GARCH-Scaled ICT Momentum Hybrid

Family: hybrid · Regime: trending · Complexity: high · Asset classes: Equities, FX, Crypto · Timeframes: H1, H4, D1

Thesis

Market participants often create 'Mitigation Blocks' when a trend fails to sustain a new extreme and breaks local structure; an edge exists by entering these structural shifts only when aligned with dual-timeframe momentum, using GARCH-based risk scaling to capitalize on volatility clustering.

Components

• RSI Area (Histogram) (regime) — Used as a high-level regime filter to ensure trades are only taken in the direction of established 14-period momentum.
• QQE (Qualitative Quantitative Estimation) (direction) — Provides the medium-term directional bias by smoothing RSI volatility, filtering out noise that the standard RSI Area might exhibit.
• ICT Mitigation Block Scanner (entry) — Identifies the specific market structure shift (price failing to make a new low/high and breaking structure) required for a precision entry.
• TopTrend (BBands Stop) (exit) — Serves as a volatility-adjusted trailing stop to lock in profits and define the ultimate trend-flip exit.
• Conditional Volatility (CV) (risk) — Calculates the annualized GARCH(1,1) volatility to scale position sizes inversely to market risk (volatility clustering).

Known failure conditions

• Persistent 'flat' CV readings indicating a lack of volatility clustering, rendering the GARCH model irrelevant.
• Frequent Zig-Zag repaints in the ICT scanner during high-noise/low-liquidity periods leading to 'phantom' entries.
• Price oscillating around the 50-level of the RSI Area histogram, causing regime flip-flopping.

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).