Kalman-DSP Cyclical Flow System

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

Thesis

Tradeable market moves occur when volume-confirmed price flow aligns with short-term bar-count momentum, provided the asset's relative value (calculated via Kalman-filtered spread against a benchmark) is not at an extreme mean-reversion threshold. By entering on a detrended cyclical cross, we capture the meat of the trend and exit only when the trend strength (ADX) officially exhausts.

Components

• Advance/Decline Ratio (Bars) (regime) — Establishes the immediate momentum regime by ensuring the majority of recent bars closed in the direction of the trade, filtering out noise.
• Price and Volume Trend (PVT) (direction) — Acts as a trend confirmation tool; price movement without volume confirmation is disregarded as weak.
• Ehlers Detrended Synthetic Price (DSP) (entry) — Provides the specific entry trigger by identifying local cycle troughs (long) or peaks (short) within the broader trend.
• ADX / Connectable [Azullian] (exit) — Monitors trend exhaustion; the trade is exited when ADX begins to decline, indicating the momentum that fueled the entry is dissipating.
• Session Range (High/Low/Mid) (risk) — Provides structural anchor points for risk management. Stop losses are placed at session extremes, and the range width determines position sizing.
• AI Pair Trading System v1.0 (volatility_filter) — Used as a relative-value filter to ensure the primary asset is not overextended relative to its benchmark, reducing the risk of buying local tops in a sector-wide move.

Known failure conditions

• Persistent divergence between the AI Pair spread and the primary asset's price, suggesting a breakdown in historical correlations.
• A regime where ADR_B stays near 1.0 (exactly 50/50 bars) for extended periods, indicating a high-noise bracket.
• Inability of the DSP to produce a zero-cross in a timely manner during parabolic moves.

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).