes: Equities, Crypto, FX · Timeframes: 1H, 4H, 1D

Thesis

Market trends are best identified by filtering out sub-threshold noise (TLB) and confirming with cumulative range relationships (ASI). However, even in a trend, assets move in cycles (DSP) and are subject to relative-value constraints (Pair Trading spread). By entering on a cycle reset within a noise-filtered trend and exiting when the asset is overextended relative to its primary benchmark, we capture the most efficient portion of the trend while using volume-profile nodes for objective risk placement.

Components

• Three-Line Break (TLB) with MA (regime) — Acts as the primary trend filter by removing noise and only acknowledging reversals that exceed the previous 3-line range. The MA provides a secondary structural trend filter.
• Accumulation Swing Index (ASI) (direction) — Verifies that the 'true' price action, accounting for gap and range relationships, supports the TLB trend.
• Ehlers Detrended Synthetic Price (DSP) (entry) — Used to time entries on the cyclical component of the price after the trend has been established by TLB and ASI.
• AI Pair Trading System v1.0 (exit) — Provides a relative-value exit signal; when the asset becomes significantly overvalued compared to a benchmark/pair, the trade is closed regardless of trend strength.
• Dynamic Supply and Demand Zones [AlgoAlpha] (risk) — Determines the stop-loss level based on volume-weighted support/resistance zones and calculates position size based on the distance to these zones.
• Local non-scalar UDT typed-na history diagnostic (confirmation) — Ensures the data integrity of complex User Defined Types (UDTs) before signal execution; if the diagnostic detects 'na' in the history of custom objects (which could signify calculation errors), the signal is discarded.

Known failure conditions

• The asset becomes decoupled from the 'pairSymbol' benchmark in the AI Pair Trading system for extended periods.
• TLB fails to trend, resulting in 'sawtooth' patterns that trigger late entries and immediate stop-outs.
• The UDT diagnostic constantly returns 'na' due to high volatility or data gaps, preventing any trade execution.

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