GARCH-ADR Institutional Correlation Suite

Family: trend_following · Regime: trending · Complexity: high · Asset classes: FX, Equities, Crypto · Timeframes: H1, H4

Thesis

Institutional order flow (Order Blocks) creates sustainable trends only when the frequency of directional closes (ADR_B) and the price-time rank correlation (NET) align. By filtering these entries through a GARCH-based risk model and a centered moving average envelope, the strategy captures institutional momentum while avoiding overextended 'blow-off' phases and managing position size relative to latent market risk.

Components

• Advance/Decline Ratio (Bars) (regime) — Establishes a 'momentum regime' by ensuring the count of directional closes outweighs the counter-trend closes, filtering for persistent directional flow.
• Ehlers Noise Elimination Technology (NET) (direction) — Uses Kendall Tau-a rank correlation to ensure the price-time relationship is statistically significant, identifying non-random trend direction.
• Order Block & FVG Detector (entry) — Pinpoints institutional liquidity levels and price imbalances as high-probability trigger points within the identified trend.
• FractalScanner (exit) — Uses swing highs/lows to identify local price exhaustion points for tactical exits.
• Conditional Volatility (CV) (risk) — Employs a GARCH(1,1) model to dynamically adjust stop-loss distance and position size based on volatility clustering.
• Trend Intensity Index (TII) (confirmation) — Confirms that the current price movement has sufficient 'intensity' or displacement from its long-term average to sustain a trade.
• TMA CG 2024 (Centered Moving Average) (volatility_filter) — Acts as a volatility envelope to ensure entries are not taken at extreme 'repainted' overextensions relative to the smoothed mean.

Known failure conditions

• The GARCH model fails to converge or produces negative variance estimates in extremely low-volatility environments.
• Price remains pinned to the TMA CG outer bands for extended periods, suggesting a parabolic move that the model interprets as overextension.
• ADR_B fluctuates rapidly around 1.0, causing regime-switch whipsaws.

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).