Cointegrated ADX Reversion Suite

Family: hybrid · Regime: ranging · Complexity: medium · Asset classes: Equities, ETFs · Timeframes: 15M

Thesis

Assets that are cointegrated with the broad market (SPY) exhibit a statistical 'elastic band' effect; when intraday momentum (ADX) aligns with volume-weighted trends (Oracle Probes) during a state of strong cointegration, the asset is likely to revert to its historical relationship with the index, providing a high-probability entry for mean-reversion or index-tracking moves.

Components

• Cointegration (COINTEGRATION) (regime) — Filters for asset pairs currently exhibiting a strong statistical mean-reverting relationship, ensuring that trend signals are likely 'mean-reversion impulses'.
• Oracle Probes 15M Intraday Suite (direction) — Provides intraday trend orientation. Using VWMA and DMA5 ensures entries align with the short-term volume-weighted momentum.
• ADX Crossing INGM (entry) — The primary trigger identifying the exact moment momentum shifts in favor of the desired direction.
• HiLo Activator 02 (exit) — Acts as a trailing trend-stop, exiting the position when the local staircase structure is breached.
• w8-hold-size-renamed-control-v6-v1 (risk) — Used as a fixed-unit multiplier (1.0) for position sizing, fulfilling the risk role requirement through a constant scalar.
• V7 Corpus-Local-AlertCondition-v1 (confirmation) — Provides a final price action check to ensure the entry candle confirms the momentum direction (bullish for longs, bearish for shorts).

Known failure conditions

• Cointegration breaks down (ADF > -1.0) shortly after entry, indicating a 'pair decoupling' event.
• Price remains pinned to the HiLo Activator line in a low-volatility squeeze, triggering multiple micro-losses.

Explore the full interactive blueprint with parameter ranges and evidence on WOBR StrategyVerse, or generate this strategy as an MT4/MT5 Expert Advisor with QuantMogul AI Engine (free download).