Causal HP-MESA Cycle Trend Hybrid

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: Equities, Forex, Commodities · Timeframes: H1, H4, D1

Thesis

The hypothesis is that financial time series contain dominant cycles overlaying a primary trend. By using a causal Hodrick-Prescott filter to isolate the trend bias and the Accumulation Swing Index to confirm 'true' price momentum (factoring in the O-H-L-C relationships), we can identify high-probability windows. Using Ehlers' MESA Stochastic, which utilizes roofing filters to remove noise, allows for precise entry timing within these windows. The edge exists because price momentum (ASI) often precedes large trend continuations identified by filtered data.

Components

• Indicator Sample Logging Diagnostic (regime) — Used as a 'Data Integrity' regime filter to ensure the MQL5 environment is synchronized and rates are updating before trade execution.
• Hodrick-Prescott Filter (HP) (direction) — Provides a causal trend-cycle decomposition to determine the primary market bias without the lag of traditional moving averages.
• Ehlers MESA Stochastic (MSTOCH) (entry) — Identifies cyclic turning points within the trend by applying a Roofing Filter to eliminate spectral noise.
• UTBot Alerts (exit) — Provides a sensitivity-adjusted Chandelier-style exit to capture trend extensions while protecting against reversal.
• TopTrend (BBands Stop) (risk) — Determines the hard stop-loss level and provides the volatility basis for position sizing.
• Accumulation Swing Index (ASI) (confirmation) — Validates the 'true' price move by comparing the current bar's open, high, low, and close against the previous bar's data.

Known failure conditions

• The HP Filter slope becomes flat/oscillatory (trendless state).
• ASI divergence: Price makes new highs while ASI fails to do so, indicating the 'true' move is weakening.
• The Diagnostic tool logs frequent data gaps or high latency in rates_total updates.

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