Cointegrated Order Block Cycle Strategy (COBCS)

Family: hybrid · Regime: trending · Complexity: high · Asset classes: Equities, Forex · Timeframes: M15

Thesis

Price moves are most reliable when an asset's idiosyncratic noise is low (demonstrated by cointegration with a benchmark) and it aligns with higher timeframe structural context (H1 Shadow). Entry at Order Blocks during a motive Elliott Wave expansion ensures the trader joins institutional flow at a discount (VWAP/EMA pullback).

Components

• H1 Candle as True Shadow on M15 (regime) — Establishes higher timeframe structural context (H1 Open/High/Low) to ensure intraday trades align with hourly flow.
• VWAP + EMA Cross Pullback (direction) — Identifies institutional value zones (VWAP) and trend momentum (EMA) to filter for high-probability pullback locations.
• Order Block & FVG Detector (entry) — Provides the specific price-action trigger at institutional liquidity zones within the larger trend.
• TopTrend (BBands Stop) (exit) — Dynamic trailing exit that adjusts to volatility, protecting capital during trend exhaustion.
• Elliott Wave [LuxAlgo] (risk) — Defines logical stop-loss levels based on wave structure (e.g., Wave 2 or 4 lows) and determines position size based on cycle maturity.
• Cointegration (COINTEGRATION) (confirmation) — Filters for 'quality' moves; signals are only valid when the asset is cointegrated with a benchmark, reducing idiosyncratic noise.
• Hodrick-Prescott Filter (HP) (volatility_filter) — Filters out high-frequency noise and ensures entry occurs while the cyclical component is in an expansionary phase.

Known failure conditions

• Cointegration ADF statistic remains above -1.0 for extended periods, indicating decoupling from the broader market.
• Elliott Wave count consistently labels overlapping structures as motive waves in high-volatility environments.
• HP Cycle component becomes stationary (flat) while price breaks TopTrend levels.

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